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Hello guys,
I've encountered an issue as i tried to test my strategy live papertrading. I got this error:
2020-10-21 17:04:40 : During the algorithm initialization, the following exception has occurred: System.NotSupportedException: The DataQueueHandler does not support Futures.
at QuantConnect.Le: an.Engine.DataFeeds.LiveTradingDataFeed.CreateUniverseSubscription (QuantConnect.Data.UniverseSelection.SubscriptionRequest request) [0x003ac] in <2c44351298f54fb0bfd0ddebc3f0ef37>:0
at QuantConnect.Le: an.Engine.DataFeeds.LiveTradingDataFeed.CreateSubscription (QuantConnect.Data.UniverseSelection.SubscriptionRequest request) [0x00011] in <2c44351298f54fb0bfd0ddebc3f0ef37>:0
at QuantConnect.Le: an.Engine.DataFeeds.DataManager.AddSubscription (QuantConnect.Data.UniverseSelection.SubscriptionRequest request) [0x00052] in <2c44351298f54fb0bfd0ddebc3f0ef37>:0
at QuantConnect.Le: an.Engine.DataFeeds.DataManager+<>c__DisplayClass14_0.<.ctor>b__0 (System.Object sender, System.Collections.Specialized.NotifyCollectionChangedEventArgs args) [0x0010a] in <2c44351298f54fb0bfd0ddebc3f0ef37>:0
at QuantConnect.Se: curities.UniverseManager.OnCollectionChanged (System.Collections.Specialized.NotifyCollectionChangedEventArgs e) [0x0000a] in <fbe0165ed4b04ace9f43fc08fd8ce3dc>:0
at QuantConnect.Se: curities.UniverseManager.Add (QuantConnect.Symbol key, QuantConnect.Data.UniverseSelection.Universe universe) [0x00017] in <fbe0165ed4b04ace9f43fc08fd8ce3dc>:0
at QuantConnect.Al: gorithm.QCAlgorithm.OnEndOfTimeStep () [0x00401] in <9d423fd605b2496eae88e08bfd36b048>:0
at (wrapper remoti: ng-invoke-with-check) QuantConnect.Algorithm.QCAlgorithm.OnEndOfTimeStep()
at QuantConnect.Al: gorithm.QCAlgorithm.PostInitialize () [0x00173] in <9d423fd605b2496eae88e08bfd36b048>:0
at QuantConnect.Al: gorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.PostInitialize () [0x00001] in <73a8638bb88246f38b684b040419eb29>:0
at QuantConnect.Le: an.Engine.Setup.BrokerageSetupHandler.Setup (QuantConnect.Lean.Engine.Setup.SetupHandlerParameters parameters) [0x005a5] in <2c44351298f54fb0bfd0ddebc3f0ef37>:0 The DataQueueHandler does not support Futures.
2020-10-21 17:04:41 : Paper Brokerage account base currency:
Does anyone know where it is coming from?
Thanks in advance!
Cheers!
Aaron Janeiro Stone
It is coming from LiveTradingDataFeed.cs . The exception is thrown at:
else if (request.Universe is FuturesChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating futures chain universe: " + config.Symbol.ToString()); var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; if (symbolUniverse == null) { throw new NotSupportedException("The DataQueueHandler does not support Futures."); }If this doesn't make clear what is causing the issue in your case, could you attach your code so that we may find the problem?
ÂSergej Gorev
Thank you Aaron,
sure.
from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel from datetime import date, timedelta class FuturesUniverseSelectionModel(FutureUniverseSelectionModel): def __init__(self, select_future_chain_symbols): super().__init__(timedelta(1), select_future_chain_symbols) def Filter(self, filter): # return (filter.FrontMonth()) return (filter.Expiration(timedelta(0), timedelta(250)).OnlyApplyFilterAtMarketOpen())class algorithm(QCAlgorithm): self.SetStartDate(2010, 1, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Minute self.SetUniverseSelection(FuturesUniverseSelectionModel(self.SelectFuturesSymbols)) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) self.Settings.FreePortfolioPercentage = 1 def SelectFuturesSymbols(self, utcTime): softTickers = [ Futures.Softs.Cocoa, Futures.Softs.Sugar11CME, ] grainTickers = [ Futures.Grains.Wheat, Futures.Grains.Corn, Futures.Grains.Soybeans, Futures.Grains.SoybeanMeal, Futures.Grains.SoybeanOil, Futures.Grains.Oats, ] grains = [ Symbol.Create(ticker, SecurityType.Future, Market.CBOT) for ticker in grainTickers ] softs = [ Symbol.Create(ticker, SecurityType.Future, Market.NYMEX) for ticker in softTickers ] return grains + softsÂ
Aaron Janeiro Stone
I attached an algo which shows how to add your symbols into something like this example from github.
Sergej Gorev
I have the same implementation actually. I took it from there as well. The only change in my code is that i choose expiries by myself as well as the rolling time. I mean it works in the backtest ok, it doesnt work live.
def Filter(self, filter): return (filter.Expiration(timedelta(0), timedelta(250)).OnlyApplyFilterAtMarketOpen())Â
And the the way i implement contracts in the alpha model is same as in guides.
def Update(self, algorithm, data): insights = [] for chain in data.FutureChains: contract = [c for c in chain.Value if c.OpenInterest > 2000] contracts = sorted(contract, key=lambda k: k.OpenInterest, reverse=True) if len(contracts) == 0: continue frontContract = contracts[0] symbol = frontContract.SymbolÂ
Aaron Janeiro Stone
Apologies on the confusion.
I just checked, for paper trading it is merely not currently possible to use futures (see
https://www.quantconnect.com/docs/live-trading/paper-trading
). If you have a brokerage with a paper trading account (like IBKR), you can use that as a workaround.
Sergej Gorev
Oh wow, thanks. I kind of missed that, sorry for stealing your time.
Sergej Gorev
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