Asset Classes

public class FutureTradeBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var future = AddFuture(Futures.Indices.SP500EMini);
        var symbol = FuturesChain(future.Symbol).First().Symbol;
        // Get the 5 trailing daily TradeBar objects of the security. 
        var history = History<TradeBar>(symbol, 5, Resolution.Daily);
        // Iterate through each TradeBar and calculate its dollar volume.
        foreach (var bar in history)
        {
            var t = bar.EndTime;
            var dollarVolume = bar.Close * bar.Volume;
        }
    }
}

class FutureTradeBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        symbol = list(self.futures_chain(future.symbol))[0].symbol
        # Get the 5 trailing daily TradeBar objects of the security in DataFrame format. 
        history = self.history(TradeBar, symbol, 5, Resolution.DAILY)

public class FutureQuoteBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var future = AddFuture(Futures.Indices.SP500EMini);
        var symbol = FuturesChain(future.Symbol).First().Symbol;
        // Get the 5 trailing minute QuoteBar objects of the security. 
        var history = History<QuoteBar>(symbol, 5, Resolution.Minute);
        // Iterate through the QuoteBar objects and calculate the spread.
        foreach (var bar in history)
        {
            var t = bar.EndTime;
            var spread = bar.Ask.Close - bar.Bid.Close;
        }
    }
}

class FutureQuoteBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        symbol = list(self.futures_chain(future.symbol))[0].symbol
        # Get the 5 trailing minute QuoteBar objects of the security in DataFrame format. 
        history = self.history(QuoteBar, symbol, 5, Resolution.MINUTE)

public class FutureTickHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var future = AddFuture(Futures.Indices.SP500EMini);
        var symbol = FuturesChain(future.Symbol).First().Symbol;
        // Get the trailing 2 days of ticks for the security.
        var history = History<Tick>(symbol, TimeSpan.FromDays(2), Resolution.Tick);
        // Select the ticks that represent trades, excluding the quote ticks.
        var trades = history.Where(tick => tick.TickType == TickType.Trade);
    }
}

class FutureTickHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        symbol = list(self.futures_chain(future.symbol))[0].symbol
        # Get the trailing 2 days of ticks for the security in DataFrame format.
        history = self.history(symbol, timedelta(2), Resolution.TICK)

public class SliceHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 1);
        SetEndDate(2024, 12, 31);
        // Add some securities and datasets.
        AddFuture(Futures.Indices.SP500EMini);
        // Get the historical Slice objects over the last 5 days for all the subcriptions in your algorithm.
        var history = History(5, Resolution.Daily);
        // Iterate through each historical Slice.
        foreach (var slice in history)
        {
            // Iterate through each TradeBar in this Slice.
            foreach (var kvp in slice.Bars)
            {
                var symbol = kvp.Key;
                var bar = kvp.Value;
            }
        }
    }
}

class SliceHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 1)
        self.set_end_date(2024, 12, 31)
        # Add some securities and datasets.
        self.add_future(Futures.Indices.SP_500_E_MINI)
        # Get the historical Slice objects over the last 5 days for all the subcriptions in your algorithm.
        history = self.history(5, Resolution.DAILY)
        # Iterate through each historical Slice.
        for slice_ in history:
            # Iterate through each TradeBar in this Slice.
            for symbol, trade_bar in slice_.bars.items():
                close = trade_bar.close

public class FutureContinuousContractHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Add the Future and specify the contract rollover settings.
        var future = AddFuture(
            Futures.Indices.SP500EMini,
            dataMappingMode: DataMappingMode.OpenInterest,
            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
            contractDepthOffset: 0
        );
        // Get the 5 trailing daily TradeBar objects of the continuous contract. 
        var history = History<TradeBar>(future.Symbol, 5, Resolution.Daily);
        // Iterate through each TradeBar and calculate its dollar volume.
        foreach (var bar in history)
        {
            var t = bar.EndTime;
            var dollarVolume = bar.Close * bar.Volume;
        }
    }
}

class FutureContinuousContractHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Add the Future and specify the contract rollover settings.
        future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0
        )
        # Get the 5 trailing daily TradeBar objects of the continuous contract. 
        history = self.history(TradeBar, future.symbol, 5, Resolution.DAILY)

public class FutureSymbolChangeEventsHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Add the Future and specify the contract rollover settings.
        var future = AddFuture(
            Futures.Indices.SP500EMini,
            dataMappingMode: DataMappingMode.OpenInterest,
            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
            contractDepthOffset: 0
        );
        // Get the contract rollovers for the trailing year. 
        var history = History<SymbolChangedEvent>(future.Symbol, TimeSpan.FromDays(365));
        // Iterate through each rollover and select the Symbol of each contract.
        foreach (var symbolChangedEvent in history)
        {
            var t = symbolChangedEvent.EndTime;
            var oldSymbol = symbolChangedEvent.OldSymbol;
            var newSymbol = symbolChangedEvent.NewSymbol;
        }
    }
}

class FutureSymbolChangeEventsHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Add the Future and specify the contract rollover settings.
        future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0
        )
        # Get the contract rollovers for the trailing year.
        history = self.history(SymbolChangedEvent, future.symbol, timedelta(365))

public class FutureOpenInterestHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var future = AddFuture(Futures.Indices.SP500EMini);
        var symbol = FuturesChain(future.Symbol).First().Symbol;
        // Get the 5 trailing daily OpenInterest objects of the security. 
        var history = History<OpenInterest>(symbol, 5, Resolution.Daily);
        // Iterate through each OpenInterest and get it's value.
        foreach (var oi in history)
        {
            var t = oi.EndTime;
            var openInterest = oi.Value;
        }
    }
}

class FutureOpenInterestHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        symbol = list(self.futures_chain(future.symbol))[0].symbol
        # Get the 5 trailing daily OpenInterest objects of the security in DataFrame format. 
        history = self.history(OpenInterest, symbol, 5, Resolution.DAILY)

public class FutureContractsHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Add a Future.
        var future = AddFuture(Futures.Indices.SP500EMini);
        // Get the daily contract data over the last two trading days.
        var history = History<FutureUniverse>(future.Symbol, 2);
        // Iterate through each day of the history.
        foreach (var futureUniverse in history)
        {
            var t = futureUniverse.EndTime;
            // Select the contract with the greatest open interest.
            var mostOi = futureUniverse.Select(c => c as FutureUniverse).OrderByDescending(c => c.OpenInterest).First();
        }
    }
}

class FutureContractsHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Add a Future.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        # Get the daily contract data over the last two trading days.
        history = self.history(FutureUniverse, future.symbol, 2, flatten=True)