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Hello,
I am trying to use data for both WTI and BRENT futures. I am using the following code to iterate between the futures contracts;however, I dont seem a way to correctly get the current symbols for both WTI and BRENT. I need to create two arrays with the closing prices of each asset, but I can only get it for one of them as of now.
self.AddFuture(Futures.Energies.CrudeOilWTI, Resolution.Minute)
self.AddFuture("BZ", Resolution.Minute)
#in OnData
for chain in data.FutureChains:
#retrieving contracts from chain
contracts = [i for i in chain.Value]
if len(contracts) == 0:
continue
sortedByEXContracts = sorted(contracts, key=lambda k : k.Expiry, reverse=True)
self.futurecontracts = sortedByEXContracts[0]
symbol = self.futurecontracts.Symbol
expiry = self.futurecontracts.Expiry
df = self.History([symbol], 10, Resolution.Minute)
df_close = df.loc[(expiry, symbol), "close"]
Shile Wen
Hi Giuliano,
An easier way to get the front month contract is to use future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen()). Furthermore, we can check the underlying of a futures contract with contract.Symbol.ID.Symbol to know which RollingWindow, a way to store data in a rolling manner, to add the data to. I've shown this in the attached backtest.
Best,
Shile Wen
Giuliano Ciccone
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