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Futures data not accessible in research environment

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Hi,

I cannot get futures data in research environment. This is what I'm trying:

es = qb.AddFuture("ES")
es.SetFilter(timedelta(0), timedelta(180))

future_history = qb.GetFutureHistory(es.Symbol, datetime(2018, 1, 4), datetime(2018, 3, 31))

 

Then the system freezes and I get the following message:

 

Kernel Restarting

The kernel appears to have died. It will restart automatically.

 

This happens no matter how many times I try, refresh or play with arguments. 

 I would appreciate some pointers how to get around this.

Thanks!

Update Backtest



8 Comments
 
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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.

Hi Tomasz Mierzejewski, the kernel dies when we try to access too much data.
The resolution of the data is minute so we have about 86400 data rows (closed market periods are not included) per day. I would advice you to make short-period requests, up to 5 days, then you can extract the data you need (maybe you just need a daily average) and move to the next date/time window.

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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.

I tried to get different resolution than Minute, but that doesn't seem to work. Do futures support Hourly/Daily resolutions? 

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Not, yet. Only minute or higher. Please checkout the futures data here.
With pandas, you can easily compute hour or daily bars from the minute data.
That is the only way to do at the moment.

0

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.

I used the exact example in the documentation. I get NO data at all. 

BTW, is natural gas futures on NYMEX symbol NG? Just checking.

thanks!

=========================================

es = qb.AddFuture("ES")
es.SetFilter(timedelta(0), timedelta(180))

# request the SP500 futures history from 01/11/2017 10:10 to 01/12/2017 12:10
future_history = qb.GetFutureHistory(es.Symbol, datetime(2017, 1, 11, 10, 10), datetime(2017, 1, 12, 12, 10))

# Get all futures data as a dataframe
future_history.GetAllData()

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Future data in research is a known issue. Thanks in future please send bug reports to support@quantconnect.com 

0

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.

Hi all!

We are happy to announce that the following code now works correctly in the new research!

# Create an instance
qb = QuantBook()
es = qb.AddFuture("ES")
es.SetFilter(timedelta(0), timedelta(180))

# request the SP500 futures history from 01/11/2017 10:10 to 01/12/2017 12:10
future_history = qb.GetFutureHistory(es.Symbol, datetime(2017, 1, 11, 10, 10), datetime(2017, 1, 12, 12, 10))

# Get all futures data as a dataframe
future_history.GetAllData()

37136_1570727281.jpg

0

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.

Hi Martin,

Tested with ES and NG, CL etc.   kernel dies often but not always:  

Kernel Restarting
The kernel appears to have died. It will restart automatically.

Performance quickly deteriorates with increasing number of given months.  

 

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I think there is a memory limit and if you hit the memory limit the kernel will die

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Update Backtest



0

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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