Runtime errors with Basic Futures Template + sorting by Volume or Interest instead of Expiry? by Sebastien Winsor

Sebastien Winsor

, edit

I'm getting runtime errors on the basic futures template.

Runtime Error: AttributeError : 'datetime.datetime' object has no attribute 'Date' at OnData

    def OnData(self, slice):

        if not self.Portfolio.Invested:

            for chain in slice.FutureChains:

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

                contracts = [ i for i in chain.Value if i.Expiry > self.Time.Date.AddDays(180) ]

                

                # if thre is more than one contract, trade the one woth the closes expire date

                if len(contracts) > 0:

                    contract = sorted(contracts, key=lambda x: x.Volume, reverse=False)[0]

                    self.MarketOrder(contract.Symbol, 1);

Then, if I modify the line to remedy the error (simply putting contracts = chain.Values.Contracts), I get the following TypeError:

Runtime Error: TypeError : object of type 'FuturesContracts' has no len()



    def OnData(self, slice):

        if not self.Portfolio.Invested:

            for chain in slice.FutureChains:

                contracts = chain.Values.Contracts

                if len(contracts) > 0:

                    contract = sorted(contracts, key=lambda x: x.Volume, reverse=False)[0]

                    self.MarketOrder(contract.Symbol, 1);

        else:

            self.Liquidate();

I'm just trying to change the code from sorting by expiry to sorting by volume. Seems like it should be simple but I'm running into some difficulties, obviously.

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4 Comments

Sebastien Winsor

, ,

Accepted Answer

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Sebastien Winsor

99 ,

No way to edit??

Jing Wu

194.5k ,

Hi Sebastien, self.Time is a python datetime object, you should use the python syntax

self.Time.date() + timedelta(days=2)

chain.Values.Contracts is not a list, you should use the following statement to get a list of future contracts

for chain in slice.FutureChains:

    contracts = [i for i in chain.Value]

Please see the basic futures algorithm

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateFuturesAlgorithm.py

Volume property is not available for the futures contract, you could find properties of FuturesContract in the doc

https://www.quantconnect.com/lean/documentation/topic24129.html

Sebastien Winsor

99 ,

Thanks Jing. I did manage to solve the datetime object attribute error. For the type error, the documentation appears misleading somewhat, and lists volume as a property of the contract; is there a mistake with the documentation?

# Explore the future contract chain

def OnData(self, slice):

    for chain in slice.FutureChains.Values:

        contracts = chain.Contracts

        for contract in contracts:

            pass



class FuturesContract:

    self.Symbol # (Symbol) Symbol for contract needed to trade.

    self.UnderlyingSymbol # (Symbol) Underlying futures asset.

    self.Expiry # (datetime) When the future expires

    self.OpenInterest # (decimal) Number of open interest.

    self.LastPrice # (decimal) Last sale price.

    self.Volume # (long) reported volume.

    self.BidPrice # (decimal) bid quote price.

    self.BidSize # (long) bid quote size.

    self.AskPrice # (decimal) ask quote price.

    self.AskSize # (long) ask quote size.

In any case, we should be able to use open interest to identify the active contract. Ideally we'd use volume, but OI should work too. The following code will select the contract in the futurechain with the highest OI, correct?

    def OnData(self,slice):

        if not self.Portfolio.Invested:

            for chain in slice.FutureChains:

                contracts = [i for i in chain.Value]

                active = sorted(contracts, key = lambda x: x.OpenInterest, reverse=False)[0]

Sebastien Winsor

99 ,

I have one other issue with orders specifically. For some reason at the moment I'm unable to post a reply with a backtest attached so I posted the code below. It's the same logic used in several templates, however my algorithm constantly buys/liquidates holdings, almost as if futures were not recognized by self.Portfolio.Invested. I fill up the 10k order limit in a matter of hours. Can you see what the issue is here?

Many thanks for all your help.

from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Common")



from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Securities import *

from datetime import timedelta



class BasicTemplateFuturesAlgorithm(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2013, 10, 7)

        self.SetEndDate(2013, 10, 11)

        self.SetCash(1000000)



        # Subscribe and set our expiry filter for the futures chain

        futureES = self.AddFuture(Futures.Indices.SP500EMini)

        futureES.SetFilter(timedelta(0), timedelta(182))



        futureGC = self.AddFuture(Futures.Metals.Gold)

        futureGC.SetFilter(timedelta(0), timedelta(182))





    def OnData(self,slice):

        if not self.Portfolio.Invested:

            for chain in slice.FutureChains:

                contracts = [i for i in chain.Value]

                if len(contracts) > 0:

                active = sorted(contracts, key=lambda x: x.OpenInterest, reverse=False)[0]

                self.MarketOrder(active.Symbol, 1);

        else:

            self.Liquidate()

Sebastien Winsor

, , edit

Update Backtest

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