History Request For Expired Futures by Rahul Chowdhury

Rahul Chowdhury INVESTOR

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I am attempting to warm up indicators/rolling windows with historical futures data. The goal is to use the data from the front-month contract to warm up the indicator. For example, if I wish to warm up a 200-day moving average, I will need to grab price data for the front-month contract over the past 200 days. Some of those contracts may have expired at the time of warm-up (algorithm start).

There doesn't seem to be a way to receive data for contracts that may have expired at the time of algorithm start, which would mean our warmup length is limited for indicators on futures.

Is there any way to work around this?

I've attached an example that reproduces the behavior I'm referring to. You'll find that the only contracts available are the ones with expiries greater than the algorithm start date.

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Rahul Chowdhury

Accepted Answer

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Shile Wen

63.5k Pro ,

Hi Rahul,

One way to tackle this problem is to store past data and save this data to ObjectStore, then set the start date to one day after and rerun the algorithm, with code to retrieve the data stored in the ObjectStore from the previous run of the algorithm. This method also works for making algorithms ready for live trading. I've shown this in the attached backtest. Alternatively, you could set one date for the start of the algorithm so the algorithm can collect the data, and identify a second date that will start the trading.

Best,
Shile Wen

Rahul Chowdhury INVESTOR

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