Back

Can I analyze Futures Tick data using Jupyter Notebook?

I have tried to load Futures Tick data using the command :

future_history = qb.GetFutureHistory(gc.Symbol, datetime(2018, 1, 4), Resolution.Tick)

It returns empty data frame. Minute level resolution is working. I understand it's huge amount of information so I requested only one day data.

Any help thanks.

Update Backtest








0

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.


Hi futures data are not available in notebook research now we are still working on it.

0

Thanks for your reply.

0

Hi Mark,

We're looking into enabling that feature but there is no set timeline right now. The issue is that some ticks have the same timestamp and data frames in the Research Environment aren't equipped to handle non-unique indexes. To handle this we will need to enable slice objects as well. Keep an eye on our News and Releases for any updates.

0

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.


Can I analyze Equity Tick data using Jupyter Notebook
0

Hi Luis,

It is possible to analyze equity tick data in the research notebook. Learn more in the documentation on research and the documentation on tick data.I also highly recommend checking out the boot camps as they are the best way to learn Lean.

Best
Rahul

1

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.


Thank you Rahul ,

I did see the Ticks documentation on research but I can not get it to work I can only get Minute. I understand qb.History does not do ticks, 

I have to say I really like Quantconnect it is especially better than Quantopian in some aspects but documentation is not one of them. I also find the boot camp lacking in the training aspects of research and the jupyter notebooks.

1

Hi Luis,

Thank you for the feedback. We are always looking to improve the quality of our documentation and educational content. There are will be many more bootcamps in the future, including ones which cover research.

Sorry about my previous answer as it is incorrect. There is currently an issue with tick data in research and we are working on addressing it. For now, the best alternative is to use second resolution data.

Best
Rahul

1

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.


Update Backtest





0

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.


Loading...

This discussion is closed