Difference between perpetual future price from using data from the Slice in on_data, and real price.

Here are the actionable bugs and misconfigurations in your code that can cause the prices seen in on_data to be different from reality or otherwise unrealistic:

1. Wrong Brokerage Model for Futures

   • You used self.set_brokerage_model(BrokerageName.BINANCE), which is for Binance Spot. For trading crypto futures (like BTCUSDT perpetual), you need to use:
     self.set_brokerage_model(BrokerageName.BINANCE_FUTURES, AccountType.MARGIN)
   • If you use the wrong brokerage, price feeds, fees, and fills will not match what actually happens on Binance Futures.

2. No Real Contract: Using Root Symbol

   • When you call self.add_crypto_future("BTCUSDT", ...), you are adding the future "root", not a specific expiring or perpetual contract.
   • Root symbols typically do not have any price data or cannot be traded directly.
   • All of your data lookups and orders (self._future) are using this root, which can result in empty, missing, or unrealistic prices.

3. Market Parameter Mismatch

   • For Binance futures, use the correct market (should likely be market=Market.BINANCE for spot, but for futures you may need to specify Market.BINANCE or the enum for Binance USDT-margined futures). If the market name is wrong, you may get no data or wrong prices.

4. Conflicting Cash Currencies

   • You call both self.set_account_currency("USDT", 10000000) and self.set_cash("CASH", 10000000).
   • Setting an arbitrary "CASH" currency causes bad currency conversions and portfolio value calculations in QuantConnect. Stick with one quote currency matching the Binance Futures default, usually USDT or BUSD.

5. History Request Issues

   • self.history(self._future,1,Resolution.DAILY) before you have a valid (and mapped) active future contract may return an old, irrelevant price or nothing at all, making your grid orders totally disconnected from reality.

6. Order Quantity Ignored

   • You call self.calculate_order_quantity() but always submit a hardcoded order of 1 contract, ignoring the value returned from the quantity function.
   • Since Binance Futures have a specific contract size, your position sizing and fill prices will be wrong or not make sense for the account size.

How to fix:

• Set brokerage to Binance Futures and account to MARGIN.
• Add a specific future contract, or use universe selection to select the active BTCUSDT perpetual.
• Remove conflicting cash/account currency settings—use only the correct quote (usually USDT for Binance USDT-margined futures).
• Ensure all price and history requests use the correct, tradable contract symbol.
• Use the output of calculate_order_quantity() for your orders.

These issues will make your on_data prices either zero, out-of-date, or simply irrelevant to actual Binance Futures trading. Fixing them should make prices line up with "reality".

Sources: Binance Crypto Price Data - QuantConnect.com, docs writing algorithms datasets quantconnect binance crypto future margin rate data, docs writing algorithms datasets coinapi binance crypto future price data, Bybit Crypto Futures Regression Algorithm, Bybit Crypto Future Price Data - QuantConnect.com

thanks for the reply. I dont understand the second point of no real contract however. How do i fix that can you be a bit more in depth?