Add CME Micro Henry Hub Natural Gas Futures (root symbol: MNY)

Here's how you would structure a sample QuantConnect feature request for native support of CME Micro Henry Hub Natural Gas Futures (MNY), following Francisco's rationale. I’ve also included a ready-to-use illustrative code snippet (assuming MNY is supported in the API), which you can paste in the forums to help developers see the usage.

Feature Request: Support for CME Micro Henry Hub Natural Gas Futures (MNY)

Instrument Introduction

The Micro Henry Hub Natural Gas Futures contract—listed on the CME Globex/NYMEX exchange under the root symbol MNY—offers exposure to U.S. Henry Hub natural gas at one-tenth the size of the standard NG contract. Each Micro contract represents 1,000 MMBtu, is quoted in USD per MMBtu, and follows the same monthly expiry cycle and trading hours as the larger benchmark.

Why It Matters for QuantConnect

• Liquidity & Price Discovery: Natural gas is among the most actively traded energy products; the micro contract leverages this depth while enabling tighter position sizing.
• Retail Accessibility: Margin requirements are approximately one-tenth those of the full-size NG and half those of the E-mini (QG), aligning with QuantConnect’s growing base of retail and small-fund users.
• Risk Management: The smaller notional value allows for finer hedging granularity for energy-related businesses, risk overlays, and volatility strategies without over-exposure.
• Ecosystem Parity: QuantConnect already supports micro contracts for gold (MGC), silver (SIL), WTI (MCL), copper (MHC), Bitcoin (MBT), and others. Adding MNY expands the micro suite and maintains product consistency.
• Systematic Strategy Enhancement: Lower tick value allows higher-frequency rebalancing, spread trading between NG/QG/MNY, calendar-spread arbitrage, and cross-commodity pairs (e.g., natural gas vs. micro crude oil).

Additional Arguments

• Market Participation & Growth: Since launch, open interest and average daily volume in Micro Natural Gas have trended upward, indicating broad adoption among both hedgers and speculators.
• Educational Gateway: Provides a cost-effective entry point for new algorithm developers to learn about energy futures and build strategies.
• Example Use Cases:
  • Statistical arbitrage between Micro and standard NG to exploit intraday inefficiencies.
  • Seasonal storage trades with reduced drawdown risk.
  • Dynamic delta-hedged option overlays where underlying micro futures leg sizing is critical.

Sample Usage (if MNY were supported natively in QuantConnect):

from AlgorithmImports import *

class MicroHenryHubNaturalGasFuturesAlgo(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 1, 31)
        self.set_cash(100_000)

        # Hypothetical symbol for MNY, following the QuantConnect pattern
        future_root = getattr(Futures.Energy, "MICRO_HENRY_HUB_NATURAL_GAS", "MNY")
        self._mny_future = self.add_future(future_root, Resolution.MINUTE)
        self._mny_future.set_filter(timedelta(0), timedelta(days=180))
        self._mny_contract = None

    def on_data(self, data: Slice) -> None:
        if self._mny_contract is None:
            for kvp in data.future_chains:
                chain = kvp.value
                if chain.symbol != self._mny_future.symbol:
                    continue
                viable = [
                    contract for contract in chain.contracts.values()
                    if contract.expiry - self.time > timedelta(days=7)
                ]
                if not viable:
                    continue
                nearest = min(viable, key=lambda c: c.expiry)
                self._mny_contract = nearest.symbol
                self.add_future_contract(self._mny_contract, Resolution.MINUTE)
                break

        if (
            self._mny_contract is not None
            and not self.portfolio.invested
            and data.contains_key(self._mny_contract)
        ):
            self.market_order(self._mny_contract, 1)

Call to Action

If you support adding CME Micro Henry Hub Natural Gas Futures (MNY) to QuantConnect for both backtesting and live trading (with both historical and real-time data), please up-vote or comment on this request!

References:

• CME MNY Contract Details
• QuantConnect Supported Futures

Let’s expand QuantConnect’s energy trading suite for all algorithmic traders!

Sources: US Futures - QuantConnect.com, US Future Universe - QuantConnect.com, US Futures Security Master - QuantConnect.com, Supported Models - QuantConnect.com