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Hi, is it possible in a Research Notebook to query for continuous future prices? For example, is it possible to filter the dataframe returned by the following code down to data represented only by the actively traded futures contracts. So the rows for the June 2019 contract would not contain any data for January through March 2019 OpEx.
qb = QuantBook()
es = qb.AddFuture(Futures.Indices.SP500EMini)
es.SetFilter(timedelta(-360), timedelta(360))
start_time = datetime(2019, 1, 1, 0, 0)
end_time = datetime(2019, 3, 31, 23, 59)
future_history = qb.GetFutureHistory(es.Symbol, start_time, end_time)
history = future_history.GetAllData()
history
Shile Wen
Hi Jason,
The reason we see data for June contracts many months before June is because the June contract, as well as other expiration months, are being traded alongside the contract for the current month. I think what you are looking for is the data for the front-month contract which is the contract of the closest to expiry on a given day. So keep trading data only for the front-month contract on a given day, we can add the following lines of code:
hist_copy = history.copy() # just in case we want to keep the og history DataFrame hist_copy = hist_copy[~hist_copy.index.get_level_values(2).duplicated()]Best,
Shile Wen
Jason Miele
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