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Futures data format

Hi,

I am newbie to quantconnect\lean so apologies if my question is trivial. Is there some documentation of expected data format for futures (daily or minute resolution) so that I can write a custom converter for my own data (something similar to AlgoSeekFuturesConverter I guess).

Many thanks for your help

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Hi,

Welcome to QuantConnect! There is some good documentation regarding data handling. Futures data is interesting because it supports both TradeBars and QuoteBars whose properties are documented in the Handling Data section. Specific documentation on Futures is also available, along with algorithm examples that will hopefully assist you in figuring out the format of Futures data. You can also find information about importing custom data in the documentation section. If you have additional questions, continue to post in the forum and our team and the QuantConnect community will do our best to assist you!

Good luck!

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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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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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