How to create a Symbol object for a future contract? by Wilson Tang

Wilson Tang

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I used to use the AddFuture() function to request Future data. But I found the AddFutureContract() function and thought it will be more straightforward to use it if I only want to get the data of the front month contract. To use it, I have to create the Symbol object of the front month contract but I cannot find any sample code about it. Say, I want to trade the front month contract of CL (WTI crude oil), how can I create the Symbol object for the front month contract given the future symbol string 'CL'?

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Wilson Tang

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Alexandre Catarino

Hi Wiston Juliac ,

It's more straightforward to use AddFuture in this case:

var future = AddFuture(ticker, Resolution.Minute);

future.SetFilter(x => x.FrontMonth().OnlyApplyFilterAtMarketOpen());

since you would need to know the exact expiry date to create the right future contract symbol.

Wilson Tang

76 ,

Hi Alexandre Catarino,

Thanks for your response. What is the function OnlyApplyFilterAtMarketOpen() used for? If I omit it, will I sometimes get more than one front month contract's data within one trading day?

Derek Melchin

STAFF ,

Hi Wilson,

The OnlyApplyFilterAtMarketOpen method instructs the engine to only filter options contracts on the first time step of each market day. Using it improves performance. See the source code and comments here.

Best,
Derek Melchin

Wilson Tang

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