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Hi, I am trying to set up an algorithm in python that will trade the nearest date to expiry SPX (or other) futures contracts to only hold over the weekend with the two simple rules:
I can see examples for this using schedule for normal stocks, but how would you do this for futures?
Thanks!
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Derek Melchin
Hi J,
We can use the continuous contract Symbol to create the Scheduled Event.
See the attached backtest for an example.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jayakumar Munuswamy
Hi J,
Here is a full example with SPX aka SP500EMini which buys on Friday evening and sells on Sunday Evening. Have to use extendedMarketHous to get correct open and close time and sue resolution=Minute to get correct price at those times.
Hope you and other find it a useful start!
Cheers!
Jay
J
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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