AlgoSeek

US Futures

Introduction

The US Futures dataset by AlgoSeek provides Futures data, including price, volume, open interest, and expiry. The data covers the 75 most liquid contracts, starts in May 2009, and is delivered on any frequency from tick to daily. This dataset is created by monitoring the trading activity on the CFE, CBOT, NYMEX, ICE, SGX, HKFE, India, and COMEX markets.

For more information about the US Futures dataset, including CLI commands and pricing, see the dataset listing.

About the Provider

AlgoSeek is a leading historical intraday US market data provider offering the most comprehensive and detailed market data and analytics products in the financial industry covering equities, futures, options, cash forex, and cryptocurrencies. AlgoSeek data is built for quantitative trading and machine learning. For more information about AlgoSeek, visit algoseek.com.

Getting Started

The following snippet demonstrates how to request data from the US Futures dataset:

future = self.AddFuture(Futures.Metals.Gold)
future.SetFilter(0, 90)
var future = AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateMay 2009
Asset Coverage75 Futures
Data DensityDense
ResolutionTick, Second, Minute, Hour, & Daily
Timezone
  • Chicago (CME or CBOT)
  • New York (NYMEX or COMEX)
  • Singapore time (SGX)
  • Indian Standard Time (India)
  • Hong Kong Standard Time (HKFE)

This dataset includes Sugar ICE Futures until July 2021.

Supported Assets

The following table shows the available Futures:

Name
SymbolMarketAccessor Code
Black Sea Corn Financially Settled (Platts) Futures
BCFCBOTFutures.Grains.BlackSeaCornFinanciallySettledPlatts
Black Sea Wheat Financially Settled (Platts) Futures
BWFCBOTFutures.Grains.BlackSeaWheatFinanciallySettledPlatts
Chicago SRW Wheat Futures
ZWCBOTFutures.Grains.SRWWheat
KC HRW Wheat Futures
KECBOTFutures.Grains.HRWWheat
Corn Futures
ZCCBOTFutures.Grains.Corn
Soybean Futures
ZSCBOTFutures.Grains.Soybeans
Soybean Meal Futures
ZMCBOTFutures.Grains.SoybeanMeal
Soybean Oil Futures
ZLCBOTFutures.Grains.SoybeanOil
Oats Futures
ZOCBOTFutures.Grains.Oats
US Dollar Index Futures
DXICEFutures.Currencies.USD
British Pound Futures
6BCMEFutures.Currencies.GBP
Canadian Dollar Futures
6CCMEFutures.Currencies.CAD
Japanese Yen Futures
6JCMEFutures.Currencies.JPY
Swiss Franc Futures
6SCMEFutures.Currencies.CHF
Euro FX Futures
6ECMEFutures.Currencies.EUR
Australian Dollar Futures
6ACMEFutures.Currencies.AUD
New Zealand Dollar Futures
6NCMEFutures.Currencies.NZD
Russian Ruble Futures
6RCMEFutures.Currencies.RUB
Brazilian Real Futures
6LCMEFutures.Currencies.BRL
Mexican Peso Futures
6MCMEFutures.Currencies.MXN
South African Rand Futures
6ZCMEFutures.Currencies.ZAR
Australian Dollar/Canadian Dollar Futures
ACDCMEFutures.Currencies.AUDCAD
Australian Dollar/Japanese Yen Futures
AJYCMEFutures.Currencies.AUDJPY
Australian Dollar/New Zealand Dollar Futures
ANECMEFutures.Currencies.AUDNZD
Bitcoin Futures
BTCCMEFutures.Currencies.BTC
Canadian Dollar/Japanese Yen Futures
CJYCMEFutures.Currencies.CADJPY
Standard-Size USD/Offshore RMB (CNH) Futures
CNHCMEFutures.Currencies.StandardSizeUSDOffshoreRMBCNH
E-mini Euro FX Futures
E7CMEFutures.Currencies.EuroFXEmini
Euro/Australian Dollar Futures
EADCMEFutures.Currencies.EURAUD
Euro/Canadian Dollar Futures
ECDCMEFutures.Currencies.EURCAD
Euro/Swedish Krona Futures
ESKCMEFutures.Currencies.EURSEK
E-mini Japanese Yen Futures
J7CMEFutures.Currencies.JapaneseYenEmini
Micro Euro/U.S. Dollar (EUR/USD) Futures
M6ECMEFutures.Currencies.MicroEUR
Micro Australian Dollar/U.S. Dollar (AUD/USD) Futures
M6ACMEFutures.Currencies.MicroAUD
Micro British Pound Sterling/U.S. Dollar (GBP/USD) Futures
M6BCMEFutures.Currencies.MicroGBP
Micro Canadian Dollar/U.S.Dollar(CAD/USD) Futures
MCDCMEFutures.Currencies.MicroCADUSD
Micro Japanese Yen/U.S. Dollar (JPY/USD) Futures
MJYCMEFutures.Currencies.MicroJPY
Micro Swiss Franc/U.S. Dollar (CHF/USD) Futures
MSFCMEFutures.Currencies.MicroCHF
Micro USD/JPY Futures
M6JCMEFutures.Currencies.MicroUSDJPY
Micro INR/USD Futures
MIRCMEFutures.Currencies.MicroINRUSD
Micro USD/CAD Futures
M6CCMEFutures.Currencies.MicroCAD
Micro USD/CHF Futures
M6SCMEFutures.Currencies.MicroUSDCHF
Micro USD/CNH Futures
MNHCMEFutures.Currencies.MicroUSDCNH
Micro Ether Futures
METCMEFutures.Currencies.MicroEther
Micro Bitcoin Futures
MBTCMEFutures.Currencies.MicroBTC
BTIC on Micro Ether Futures
MRBCMEFutures.Currencies.BTICMicroEther
BTIC on Micro Bitcoin Futures
MIBCMEFutures.Currencies.BTICMicroBTC
Propane Non-LDH Mont Belvieu (OPIS) BALMO Futures
1SNYMEXFutures.Energies.PropaneNonLDHMontBelvieu
Argus Propane Far East Index BALMO Futures
22NYMEXFutures.Energies.ArgusPropaneFarEastIndexBALMO
Mini European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
A0DNYMEXFutures.Energies.MiniEuropeanThreePointPercentFiveFuelOilBargesPlatts
Mini Singapore Fuel Oil 180 cst (Platts) Futures
A0FNYMEXFutures.Energies.MiniSingaporeFuelOil180CstPlatts
Gulf Coast ULSD (Platts) Up-Down BALMO Futures
A1LNYMEXFutures.Energies.GulfCoastULSDPlattsUpDownBALMO
Gulf Coast Jet (Platts) Up-Down BALMO Futures
A1MNYMEXFutures.Energies.GulfCoastJetPlattsUpDownBALMO
Propane Non-LDH Mont Belvieu (OPIS) Futures
A1RNYMEXFutures.Energies.PropaneNonLDHMontBelvieuOPIS
European Propane CIF ARA (Argus) BALMO Futures
A32NYMEXFutures.Energies.EuropeanPropaneCIFARAArgusBALMO
Premium Unleaded Gasoline 10 ppm FOB MED (Platts) Futures
A3GNYMEXFutures.Energies.PremiumUnleadedGasoline10ppmFOBMEDPlatts
Argus Propane Far East Index Futures
A7ENYMEXFutures.Energies.ArgusPropaneFarEastIndex
Gasoline Euro-bob Oxy NWE Barges (Argus) Crack Spread BALMO Futures
A7INYMEXFutures.Energies.GasolineEurobobOxyNWEBargesArgusCrackSpreadBALMO
Mont Belvieu Natural Gasoline (OPIS) Futures
A7QNYMEXFutures.Energies.MontBelvieuNaturalGasolineOPIS
Mont Belvieu Normal Butane (OPIS) BALMO Futures
A8JNYMEXFutures.Energies.MontBelvieuNormalButaneOPISBALMO
Conway Propane (OPIS) Futures
A8KNYMEXFutures.Energies.ConwayPropaneOPIS
Mont Belvieu LDH Propane (OPIS) BALMO Futures
A8ONYMEXFutures.Energies.MontBelvieuLDHPropaneOPISBALMO
Argus Propane Far East Index vs. European Propane CIF ARA (Argus) Futures
A91NYMEXFutures.Energies.ArgusPropaneFarEastIndexVsEuropeanPropaneCIFARAArgus
Argus Propane (Saudi Aramco) Futures
A9NNYMEXFutures.Energies.ArgusPropaneSaudiAramco
Group Three ULSD (Platts) vs. NY Harbor ULSD Futures
AA6NYMEXFutures.Energies.GroupThreeULSDPlattsVsNYHarborULSD
Group Three Sub-octane Gasoline (Platts) vs. RBOB Futures
AA8NYMEXFutures.Energies.GroupThreeSuboctaneGasolinePlattsVsRBOB
Singapore Fuel Oil 180 cst (Platts) BALMO Futures
ABSNYMEXFutures.Energies.SingaporeFuelOil180cstPlattsBALMO
Singapore Fuel Oil 380 cst (Platts) BALMO Futures
ABTNYMEXFutures.Energies.SingaporeFuelOil380cstPlattsBALMO
Mont Belvieu Ethane (OPIS) Futures
AC0NYMEXFutures.Energies.MontBelvieuEthaneOPIS
Mont Belvieu Normal Butane (OPIS) Futures
AD0NYMEXFutures.Energies.MontBelvieuNormalButaneOPIS
Brent Crude Oil vs. Dubai Crude Oil (Platts) Futures
ADBNYMEXFutures.Energies.BrentCrudeOilVsDubaiCrudeOilPlatts
Argus LLS vs. WTI (Argus) Trade Month Futures
AE5NYMEXFutures.Energies.ArgusLLSvsWTIArgusTradeMonth
Singapore Gasoil (Platts) vs. Low Sulphur Gasoil Futures
AGANYMEXFutures.Energies.SingaporeGasoilPlattsVsLowSulphurGasoilFutures
Los Angeles CARBOB Gasoline (OPIS) vs. RBOB Gasoline Futures
AJLNYMEXFutures.Energies.LosAngelesCARBOBGasolineOPISvsRBOBGasoline
Los Angeles Jet (OPIS) vs. NY Harbor ULSD Futures
AJSNYMEXFutures.Energies.LosAngelesJetOPISvsNYHarborULSD
Los Angeles CARB Diesel (OPIS) vs. NY Harbor ULSD Futures
AKLNYMEXFutures.Energies.LosAngelesCARBDieselOPISvsNYHarborULSD
European Naphtha (Platts) BALMO Futures
AKZNYMEXFutures.Energies.EuropeanNaphthaPlattsBALMO
European Propane CIF ARA (Argus) Futures
APSNYMEXFutures.Energies.EuropeanPropaneCIFARAArgus
Mont Belvieu Natural Gasoline (OPIS) BALMO Futures
AR0NYMEXFutures.Energies.MontBelvieuNaturalGasolineOPISBALMO
RBOB Gasoline Crack Spread Futures
ARENYMEXFutures.Energies.RBOBGasolineCrackSpread
Gulf Coast HSFO (Platts) BALMO Futures
AVZNYMEXFutures.Energies.GulfCoastHSFOPlattsBALMO
Mars (Argus) vs. WTI Trade Month Futures
AYVNYMEXFutures.Energies.MarsArgusVsWTITradeMonth
Mars (Argus) vs. WTI Financial Futures
AYXNYMEXFutures.Energies.MarsArgusVsWTIFinancial
Ethanol T2 FOB Rdam Including Duty (Platts) Futures
AZ1NYMEXFutures.Energies.EthanolT2FOBRdamIncludingDutyPlatts
Mont Belvieu LDH Propane (OPIS) Futures
B0NYMEXFutures.Energies.MontBelvieuLDHPropaneOPIS
Gasoline Euro-bob Oxy NWE Barges (Argus) Futures
B7HNYMEXFutures.Energies.GasolineEurobobOxyNWEBargesArgus
WTI-Brent Financial Futures
BKNYMEXFutures.Energies.WTIBrentFinancial
3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (1000mt) Futures
BOONYMEXFutures.Energies.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpread1000mt
Gasoline Euro-bob Oxy NWE Barges (Argus) BALMO Futures
BR7NYMEXFutures.Energies.GasolineEurobobOxyNWEBargesArgusBALMO
Brent Last Day Financial Futures
BZNYMEXFutures.Energies.BrentLastDayFinancial
Crude Oil Futures
CLNYMEXFutures.Energies.CrudeOilWTI
Gulf Coast CBOB Gasoline A2 (Platts) vs. RBOB Gasoline Futures
CRBNYMEXFutures.Energies.GulfCoastCBOBGasolineA2PlattsVsRBOBGasoline
Clearbrook Bakken Sweet (NE2) Monthly Index Futures
CSWNYMEXFutures.Energies.ClearbrookBakkenSweetCrudeOilMonthlyIndexNetEnergy
WTI Financial Futures
CSXNYMEXFutures.Energies.WTIFinancial
Chicago Ethanol (Platts) Futures
CUNYMEXFutures.Energies.ChicagoEthanolPlatts
Singapore Mogas 92 Unleaded (Platts) Brent Crack Spread Futures
D1NNYMEXFutures.Energies.SingaporeMogas92UnleadedPlattsBrentCrackSpread
Dubai Crude Oil (Platts) Financial Futures
DCBNYMEXFutures.Energies.DubaiCrudeOilPlattsFinancial
Japan C&F Naphtha (Platts) BALMO Futures
E6NYMEXFutures.Energies.JapanCnFNaphthaPlattsBALMO
Ethanol Futures
EHCBOTFutures.Energies.Ethanol
European Naphtha (Platts) Crack Spread Futures
ENNYMEXFutures.Energies.EuropeanNaphthaPlattsCrackSpread
European Propane CIF ARA (Argus) vs. Naphtha Cargoes CIF NWE (Platts) Futures
EPNNYMEXFutures.Energies.EuropeanPropaneCIFARAArgusVsNaphthaCargoesCIFNWEPlatts
Singapore Fuel Oil 380 cst (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
EVCNYMEXFutures.Energies.SingaporeFuelOil380cstPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlatts
East-West Gasoline Spread (Platts-Argus) Futures
EWGNYMEXFutures.Energies.EastWestGasolineSpreadPlattsArgus
East-West Naphtha: Japan C&F vs. Cargoes CIF NWE Spread (Platts) Futures
EWNNYMEXFutures.Energies.EastWestNaphthaJapanCFvsCargoesCIFNWESpreadPlatts
RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) (350000 gallons) Futures
EXRNYMEXFutures.Energies.RBOBGasolineVsEurobobOxyNWEBargesArgusThreeHundredFiftyThousandGallons
3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread Futures
FONYMEXFutures.Energies.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpread
Freight Route TC14 (Baltic) Futures
FRCNYMEXFutures.Energies.FreightRouteTC14Baltic
1% Fuel Oil Cargoes FOB NWE (Platts) vs. 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
FSSNYMEXFutures.Energies.OnePercentFuelOilCargoesFOBNWEPlattsVsThreePointFivePercentFuelOilBargesFOBRdamPlatts
Gulf Coast HSFO (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
GCUNYMEXFutures.Energies.GulfCoastHSFOPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlatts
WTI Houston Crude Oil Futures
HCLNYMEXFutures.Energies.WTIHoustonCrudeOil
Natural Gas (Henry Hub) Last-day Financial Futures
HHNYMEXFutures.Energies.NaturalGasHenryHubLastDayFinancial
NY Harbor ULSD Futures
HONYMEXFutures.Energies.HeatingOil
Natural Gas (Henry Hub) Penultimate Financial Futures
HPNYMEXFutures.Energies.NaturalGasHenryHubPenultimateFinancial
WTI Houston (Argus) vs. WTI Trade Month Futures
HTTNYMEXFutures.Energies.WTIHoustonArgusVsWTITradeMonth
RBOB Gasoline Futures
RBNYMEXFutures.Energies.Gasoline
Henry Hub Natural Gas Futures
NGNYMEXFutures.Energies.NaturalGas
Brent Crude Futures
BICEFutures.Energies.BrentCrude
Low Sulfur Gasoil
GICEFutures.Energies.LowSulfurGasoil
Micro WTI Crude Oil Futures
MCLNYMEXFutures.Energies.MicroCrudeOilWTI
Micro Singapore FOB Marine Fuel 0.5% (Platts) Futures
S5ONYMEXFutures.Energies.MicroSingaporeFOBMarineFuelZeroPointFivePercetPlatts
Micro Gasoil 0.1% Barges FOB ARA (Platts) Futures
M1BNYMEXFutures.Energies.MicroGasoilZeroPointOnePercentBargesFOBARAPlatts
Micro European FOB Rdam Marine Fuel 0.5% Barges (Platts) Futures
R5ONYMEXFutures.Energies.MicroEuropeanFOBRdamMarineFuelZeroPointFivePercentBargesPlatts
Micro European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
MEFNYMEXFutures.Energies.MicroEuropeanThreePointFivePercentOilBargesFOBRdamPlatts
Micro Singapore Fuel Oil 380CST (Platts) Futures
MAFNYMEXFutures.Energies.MicroSingaporeFuelOil380CSTPlatts
Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures
M5FNYMEXFutures.Energies.MicroCoalAPIFivefobNewcastleArgusMcCloskey
Micro European 3.5% Fuel Oil Cargoes FOB Med (Platts) Futures
M35NYMEXFutures.Energies.MicroEuropeanThreePointFivePercentFuelOilCargoesFOBMedPlatts
U.S. Treasury Bond Futures
ZBCBOTFutures.Financials.Y30TreasuryBond
10-Year T-Note Futures
ZNCBOTFutures.Financials.Y10TreasuryNote
5-Year T-Note Futures
ZFCBOTFutures.Financials.Y5TreasuryNote
2-Year T-Note Futures
ZTCBOTFutures.Financials.Y2TreasuryNote
Eurodollar Futures
GECMEFutures.Financials.EuroDollar
5-Year USD MAC Swap Futures
F1UCBOTFutures.Financials.FiveYearUSDMACSwap
Ultra U.S. Treasury Bond Futures
UBCBOTFutures.Financials.UltraUSTreasuryBond
Ultra 10-Year U.S. Treasury Note Futures
TNCBOTFutures.Financials.UltraTenYearUSTreasuryNote
Micro 10-Year Yield Futures
10YCBOTFutures.Financials.MicroY10TreasuryNote
Micro 30-Year Yield Futures
30YCBOTFutures.Financials.MicroY30TreasuryBond
Micro 2-Year Yield Futures
2YYCBOTFutures.Financials.MicroY2TreasuryBond
Micro 5-Year Yield Futures
5YYCBOTFutures.Financials.MicroY5TreasuryBond
E-mini S&P 500 Futures
ESCMEFutures.Indices.SP500EMini
E-mini Nasdaq-100 Futures
NQCMEFutures.Indices.NASDAQ100EMini
E-mini Dow ($5) Futures
YMCBOTFutures.Indices.Dow30EMini
VIX futures
VXCFEFutures.Indices.VIX
E-mini Russell 2000 Index Futures
RTYCMEFutures.Indices.Russell2000EMini
Nikkei/USD Futures
NKDCMEFutures.Indices.Nikkei225Dollar
Bloomberg Commodity Index Futures
AWCBOTFutures.Indices.BloombergCommodityIndex
E-mini Nasdaq-100 Biotechnology Index Futures
BIOCMEFutures.Indices.NASDAQ100BiotechnologyEMini
E-mini FTSE Emerging Index Futures
EICMEFutures.Indices.FTSEEmergingEmini
E-mini S&P MidCap 400 Futures
EMDCMEFutures.Indices.SP400MidCapEmini
S&P-GSCI Commodity Index Futures
GDCMEFutures.Indices.SPGSCICommodity
USD-Denominated Ibovespa Index Futures
IBVCMEFutures.Indices.USDDenominatedIbovespa
MSCI Taiwan Index Futures
TWSGXFutures.Indices.MSCITaiwanIndex
SGX Nikkei 225 Index Futures
NKSGXFutures.Indices.Nikkei225Yen
Nifty50 Index
NIFTYINDIAFutures.Indices.Nifty50
BankNifty Index
BANKNIFTYINDIAFutures.Indices.BankNifty
BSE S&P Sensex Index
SENSEXINDIAFutures.Indices.BseSensex
Hang Seng Index
HSIHKFEFutures.Indices.HangSeng
Micro E-mini Standard and Poor's 500 Stock Price Index Futures
MESCMEFutures.Indices.MicroSP500EMini
Micro E-mini Nasdaq-100 Index Futures
MNQCMEFutures.Indices.MicroNASDAQ100EMini
Micro E-mini Russell 2000 Index Futures
M2KCMEFutures.Indices.MicroRussell2000EMini
Micro E-mini Dow Jones Industrial Average Index Futures
MYMCBOTFutures.Indices.MicroDow30EMini
MSCI Europe NTR
M1EUNYSELIFFEFutures.Indices.MSCIEuropeNTR
The MSCI Japan NTR
M1JPNYSELIFFEFutures.Indices.MSCIJapanNTR
MSCI Emerging Markets Asia Net Total Return
M1MSANYSELIFFEFutures.Indices.MSCIEmergingMarketsAsiaNTR
MSCI EAFE Index
MXEANYSELIFFEFutures.Indices.MSCIEafeIndex
MSCI EMERGING MARKETS INDEX
MXEFNYSELIFFEFutures.Indices.MSCIEmergingMarketsIndex
MSCI USA Index
MXUSNYSELIFFEFutures.Indices.MSCIUsaIndex
Random Length Lumber Futures
LBSCMEFutures.Forestry.RandomLengthLumber
Live Cattle Futures
LECMEFutures.Meats.LiveCattle
Feeder Cattle Futures
GFCMEFutures.Meats.FeederCattle
Lean Hog Futures
HECMEFutures.Meats.LeanHogs
Gold Futures
GCCOMEXFutures.Metals.Gold
Silver Futures
SICOMEXFutures.Metals.Silver
Platinum Futures
PLNYMEXFutures.Metals.Platinum
Palladium Futures
PANYMEXFutures.Metals.Palladium
Aluminum MW U.S. Transaction Premium Platts (25MT) Futures
AUPCOMEXFutures.Metals.AluminumMWUSTransactionPremiumPlatts25MT
Aluminium European Premium Duty-Paid (Metal Bulletin) Futures
EDPCOMEXFutures.Metals.AluminiumEuropeanPremiumDutyPaidMetalBulletin
Copper Futures
HGCOMEXFutures.Metals.Copper
U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures
HRCNYMEXFutures.Metals.USMidwestDomesticHotRolledCoilSteelCRUIndex
Micro Gold Futures
MGCCOMEXFutures.Metals.MicroGold
Micro Silver Futures
SILCOMEXFutures.Metals.MicroSilver
Micro Gold TAS Futures
MGTCOMEXFutures.Metals.MicroGoldTAS
Micro Palladium Futures
PAMNYMEXFutures.Metals.MicroPalladium
Mini Sized NY Gold Futures
YGNYSELIFFEFutures.Metals.MiniNYGold
Mini Sized NY Silver Future
YINYSELIFFEFutures.Metals.MiniNYSilver
Gold 100 Troy Oz
ZGNYSELIFFEFutures.Metals.Gold100Oz
CBOT 5000 Oz Silver Futures
ZINYSELIFFEFutures.Metals.Silver5000Oz
Cotton No. 2 Futures
CTICEFutures.Softs.Cotton2
Frozen Concentrated Orange Juice
OJICEFutures.Softs.OrangeJuice
Coffee C Arabica Futures
KCICEFutures.Softs.Coffee
Sugar No. 11 Futures
SBICEFutures.Softs.Sugar11
No. 11 Sugar Futures
YONYMEXFutures.Softs.Sugar11CME
Cocoa Futures
CCICEFutures.Softs.Cocoa
Cash-settled Butter Futures
CBCMEFutures.Dairy.CashSettledButter
Cash-Settled Cheese Futures
CSCCMEFutures.Dairy.CashSettledCheese
Class III Milk Futures
DCCMEFutures.Dairy.ClassIIIMilk
Dry Whey Futures
DYCMEFutures.Dairy.DryWhey
Class IV Milk Futures
GDKCMEFutures.Dairy.ClassIVMilk
Nonfat Dry Milk Futures
GNFCMEFutures.Dairy.NonfatDryMilk

Data Point Attributes

The US Futures dataset provides FuturesChain, Future, and OpenInterest objects. To configure the continuous Future settings, use the DataNormalizationMode and DataMappingMode enumerations.

DataNormalizationMode Values

The DataNormalizationMode enumeration has the following values:

DataMappingMode Values

The DataMappingMode enumeration has the following values:

Future Attributes

Future objects have the following attributes:

FuturesChain Attributes

FuturesChain objects have the following attributes:

OpenInterest Attributes

OpenInterest objects have the following attributes:

Requesting Data

To add US Futures data to your algorithm, call the AddFuture method. Save a reference to the Future so you can access the data later in your algorithm.

class USFuturesDataAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2013, 12, 20) 
        self.SetEndDate(2014, 2, 20) 
        self.SetCash(1000000) 
        
        future = self.AddFuture(Futures.Metals.Gold) 
        future.SetFilter(0, 90)
        self.future_symbol = future.Symbol
namespace QuantConnect
{
    public class USFuturesDataAlgorithm : QCAlgorithm
    {
        private Symbol _futureSymbol;
        
        public override void Initialize()
        {
            SetStartDate(2013, 12, 20);
            SetEndDate(2014, 2, 20);
            SetCash(1000000);
            
            var future = AddFuture(Futures.Metals.Gold);
            future.SetFilter(0, 90);
            _futureSymbol = future.Symbol;
        }
    }
}

For more information about creating Future subscriptions, see Requesting Data or Futures Universes.

Accessing Data

To get the current US Futures data, index the FuturesChains property of the current Slice with the canonical Futures Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your Future at every time step.

def OnData(self, slice: Slice) -> None:
    chain = slice.FuturesChains.get(self.future_symbol)
    if chain:
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")
public override void OnData(Slice slice)
{
    if (slice.FuturesChains.TryGetValue(_futureSymbol, out var chain))
    {
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

You can also iterate through all of the FuturesChain objects in the current Slice.

def OnData(self, slice: Slice) -> None:
    for canonical_symbol, chain in slice.FuturesChains.items():
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")
public override void OnData(Slice slice)
{
    foreach (var kvp in slice.FuturesChains)
    {
        var canonicalSymbol = kvp.Key;
        var chain = kvp.Value;
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

For more information about accessing Futures data, see Handling Data.

Historical Data

You can get historical US Futures data in an algorithm and the Research Environment.

Historical Data In Algorithms

To get historical US Futures data in an algorithm, call the History method with the canonical Futures Symbol or a Futures contract Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame objects
contract_history_df = self.History(contract.Symbol, 100, Resolution.Minute)
continuous_history_df = self.History(self.future_symbol,
    start=self.Time - timedelta(days=15), 
    end=self.Time, 
    resolution=Resolution.Minute, 
    fillForward=False, 
    extendedMarket=False, 
    dataMappingMode=DataMappingMode.OpenInterest, 
    dataNormalizationMode=DataNormalizationMode.Raw, 
    contractDepthOffset=0)

# TradeBar objects
contract_history_trade_bars = self.History[TradeBar](contract.Symbol, 100, Resolution.Minute)
continous_history_trade_bars = self.History[TradeBar](self.future_symbol, 100, Resolution.Minute)

# QuoteBar objects
contract_history_quote_bars = self.History[QuoteBar](contract.Symbol, 100, Resolution.Minute)
continous_history_quote_bars = self.History[QuoteBar](self.future_symbol, 100, Resolution.Minute)

# Tick objects
contract_history_ticks = self.History[Tick](self.symbol, timedelta(seconds=10), Resolution.Tick)
continous_history_ticks = self.History[Tick](self.future_symbol, timedelta(seconds=10), Resolution.Tick)
// TradeBar objects
var contractHistoryTradeBars = History(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryTradeBars = History(
    symbols: new[] {_futureSymbol}, 
    start: Time - TimeSpan.FromDays(15),
    end: Time,
    resolution: Resolution.Minute,
    fillForward: False,
    extendedMarket: False,
    dataMappingMode: DataMappingMode.OpenInterest,
    dataNormalizationMode: DataNormalizationMode.Raw,
    contractDepthOffset: 0);

// QuoteBar objects
var contractHistoryQuoteBars = History<QuoteBar>(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryQuoteBars = History<QuoteBar>(_futureSymbol, 100, Resolution.Minute);

// Tick objects
var contractHistoryTicks = History<Tick>(contract.Symbol, TimeSpan.FromSeconds(10), Resolution.Tick);
var continuousHistoryTicks = History<Tick>(_futureSymbol, TimeSpan.FromSeconds(10), Resolution.Tick);

For more information about historical data in algorithms, see History Requests. For more information about the price adjustments for continuous contracts, see Continous Contracts.

Historical Data In Research

To get historical US Futures data in the Research Environment for an entire Futures chain, call the GetFutureHistory method with the canonical Future Symbol.

qb = QuantBook()
future = qb.AddFuture(Futures.Metals.Gold) 
future.SetFilter(0, 90)
history = qb.GetFutureHistory(future.Symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.GetAllData()
expiries = history.GetExpiryDates()
// The GetFutureHistory method isn't currently available for C#
// To track the feature progress, subscribe to https://github.com/QuantConnect/Lean/issues/6489

To get historical data for a single US Futures contract or the continuous Futures contract, call the History method like you would in an algorithm but on the QuantBook object. For more information about historical data in the Research Environment, see Futures.

Example Applications

The US Futures dataset enables you to accurately design Futures strategies. Examples include the following strategies:

  • Buying the Futures contract with the most open interest to reduce slippage and market impact
  • Trading bull calendar spreads to reduce volatility and margin requirements

You can also see our Videos. You can also get in touch with us via Discord.

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