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Universe of all available Futures

This notebook shows, that an individual Future contract can be selected by

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

How can I set all available ~1000 Future contracts as the Universe?

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Unfortunately we don't support a Future universe of that scope. Note that the Future data is a universe in and of itself - the slice data in OnData will have a FuturesChains, that contains all subscribed future data, then a FutureChain, which will contain a chain of contracts for the specific ticker. 

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I believe I read that the futures contracts data is from Interactive Brokers and you need an account. In this case, you could set up a custom universe. Something along the lines:

self.AddUniverse(AllFutures, "myAllFutures", Resolution.Daily)


class AllFutures(PythonData):

def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource(@"your-remote-universe-data", SubscriptionTransportMedium.RemoteFile)

To read all the remote data into a universe. I haven't done remote data though.

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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.


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