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Hi everyone - I'm new to using futures in QC and have a few questions.
E-mini Nasdaq futures trade from 6:00 p.m. U.S. ET until 5:00 p.m. U.S. ET the following afternoon and include March, June, September, and December. This algorithm will only use front month contracts for each run. When adding the Nasdaq EMINI100 futures to the algorithm, how can I filter them so only the front month contract returns?
Second, each day the algorithm runs, it will need to calculate the front month contract pricing delta between the price at 0928 of the new Trading Day (before the NASDAQ opens) and the price from 1800 of the the previous trading day (when the futures market opened). How am I able to historically request this data for this specific time? The documentation appears to reference requesting bars and time period; however, I'd like to request just these two specific minute period closing price data.
Thanks in advance!
Varad Kabade
Hi James Hawkins,
We recommend trying :
to get the required contracts.
We recommend keeping a RollingWindow of size 2 to keep track of the closing prices. So when the algorithm time is 0928, the value at index 0 will correspond to the above time, and index one will correspond to the price at 1800 the previous day.
Best,
Varad Kabade
James Hawkins
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