Back

Trouble with Micro Futures (e.g. MES)

There are no compile errors. In my OnData function, the front-end ES future contracts does get picked up but the front-end MES future contracts does not. What am I missing?

ES = E-Mini S&P Futures

MES = Micro E-Mini S&P Futures

I do see MES data in the QuantConnect Data Explorer data tree, /data/tree/future/usa/minute/mes

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.


Hi Mickael,

Contract "MES" is not available.

See the available contract here :

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

Best

0

In that case, I created a Pull request, 

https://github.com/QuantConnect/Lean/pull/3818

 

0

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.


Loading...

This discussion is closed