Problem with live deploy with Oanda by Joao Seabra

Joao Seabra INVESTOR

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Hello,

I'm new to QuantConnect. I try to deploy an algorithm live with Oanda but get systematic the same error:

During the algorithm initialization, the following exception has occurred: System.Exception: No default market set for security type: Future
at QuantConnect.Algorithm.QCAlgorithm.AddFuture (System.String symbol, QuantConnect.Resolution resolution, System.String market, System.Boolean fillDataForward, System.Decimal leverage) [0x00039] in <948b718a188a4ba2994823a9f477c87e>:0
at QuantConnect.Algorithm.CSharp.FuturesMomentumAlgorithm.Initialize () [0x00085] in <37a8d66406484b15b9222918d3dbc502>:0
at QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler+<>c__DisplayClass24_0.<Setup>b__1 () [0x000fb] in <bc4479b96615496c83f0743fe1039576>:0 No default market set for security type: Futureand here is the Code:using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// EMA cross with SP500 E-mini futures
/// In this example, we demostrate how to trade futures contracts using
/// a equity to generate the trading signals
/// It also shows how you can prefilter contracts easily based on expirations.
/// It also shows how you can inspect the futures chain to pick a specific contract to trade.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="futures" />
/// <meta name="tag" content="indicators" />
/// <meta name="tag" content="strategy example" />
public class FuturesMomentumAlgorithm : QCAlgorithm
{
private const string RootSP500 = Futures.Indices.SP500EMini;
public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.Oanda);

private const decimal _tolerance = 0.001m;
private const int _fastPeriod = 20;
private const int _slowPeriod = 50;

private ExponentialMovingAverage _fast;
private ExponentialMovingAverage _slow;

public bool IsReady { get { return _fast.IsReady && _slow.IsReady; } }
public bool IsUpTrend { get { return IsReady && _fast > _slow * (1 + _tolerance); } }
public bool IsDownTrend { get { return IsReady && _fast < _slow * (1 + _tolerance); } }

public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2018, 3, 15);
SetCash(10000);
SetWarmUp(Math.Max(_fastPeriod, _slowPeriod));

// Adds SPY to be used in our EMA indicators
var equity = AddEquity("SPY", Resolution.Daily);
_fast = EMA(equity.Symbol, _fastPeriod, Resolution.Daily);
_slow = EMA(equity.Symbol, _slowPeriod, Resolution.Daily);

// Adds the future that will be traded and
// set our expiry filter for this futures chain
var futureSP500 = AddFuture(RootSP500);

futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));

}
I saw on quantconnect.com/data that SP500 with Oanda is a Cfd; has this maybe to do with the error?Thanks for your help! ;=)NB: I'm not a programmer, just a guy trying to find a solution to automate my trades. ;=)

Update Backtest

Joao Seabra

Accepted Answer

Update Backtest

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Jared Broad

OANDA does not support futures trading -- is it the equivalent a CFD you're seeking to trade?

Joao Seabra

39 ,

Hi Mr Broad, yes. As I am a Oanda customer I have no other choice than to trade as CFD ;-) Most indices if not all are tradeable at Oanda as CFD's. Is there a way to change the 'SecurityType.Future' in 'SecurityType.Cfd'?

using System;

using System.Linq;

using QuantConnect.Data;

using QuantConnect.Orders;

using QuantConnect.Securities;

using QuantConnect.Indicators;



namespace QuantConnect.Algorithm.CSharp

{

    /// <summary>

    /// EMA cross with SP500 E-mini futures

    /// In this example, we demostrate how to trade futures contracts using

    /// a equity to generate the trading signals

    /// It also shows how you can prefilter contracts easily based on expirations.

    /// It also shows how you can inspect the futures chain to pick a specific contract to trade.

    /// </summary>

    /// <meta name="tag" content="using data" />

    /// <meta name="tag" content="futures" />

    /// <meta name="tag" content="indicators" />

    /// <meta name="tag" content="strategy example" />

    public class FuturesMomentumAlgorithm : QCAlgorithm

    {

        private const string RootSP500 = Futures.Indices.SP500EMini;

        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.Oanda);

        

        private const decimal _tolerance = 0.001m;

        private const int _fastPeriod = 20;

        private const int _slowPeriod = 50;



        private ExponentialMovingAverage _fast;

        private ExponentialMovingAverage _slow;



        public bool IsReady { get { return _fast.IsReady && _slow.IsReady; } }

        public bool IsUpTrend { get { return IsReady && _fast > _slow * (1 + _tolerance); } }

        public bool IsDownTrend { get { return IsReady && _fast < _slow * (1 + _tolerance); } }



        public override void Initialize()

        {

            SetStartDate(2016, 1, 1);

            SetEndDate(2018, 3, 15);

            SetCash(10000);

            SetWarmUp(Math.Max(_fastPeriod, _slowPeriod));



            // Adds SPY to be used in our EMA indicators

            var equity = AddEquity("SPY", Resolution.Daily);

            _fast = EMA(equity.Symbol, _fastPeriod, Resolution.Daily);

            _slow = EMA(equity.Symbol, _slowPeriod, Resolution.Daily);



            // Adds the future that will be traded and

            // set our expiry filter for this futures chain

            var futureSP500 = AddFuture(RootSP500);

           

            futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));

            

        }



        public override void OnData(Slice slice)

        {

            if (!Portfolio.Invested && IsUpTrend)

            {

                foreach (var chain in slice.FutureChains)

                {

                    // find the front contract expiring no earlier than in 90 days

                    var contract = (

                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)

                        where futuresContract.Expiry > Time.Date.AddDays(90)

                        select futuresContract

                        ).FirstOrDefault();



                    // if found, trade it

                    if (contract != null)

                    {

                        MarketOrder(contract.Symbol, 1);

                    }

                }

            }



            if (Portfolio.Invested && IsDownTrend)

            {

                Liquidate();

            }

        }



        public override void OnEndOfDay()

        {

            Plot("Indicator Signal", "EOD", IsDownTrend ? -1 : IsUpTrend ? 1 : 0);

        }



        public override void OnOrderEvent(OrderEvent orderEvent)

        {

            Log(orderEvent.ToString());

        }

    }

}

Alexandre Catarino

In order to add CFD to your algorithm, please use:

AddCfd("US30USD", market: Market.Oanda);

For other CFD contracts, please checkout the database.

Joao Seabra

39 ,

Ola Alexandre, prazer falar consigo ;-)

I have already tried your code proposal, but must I change something here?

private const string RootSP500 = Futures.Indices.SP500EMini;
public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.Oanda);

Or replace it completely by your code?

Jared Broad

"Or replace it completely by your code? " -- Correct; CFD's are much simpler than real futures trading.

Joao Seabra

39 ,

Hi Mr Broad, yes I have completely replaced it. The connection seems to work with the DAX30 (Oanda: DE30EUR). I think the rest of the code is not correct to place the trades If I use 'AddCfd' because I see 'slice.FutureChains' this method will not look for the addCfd.

// Adds SPY to be used in our EMA indicators

            var equity = AddEquity("SPY", Resolution.Daily);

            _fast = EMA(equity.Symbol, _fastPeriod, Resolution.Daily);

            _slow = EMA(equity.Symbol, _slowPeriod, Resolution.Daily);



            // Adds the future that will be traded and

            // set our expiry filter for this futures chain

            



        }



        public override void OnData(Slice slice)

        {

            if (!Portfolio.Invested && IsUpTrend)

            {

                foreach (var chain in slice.FutureChains)

                {

                    // find the front contract expiring no earlier than in 90 days

                    var contract = (

                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)

                        where futuresContract.Expiry > Time.Date.AddDays(90)

                        select futuresContract

                        ).FirstOrDefault();



                    // if found, trade it

                    if (contract != null)

                    {

                        MarketOrder(contract.Symbol, 1);

                    }

                }

            }



            if (Portfolio.Invested && IsDownTrend)

            {

                Liquidate();

            }

        }



        public override void OnEndOfDay()

        {

            Plot("Indicator Signal", "EOD", IsDownTrend ? -1 : IsUpTrend ? 1 : 0);

        }



        public override void OnOrderEvent(OrderEvent orderEvent)

        {

            Log(orderEvent.ToString());

        }

    }

}

ES trades on the Chicago exchange and the SPY in New York. The strategy is extremely profitable in backtesting due to look ahead capability derived from New York being 1 hour ahead of Chicago. Perhaps QC can give an example of how to align data across timezones when trading one market based on signals from another?

Joao Seabra INVESTOR

Update Backtest

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