Futures

Requesting Data

Introduction

Request Futures data in your algorithm to receive a feed of contract prices in the OnData method. For more information about the specific dataset we use for backtests, see the US Futures dataset listing.

Create Subscriptions

Before you can subscribe to a Futures contract, you must get the contract Symbol.

Get Contract Symbols

To get Futures contract Symbol objects, call the CreateFuture method or use the FutureChainProvider. If you use the CreateFuture method, you need to know the specific contract details.

_contractSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini,
    Market.CME, new DateTime(2022, 6, 17));
self.contract_symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini,
    Market.CME, datetime(2022,6,17))

If you use the FutureChainProvider, you need to create the continuous contract Symbol of the Future. The GetFutureContractList method of FutureChainProvider returns a list of Symbol objects that reference the available Futures contracts for a given underlying Future on a given date.

var continuousFutureSymbol = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
var contractSymbols = FutureChainProvider.GetFutureContractList(continuousFutureSymbol, Time);
_contractSymbol = contractSymbols.OrderByDescending(symbol => symbol.ID.Date).Last();
continuous_future_symbol = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)
contract_symbols = self.FutureChainProvider.GetFutureContractList(continuous_future_symbol, self.Time)
self.contract_symbol = sorted(contract_symbols, key=lambda symbol: symbol.ID.Date)[0]

Subscribe to Contracts

To create a Futures contract subscription, pass the contract Symbol to the AddFutureContract method. Save a reference to the contract  Symbol so you can easily access the contract in the FuturesChain that LEAN passes to the OnData method.

AddFutureContract(_contractSymbol);
self.AddFutureContract(self.contract_symbol)

The AddFutureContract method creates a subscription for a single Future contract and adds it to your user-defined universe. To create a dynamic universe of Futures contracts, add a Futures universe or a Futures Universe Selection model.

Warm Up Contract Prices

If you subscribe to a Futures contract with AddFutureContract, you'll need to wait until the next Slice to receive data and trade the contract. To trade the contract in the same time step you subscribe to the contract, set the current price of the contract in a security initializer.

SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel,
    new FuncSecuritySeeder(GetLastKnownPrices)));
self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel,
    FuncSecuritySeeder(self.GetLastKnownPrices)));

Supported Assets

To view the supported assets in the US Futures dataset, see Supported Assets.

Resolutions

The following table shows the available resolutions and data formats for Futures subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
Tickgreen checkgreen check
Secondgreen checkgreen check
Minutegreen checkgreen check
Hourgreen checkgreen check
Dailygreen checkgreen check

The default resolution for Futures contract subscriptions is Resolution.Minute. To change the resolution, pass a resolution argument to the AddFutureContract method.

AddFutureContract(_contractSymbol, Resolution.Daily);
self.AddFutureContract(self.contract_symbol, Resolution.Daily)

To create custom resolution periods, see Consolidating Data.

Supported Markets

The following Market enumeration members are available for Futures:

You don't need to pass a market argument to the AddFutureContract method because the contract Symbol already contains the market.

Fill Forward

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

To disable fill forward for a security, set the fillDataForward argument to false when you create the security subscription.

AddFutureContract(_contractSymbol, fillDataForward: false);
self.AddFutureContract(self.contract_symbol, fillDataForward=False)

Margin and Leverage

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. Futures are already leveraged products, so you can't change their leverage with the default margin model.

Extended Market Hours

By default, your security subscriptions only cover regular trading hours. To subscribe to pre- and post-market trading hours for a specific asset, enable the extendedMarketHours argument when you create the security subscription.

AddFutureContract(_contractSymbol, extendedMarketHours: true);
self.AddFutureContract(self.contract_symbol, extendedMarketHours=True)

You only receive extended market hours data if you create the subscription with an intraday resolution. If you create the subscription with daily resolution, the daily bars only reflect the regular trading hours.

To view the schedule of regular and extended market hours, see Market Hours.

In general, we model most Futures market hours with the following segments:

Market SegmentTime
Pre-market00:00:00 to 09:30:00
Market09:30:00 to 17:00:00
Post-market18:00:00 to 00:00:00

We model it this way because some Futures, like VIX, have pre- and post-market hours, so we standardized it. With this segmentation, if you set a Scheduled Events for the market open, it's set for 9:30 AM instead of midnight.

Continuous Contracts

A continuous Futures contract represents a single contract that maps to other contracts over time as the rollover rules are met. For more information about continuous Futures contracts, see Continuous Contracts.

Properties

The AddFutureContract method returns a Future object, which have the following properties:

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