About International Futures
The International Futures dataset by TickData provides Futures data, including price, volume, open interest, and expiry. The data covers the 3 contracts, FESX, HSI, and NKD, starting in July 1998 and is delivered on any frequency from tick to daily. This dataset is created by TickData, which negotiates directly with exchanges for their official archive and partners with real-time data providers with direct exchange connections and multiple redundant ticker plants.
This dataset also depends on the US Futures Security Master because the US Futures Security Master dataset contains information to construct continuous Futures.
About TickData
TickData was founded by a futures broker and a programmer in 1984 as the first company in the world to offer historical tick-by-tick prices on the futures and index markets. TickData provides access to comprehensive and detailed market data and analytics products in the financial industry covering Equities, Futures, Options, cash FOREX, and Cash Indices.
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
)
# 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 and not self.portfolio[self.hsi_future.symbol].is_long:
self.set_holdings(self.hsi_future.mapped, 0.2)
# If the last pivot point is a high point, the current trend is decreasing after this high point.
elif pivot == PivotPointType.HIGH and not self.portfolio[self.hsi_future.symbol].is_short:
self.set_holdings(self.hsi_future.mapped, -0.2)
# Handle rollover in case the current mapped contract changes.
for _, changed_event in slice.symbol_changed_events.items():
old_symbol = changed_event.old_symbol
new_symbol = self.add_future_contract(changed_event.new_symbol).symbol
quantity = self.portfolio[old_symbol].quantity
# Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
self.liquidate(old_symbol)
if quantity != 0:
self.market_order(new_symbol, quantity)
Example Applications
The International Futures 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 to the most popular International Futures in QuantConnect Cloud for backtest and research.
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