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LEAN is the open source algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a global community of 80+ engineers and powers more than a dozen hedge funds today.

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Lexx7

1.2k Pro ,

I tried the below code and it ran successfully but returned an empty dataframe.

Can you please check this still works

es  = qb.AddFuture("ES")

es.SetFilter(timedelta(0), timedelta(180))

future_history = qb.GetFutureHistory(es.Symbol, datetime(2017, 1, 11, 10, 10), datetime(2017, 1, 13, 12, 10))

future_history.GetAllData()

Jack Simonson

Pro ,

Hi,

We've just done an overhaul of our futures data and will have the Research Environment updated soon. Once this is done, this code should work fine, but if you continue to encounter issues with it in the next week, please let us know and we'll do our best to find a solution.

Ch9ki7

9 Pro ,

I want to evaluate some ideas on options. But I need the greeks, looks like we can not get them through `option_history.GetAllData()`. How can we get the greeks and IV?

Link Liang

STAFF Pro ,

Hi Ch9ki7,

In research environment, there is no direct access to those values, therefore you have to calculate on your own. However, we offer those values in backtesting terminal. Here is the usage of option data. Greeks and IV can be accessed as properties of OptionContract object.

Hope it helps!

Brian Weber

921 Pro ,

Hi Jack,

I tried the example code for retrieving historical futures data, but when I get all the data nothing prints. Is there a bug for historical futures data?

Thanks,

Brian

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Link Liang

STAFF Pro ,

Hi Brian,

Sorry about the inconvenience, we are aware of the bug and are working on addressing it for the community. Due to the current work in progress, we expect this will be resolved in about 1 week.

Brian Weber

921 Pro ,

Thank you, Link! No worries I check back in about a week to try the code again.

Islander

1.6k Pro ,

%matplotlib inline

# Imports

from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Common")

AddReference("QuantConnect.Jupyter")

AddReference("QuantConnect.Indicators")

from System import *

from QuantConnect import *

from QuantConnect.Data.Custom import *

from QuantConnect.Data.Market import TradeBar, QuoteBar

from QuantConnect.Jupyter import *

from QuantConnect.Indicators import *

from datetime import datetime, timedelta

import matplotlib.pyplot as plt

import pandas as pd



# Create an instance

qb = QuantBook()



# Select asset data

assets = ["SPY", "EURUSD", "BTCUSD", "GOOG", "ES", "XAUUSD"]



spy = qb.AddEquity("SPY")    # add equity data

eur = qb.AddForex("EURUSD")  # add forex data

btc = qb.AddCrypto("BTCUSD") # add crypto data

goog = qb.AddOption("GOOG")  # add goog options

es  = qb.AddFuture("ES")     # add SP 500 futures

xau = qb.AddCfd("XAUUSD", Resolution.Minute, Market.Oanda)



# Gets historical data from the subscribed assets, the last 360 datapoints with daily resolution

h1 = qb.History(qb.Securities.Keys, 360, Resolution.Daily)



# Plot closing prices from "SPY" 

for s in assets:

    h1.loc[s]["close"].plot()

fails with error:

the label [GOOG] is not in the [index]

but I suppose that if I use SPY and XAUUSD only it fails as well.

Why is this happening?

Hao Bin Zhang

1.3k Pro ,

Islander I think it has to do with this line

h1 = qb.History(qb.Securities.Keys, 360, Resolution.Daily)

I don't believe the research can handle that much data currently.

Jared Broad

Pro ,

We're rebuilding research from scratch. It should be available by the end of next week.

Omegab

126 Pro ,

Hi Jared, is it possible to have Extended Market Stock data in the Research Environment as I tried to pass it to bo AddEquity and History functions to no avail?

Xin Wei

STAFF Pro ,

Hi Omegab,

Extended market hours data is available in the research environment. I've attached a Research Notebook to show how to implement it. Please check it out.

Notebook

Jack Simonson

Pro ,

Hi Mike,

This is a result of how we aggregate and timestamp daily data. It is timestamped at UTC 00:00 the day after it has happened -- i.e., all data from 2019-11-15 is aggregated and we create a Daily OHLCV with the timestamp 2019-11-16 00:00.

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