During the algorithm initialization, the following exception has occurred: Unable to locate exchange hours for Future-cmeglobex-BRRV18 by Franklin Antonio

Franklin Antonio INVESTOR

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I don't know how to fix this error: "During the algorithm initialization, the following exception has occurred: Unable to locate exchange hours for Future-cmeglobex-BRRV18" The message doesn't tell me which statement causes it, but I was able to nail that down by commenting out various statements.

Have I done something wrong with the symbol, or do I just not understand how to properly use this API or what?

public class BasicTemplateAlgorithm : QCAlgorithm
    {
        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
        private Symbol _bct = QuantConnect.Symbol.Create("BRRV18", SecurityType.Future, Market.Globex);

}

       public override void Initialize()
        {
            SetStartDate(2018, 1, 07); //Set Start Date
            SetEndDate(2018, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            AddEquity("SPY", Resolution.Minute);
            AddFutureContract(_bct,Resolution.Hour,true);   //<--this guy causes the error
        }

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Franklin Antonio

Accepted Answer

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Jing Wu

242.2k ,

Before requesting the future contract data with AddFutureContract(), you should first fetch a list of available future contracts with

var futureChains = FutureChainProvider.GetFutureContractList(symbol, Time);

Then you can choose the contract to trade from this future chains.

This symbol argument here should be the symbol object. For example S&P500 Mini futures, you can get the symbol object with

public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.USA);

You can search for the available future string tickers like "ES" in data explorer. "BRRV18" is not an available future ticker to use. Are you looking for US dollar / Brazilian Real(USD/BRL) cash Settle Future? The ticker should be "BRL" for US dollar / Brazilian Real(USD/BRL) cash Settle Future.

Please see the attached algorithm

Instead of using the future chain provider, you can also request the futures data with AddFuture(symbol). You can find this example on Github.

Franklin Antonio

79 ,

I don't understand what I am supposed to do. The "data explorer" is only helpful if you already know the symbol. When I type BRR it doesn't find.

I was trying for the CME bitcoin futures contract.

I also don't understand what Market.USA means exactly. I used Market.Globex, because this contract trades on Globex. What is the distinction?

Is this stuff explained anywhere?

Franklin Antonio

79 ,

There is so much here that is unclear to me. When you write

public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.USA);

I don't understand what is going on because ES is NOT the symbol for a futures contract. It is the symbol BASE for a family of futures contracts. So are you saying I have to start with the symbol base and then go from there? If so, what do I do to specify the specific futures contract?

Franklin Antonio

79 ,

I finally found some words in the API docs explaining that you default to the near contract. One down... many to go.

Jing Wu

242.2k ,

The string ticker here represents a family of future contracts. They are the standardized symbol ticker assigned by the exchange. You can search for them on this website.

We also mapped some of the Futures symbols in this class (as there are thousands of symbols, these are only commonly used futures):

https://github.com/QuantConnect/Lean/blob/master/Common/Securities/Future/Futures.cs

Unlike equity, the futures contract is an agreement that has the expiration. After the contract expires, it is no longer traded in the market. Therefore, you need to add the futures with the generalized string ticker and select the contract available to trade in the market at the current time. For example, you want to trade SP500 Emini futures, you get a list of all the available contract with FutureChainProvider.GetFutureContractList(SP500, Time) and then select the contract from this list. To find the specific contract, you need to use the expiration date(see the attached algorithm) or the specific symbol.

var contracts = (from symbol in futureChains where symbol.Value == "StringTickerOfSpecificFutureContract" select symbol);

However, using the contract string ticker to filter the contract might give zero contract when this contract expires and not available in the market.

The string ticker of Bitcoin futures is "BTC". We use Market.USA for all futures traded in the United States. There's no need to specify the exchange when adding the futures.

public Symbol btc = QuantConnect.Symbol.Create("BTC", SecurityType.Future, Market.USA); // get a list of all available future contracts at the current time var futureChains = FutureChainProvider.GetFutureContractList(btc, Time);

Thomas O'Reilly

439 ,

Hello Jing Wu!

I'd like to make use of the FutureChainProvider, but I'm struggling to get it setup. My algorithm is in Python, but I have no issue translating from C# code, if you prefer to code in C#.

After many failed attempts of translating your above code into python to use the FutureChainProvider, I cloned your algorithm to see it run in C#. To my surprise, it seems that the code provided always gets a "0" back for futureChains, and the contracts list is always blank.

I've tried to find what is going wrong, but it seems that according to the documentation found here:

https://www.quantconnect.com/lean/documentation/topic24990.html#

the code should be getting some future contracts. Has something changed since this was written? Or am I missing something?

Derek Melchin

STAFF ,

Hi Thomas,

ES is trade on CME and we have changed the Market from USA to CME since this thread was created. Therefore to resolve this, we just need to change

public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.USA);

public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.CME);

See the attache backtest and plot for reference.

Best,
Derek Melchin

Thomas O'Reilly

439 ,

Good to know! Thank you!

Franklin Antonio INVESTOR

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