About International Future Universe
The International Future Universe dataset by QuantConnect lists the available International Future contracts, their daily trading volume, and Open Interest. The data covers 3 contracts (FESX, HSI, and NKD), starts in July 1998, and is delivered on daily frequency. This dataset is created by monitoring the trading activity on the EUREX, HKFE, and CME.
This dataset depends on the US Futures Security Master dataset because the US Futures Security Master dataset contains information on symbol changes of the contracts.
This dataset does not contain market data. For market data, see International Futures by TickData and US Futures by AlgoSeek for NKD.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
class InternationalFuturesDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 1)
self.set_end_date(2021, 7, 1)
# Set the time zone to HKT to make it more comparable with the exchange.
self.set_time_zone(TimeZones.HONG_KONG)
# Set the account currency as HKD to trade HSI Futures.
self.set_account_currency("HKD", 1000000)
# Seed the last price of the contracts for filling.
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
# Request HSI Futures to trade.
# Note that we will trade the contract with the highest open interest for liquidity.
self.hsi_future = self.add_future(
Futures.Indices.HANG_SENG,
extended_market_hours=True,
data_mapping_mode=DataMappingMode.LAST_TRADING_DAY,
contract_depth_offset=0
)
# Adds contracts that expiry within 90 days. We will trade the farthest contract
self.hsi_future.set_filter(0,90)
# Request the corresponding underlying Index for feeding indicator for trade signal generation.
hsi_index = self.add_index("HSI").symbol
# Create a ZigZag indicator to trade Hang Seng Index price pivot points.
self._zz = self.zz(hsi_index, 0.15, 5, Resolution.DAILY)
# Warm up indicator for immediate readiness to trade.
self.warm_up_indicator(hsi_index, self._zz, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
# Only place trade if the Future contracts is in market opening hours to avoid stale fills.
if self.is_market_open(self.hsi_future.symbol) and self._zz.is_ready:
pivot = self._zz.pivot_type
# If the last pivot point is a low point, the current trend is increasing after this low point.
if pivot == PivotPointType.LOW:
contracts = sorted([x.symbol for x in slice.future_chains.get(self.hsi_future.symbol)],
key=lambda x: x.id.date)
self.set_holdings(contracts[-1], 0.2)
# If the last pivot point is a high point, the current trend is decreasing after this high point.
if pivot == PivotPointType.HIGH:
contracts = sorted([x.symbol for x in slice.future_chains.get(self.hsi_future.symbol)],
key=lambda x: x.id.date)
self.set_holdings(contracts[-1], -0.2)
Example Applications
The International Futures Universe dataset enables you to design Futures strategies accurately. Examples include the following strategies:
- Buying the Futures contract with the most open interest to reduce slippage and market impact
- Trade speculation on an International Index
- Trading bull calendar spreads to reduce volatility and margin requirements
Pricing
Cloud Access
Free access for International Future universe selection on the QuantConnect Cloud. Create custom filters using expiration dates, and open interest for the International Futures.
Bulk Updates
Bulk download of the entire International Future Universe dataset
Bulk Downloads
Bulk download of the entire International Future Universe dataset
On Premise Download
On premise download of International Future universe data files, including price, expiration dates, and open interest for local backtesting.
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