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?

Update Backtest

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. 


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.


Update Backtest


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