BTC Futures

Hi I have the following code (that's just an example) and here is a discrepance that I found.. 

public class FuturesAlgorithm : QCAlgorithm
private Future future;
private List<Symbol> _futureContracts = new List<Symbol>();
private DateTime oldTime = new DateTime (2001, 01, 26);

private FuturesContract contract;
private TradeBarConsolidator consolidator;
private BollingerFuture bb = new BollingerFuture(36, 1.25m);

public override void Initialize()
SetStartDate(2018, 05, 12);
SetEndDate(2018, 05, 17);

consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(30));
consolidator.DataConsolidated += OnDataConsolidated;

future = AddFuture("BTC", Resolution.Minute);
future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(92));

public override void OnData(Slice data)

foreach(var chain in data.FutureChains)
foreach(var cc in chain.Value)
Log($"symbol: {cc.Symbol.Value} exp: {cc.Expiry}");

This code will produce the following output:

2018-05-13 18:30:00 symbol: BTCM18 exp: 6/1/2018 12:00:00 AM
2018-05-13 18:30:00 symbol: BTCN18 exp: 7/1/2018 12:00:00 AM


1) Expiry dates are shifted 1 month backward- BTCM18 for example expires on Jul 1. 

2) Despite this, algo will in fact give you data for June and July future. But - for BTC the front futures contract is the nearest - expiring at the end of this month - if there is a way to handle it?

Update Backtest

Update Backtest


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