If I use a Future Universe in the Algorithm Framework, how can I get the price of each current Future contract in the CreateTargets method of the PortfolioConstructionModel based on the insights symbols?
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def CreateTargets(self, algorithm, insights):
targets = []
for insight in insights:
#priceOfCurrentContract = ?
return targets
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Hey Filib,
You can access the list of securities in your algorithm with algorithm.Securities. This list is keyed by symbol; so you can access the specific security corresponding to an insight with the insight's symbol. Then, you can access the desired price data from that security object.
1
def CreateTargets(self, algorithm, insights):
targets = []
for insight in insights:
priceOfCurrentContract = algorithm.Securities[insight.Symbol].Close
return targets
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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