Open Interest of gold future data is always 0 on first day from 0:00 to 9:30 by Michael Cheng

Michael Cheng INVESTOR

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Hi, I am new to quantconnect, I have notice something strange when I am trying to get the the contract with the most open interested from the future chain just like how the boot camp demonstrated. On the start date of the algo from 0:00 to 9:00 the open interest is always zero while the volume is not, and the same thing did not happened on the second day. Here are some logging

2020-08-26 00:00:00 Contract No.: 0, Contract Symbol: GC XKR6JW5LEKKD, Underlying Symbol: None, Expiry: 2020-12-29 00:00:00, Open Interest: 0.0, Volume: 113

2020-08-26 09:30:00 Contract No.: 0, Contract Symbol: GC XKR6JW5LEKKD, Underlying Symbol: None, Expiry: 2020-12-29 00:00:00, Open Interest: 400382.0, Volume: 518

2020-08-27 00:00:00 Contract No.: 0, Contract Symbol: GC XKR6JW5LEKKD, Underlying Symbol: None, Expiry: 2020-12-29 00:00:00, Open Interest: 406586.0, Volume: 31

Is this the expected behaviour or am I missing something in the initialization process ?

Thanks in advance.

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Michael Cheng

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Shile Wen

63.5k Pro ,

Hi Michael,

The problem is that the algorithm starts at midnight, however, the open interest for midnight today is from the previous day, so we can only start trading when the first open interest is emitted. To address this, we first need to set a Security Initializer:

self.SetSecurityInitializer(self.OpenInterestSecurityInitializer)

Then, inside our Security Initialization function, we can warm up the futures' open interest with historical data:

    def OpenInterestSecurityInitializer(self, security):

        if security.Type == SecurityType.Future:

            history = self.History([security.Symbol], timedelta(1))

            if 'openinterest' in history:

                oi = OpenInterest(self.Time, security.Symbol,

                    history.openinterest.dropna().iloc[-1])

                security.SetMarketPrice(oi)

Please see the attached backtest for reference.

Best,
Shile Wen

Michael Cheng INVESTOR

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