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I'm experimenting with the BasicTemplateFuturesHistoryAlgorithm example. I'm using a live Interactive Brokers connection and it seems to be working well. I'm just wondering how to specify to only receive updated for the current front month contract? E.g. i'd like to only receive CLQ18
Currently i'm seeing output like this;
20180626 14:50:00.001 Trace:: Log: CLF19,Bid=66.77 Ask=66.79 Last=66.65 OI=13953
20180626 14:50:00.001 Trace:: Log: CLQ18,Bid=70.8 Ask=70.81 Last=70.8 OI=217338
20180626 14:50:00.005 Trace:: Log: CLU18,Bid=69.51 Ask=69.52 Last=69.52 OI=247271
20180626 14:50:00.008 Trace:: Log: CLV18,Bid=68.34 Ask=68.35 Last=68.35 OI=71017
20180626 14:50:00.013 Trace:: Log: CLX18,Bid=67.71 Ask=67.73 Last=67.74 OI=30568
20180626 14:50:00.018 Trace:: Log: CLZ18,Bid=67.23 Ask=67.25 Last=67.24 OI=285264
ScalpTrader
Okay so after a bit of experimentation i found that by not specifying any type of filter on the contract i could get the front month ticks. E.g.
private const string RootWTI = Futures.Energies.CrudeOilWTI;
public Symbol WTI = QuantConnect.Symbol.Create ( RootWTI, SecurityType.Future, Market.USA;
public override void Initialize() {
var futureWTI = AddFuture ( RootWTI, Resolution.Tick );
...
}
ScalpTrader
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