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Learn algorithmic trading with python for US Equities. Guided strategy development in easily digestible portions.

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Learn algorithmic trading with python for FX. Guided strategy development in easily digestible portions.

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Learn algorithmic trading with python for Futures. Guided strategy development in easily digestible portions.

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In this algorithmic trading tutorial series you will learn everything you need to know to start writing your own trading bots using Python and the QuantConnect quantitative trading platform.

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Datasets > US Futures Security Master

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US Futures Security Master

Dataset by QuantConnect

Introduction

The US Futures Security Master dataset by QuantConnect provides mapping reference data for the most liquid contracts of the CME Group exchanges, calculated with popular rolling techniques. The data covers 162 root Future contracts, starts in May 2009, and is delivered on a daily frequency with a zip file with all the contract mappings. This dataset is created by daily processing of the US historical Future chains.

This dataset, paired with the US Futures dataset, supports the following rolling techniques: forward panama canal, backwards panama canal, and backwards ratio. You can set the specific rolling date to occur on the last trading day, first day month, or the day when the contract with the greatest open interest changes.

VIX Futures don't support continous contract rolling with open interest.

This is not the underlying Futures data (US Futures dataset), which you need to purchase separately with a license from AlgoSeek. This security master dataset is required to purchase the US Futures or US Future Options datasets.

About the Provider

QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.

Getting Started

You don't need any special code to utilize the US Futures Security Master. It automatically loads when you request US Futures data.

Data Summary

The following table describes the dataset properties:

Property	Value
Start Date	May 2009
Asset Coverage	162 Liquid Futures
Data Density	Regular
Resolution	Daily

VIX Futures don't support continous contract rolling with open interest.

Example Applications

The US Futures Security Master enables you to design strategies harnessing continuous Futures contracts. Examples include the following strategies:

Trading cyclical patterns in commodity Futures.
Buying gold Futures as an inflation hedge with automatic contract roll overs.
Detecting arbitrage opportunities between index Futures and Equities.

For more example algorithms, see Examples.

Data Point Attributes

The US Futures Security Master dataset provides SymbolChangedEvent objects, which have the following attributes:

SymbolChangedEvent

Gets the symbol before the change

old_symbol: string

Gets the symbol after the change

new_symbol: string

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

data_type: MarketDataType

True if this is a fill forward piece of data

is_fill_forward: bool

Current time marker of this data packet.

time: DateTime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

end_time: DateTime

Symbol representation for underlying Security

symbol: Symbol

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

value: decimal

As this is a backtesting platform we'll provide an alias of value as price.

price: decimal

Gets the symbol before the change

OldSymbol: string

Gets the symbol after the change

NewSymbol: string

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

DataType: MarketDataType

True if this is a fill forward piece of data

IsFillForward: bool

Current time marker of this data packet.

Time: DateTime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

EndTime: DateTime

Symbol representation for underlying Security

Symbol: Symbol

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

Value: decimal

As this is a backtesting platform we'll provide an alias of value as price.

Price: decimal

Supported Assets

The following list shows the available (162) Futures:

Futures.Currencies.AUD: Australian Dollar Futures (CME: 6A)
Futures.Currencies.AUDCAD: Australian Dollar/Canadian Dollar Futures (CME: ACD)
Futures.Currencies.AUDJPY: Australian Dollar/Japanese Yen Futures (CME: AJY)
Futures.Currencies.AUDNZD: Australian Dollar/New Zealand Dollar Futures (CME: ANE)
Futures.Currencies.BRL: Brazillian Real Futures (CME: 6L)
Futures.Currencies.BTC: Bitcoin Futures (CME: BTC)
Futures.Currencies.CAD: Canadian Dollar Futures (CME: 6C)
Futures.Currencies.CADJPY: Canadian Dollar/Japanese Yen Futures (CME: CJY)
Futures.Currencies.CHF: Swiss Franc Futures (CME: 6S)
Futures.Currencies.ETH: Ether Futures (CME: ETH)
Futures.Currencies.EUR: Euro FX Futures (CME: 6E)
Futures.Currencies.EURAUD: Euro/Australian Dollar Futures (CME: EAD)
Futures.Currencies.EURCAD: Euro/Canadian Dollar Futures (CME: ECD)
Futures.Currencies.EuroFXEminiFutures.Currencies.EURO_FX_EMINI: E-mini Euro FX Futures (CME: E7)
Futures.Currencies.EURSEK: Euro/Swedish Krona Futures (CME: ESK)
Futures.Currencies.GBP: British Pound Futures (CME: 6B)
Futures.Currencies.JapaneseYenEminiFutures.Currencies.JAPANESE_YEN_EMINI: E-mini Japanese Yen Futures (CME: J7)
Futures.Currencies.JPY: Japanese Yen Futures (CME: 6J)
Futures.Currencies.MicroAUDFutures.Currencies.MICRO_AUD: Micro AUD/USD Futures (CME: M6A)
Futures.Currencies.MicroBTCFutures.Currencies.MICRO_BTC: Micro Bitcoin Futures (CME: MBT)
Futures.Currencies.MicroCADFutures.Currencies.MICRO_CAD: Micro USD/CAD Futures (CME: M6C)
Futures.Currencies.MicroCADUSDFutures.Currencies.MICRO_CADUSD: Micro CAD/USD Futures (CME: MCD)
Futures.Currencies.MicroCHFFutures.Currencies.MICRO_CHF: Micro CHF/USD Futures (CME: MSF)
Futures.Currencies.MicroEtherFutures.Currencies.MICRO_ETHER: Micro Ether Futures (CME: MET)
Futures.Currencies.MicroEURFutures.Currencies.MICRO_EUR: Micro EUR/USD Futures (CME: M6E)
Futures.Currencies.MicroGBPFutures.Currencies.MICRO_GBP: Micro GBP/USD Futures (CME: M6B)
Futures.Currencies.MicroINRUSDFutures.Currencies.MICRO_INRUSD: Micro INR/USD Futures (CME: MIR)
Futures.Currencies.MicroJPYFutures.Currencies.MICRO_JPY: Micro JPY/USD Futures (CME: MJY)
Futures.Currencies.MicroUSDCHFFutures.Currencies.MICRO_USDCHF: Micro USD/CHF Futures (CME: M6S)
Futures.Currencies.MicroUSDCNHFutures.Currencies.MICRO_USDCNH: Micro USD/CNH Futures (CME: MNH)
Futures.Currencies.MicroUSDJPYFutures.Currencies.MICRO_USDJPY: Micro USD/JPY Futures (CME: M6J)
Futures.Currencies.MXN: Mexican Peso Futures (CME: 6M)
Futures.Currencies.NZD: New Zealand Dollar Futures (CME: 6N)
Futures.Currencies.RUB: Russian Ruble Futures (CME: 6R)
Futures.Currencies.StandardSizeUSDOffshoreRMBCNHFutures.Currencies.STANDARD_SIZE_USD_OFFSHORE_RMBCNH: Standard-Size USD/Offshore RMB (CNH) Futures (CME: CNH)
Futures.Currencies.ZAR: South African Rand Futures (CME: 6Z)
Futures.Dairy.CashSettledButterFutures.Dairy.CASH_SETTLED_BUTTER: Cash-settled Butter Futures (CME: CB)
Futures.Dairy.CashSettledCheeseFutures.Dairy.CASH_SETTLED_CHEESE: Cash-settled Cheese Futures (CME: CSC)
Futures.Dairy.ClassIIIMilkFutures.Dairy.CLASS_III_MILK: Class III Milk Futures (CME: DC)
Futures.Dairy.ClassIVMilkFutures.Dairy.CLASS_IV_MILK: Class IV Milk Futures (CME: GDK)
Futures.Dairy.DryWheyFutures.Dairy.DRY_WHEY: Dry Whey Futures (CME: DY)
Futures.Dairy.NonfatDryMilkFutures.Dairy.NONFAT_DRY_MILK: Non-fat Dry Milk Futures (CME: GNF)
Futures.Energy.ArgusLLSvsWTIArgusTradeMonthFutures.Energy.ARGUS_LL_SVS_WTI_ARGUS_TRADE_MONTH: Argus LLS vs. WTI (Argus) Trade Month Futures (NYMEX: AE5)
Futures.Energy.ArgusPropaneFarEastIndexFutures.Energy.ARGUS_PROPANE_FAR_EAST_INDEX: Argus Propane Far East Index Futures (NYMEX: A7E)
Futures.Energy.ArgusPropaneSaudiAramcoFutures.Energy.ARGUS_PROPANE_SAUDI_ARAMCO: Argus Propane (Saudi Aramco) Futures (NYMEX: A9N)
Futures.Energy.BrentCrudeOilVsDubaiCrudeOilPlattsFutures.Energy.BRENT_CRUDE_OIL_VS_DUBAI_CRUDE_OIL_PLATTS: Brent Crude Oil vs. Dubai Crude Oil (Platts) Futures (NYMEX: ADB)
Futures.Energy.BrentLastDayFinancialFutures.Energy.BRENT_LAST_DAY_FINANCIAL: Brent Last Day Financial Futures (NYMEX: BZ)
Futures.Energy.ChicagoEthanolPlattsFutures.Energy.CHICAGO_ETHANOL_PLATTS: Chicago Ethaanol (Platts) Futures (NYMEX: CU)
Futures.Energy.ClearbrookBakkenSweetCrudeOilMonthlyIndexNetEnergyFutures.Energy.CLEARBROOK_BAKKEN_SWEET_CRUDE_OIL_MONTHLY_INDEX_NET_ENERGY: Clearbrook Bakken Sweet Crude Oil Monthly Index (Net Energy) Futures (NYMEX: CSW)
Futures.Energy.ConwayPropaneOPISFutures.Energy.CONWAY_PROPANE_OPIS: Conway Propane (OPIS) Futures (NYMEX: A8K)
Futures.Energy.CrudeOilWTIFutures.Energy.CRUDE_OIL_WTI: Crude Oil WTI Futures (NYMEX: CL)
Futures.Energy.DubaiCrudeOilPlattsFinancialFutures.Energy.DUBAI_CRUDE_OIL_PLATTS_FINANCIAL: Dubai Crude Oil (Platts) Financial Futures (NYMEX: DCB)
Futures.Energy.EastWestGasolineSpreadPlattsArgusFutures.Energy.EAST_WEST_GASOLINE_SPREAD_PLATTS_ARGUS: East-West Gasoline Spread (Platts-Argus) Futures (NYMEX: EWG)
Futures.Energy.EastWestNaphthaJapanCFvsCargoesCIFNWESpreadPlattsFutures.Energy.EAST_WEST_NAPHTHA_JAPAN_C_FVS_CARGOES_CIFNWE_SPREAD_PLATTS: East-West Naphtha: Japan C&F vs. Cargoes CIF NWE Spread (Platts) Futures (NYMEX: EWN)
Futures.Energy.EthanolFutures.Energy.ETHANOL: Ethanol Futures (CBOT: EH)
Futures.Energy.EthanolT2FOBRdamIncludingDutyPlattsFutures.Energy.ETHANOL_T_2_FOB_RDAM_INCLUDING_DUTY_PLATTS: Ethanol T2 FOB Rdam Including Duty (Platts) Futures (NYMEX: AZ1)
Futures.Energy.EuropeanNaphthaPlattsCrackSpreadFutures.Energy.EUROPEAN_NAPHTHA_PLATTS_CRACK_SPREAD: European Naphtha (Platts) Crack Spread Futures (NYMEX: EN)
Futures.Energy.EuropeanPropaneCIFARAArgusFutures.Energy.EUROPEAN_PROPANE_CIFARA_ARGUS: European Propane CIF ARA (Argus) Futures (NYMEX: APS)
Futures.Energy.EuropeanPropaneCIFARAArgusVsNaphthaCargoesCIFNWEPlattsFutures.Energy.EUROPEAN_PROPANE_CIFARA_ARGUS_VS_NAPHTHA_CARGOES_CIFNWE_PLATTS: European Propane CIF ARA (Argus) vs. Naphtha Cargoes CIF NWE (Platts) Futures (NYMEX: EPN)
Futures.Energy.FreightRouteTC14BalticFutures.Energy.FREIGHT_ROUTE_TC_14_BALTIC: Freight Route TC14 (Baltic) Futures (NYMEX: FRC)
Futures.Energy.GasolineFutures.Energy.GASOLINE: Gasoline RBOB Futures (NYMEX: RB)
Futures.Energy.GasolineEurobobOxyNWEBargesArgusFutures.Energy.GASOLINE_EUROBOB_OXY_NWE_BARGES_ARGUS: Gasoline Euro-bob Oxy NWE Barges (Argus) Futures (NYMEX: B7H)
Futures.Energy.GroupThreeSuboctaneGasolinePlattsVsRBOBFutures.Energy.GROUP_THREE_SUBOCTANE_GASOLINE_PLATTS_VS_RBOB: Group Three Sub-octane Gasoliine (Platts) vs. RBOB Futures (NYMEX: AA8)
Futures.Energy.GroupThreeULSDPlattsVsNYHarborULSDFutures.Energy.GROUP_THREE_ULSD_PLATTS_VS_NY_HARBOR_ULSD: Group Three ULSD (Platts) vs. NY Harbor ULSD Futures (NYMEX: AA6)
Futures.Energy.GulfCoastCBOBGasolineA2PlattsVsRBOBGasolineFutures.Energy.GULF_COAST_CBOB_GASOLINE_A_2_PLATTS_VS_RBOB_GASOLINE: Gulf Coast CBOB Gasoline A2 (Platts) vs. RBOB Gasoline Futures (NYMEX: CRB)
Futures.Energy.GulfCoastHSFOPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlattsFutures.Energy.GULF_COAST_HSFO_PLATTS_VS_EUROPEAN_THREE_POINT_FIVE_PERCENT_FUEL_OIL_BARGES_FOB_RDAM_PLATTS: Gulf Coast HSFO (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures (NYMEX: GCU)
Futures.Energy.HeatingOilFutures.Energy.HEATING_OIL: Heating Oil Futures (NYMEX: HO)
Futures.Energy.LosAngelesCARBOBGasolineOPISvsRBOBGasolineFutures.Energy.LOS_ANGELES_CARBOB_GASOLINE_OPI_SVS_RBOB_GASOLINE: Los Angeles CARBOB Gasoline (OPIS) vs. RBOB Gasoline Futures (NYMEX: AJL)
Futures.Energy.LosAngelesCARBDieselOPISvsNYHarborULSDFutures.Energy.LOS_ANGELES_CARB_DIESEL_OPI_SVS_NY_HARBOR_ULSD: Los Angeles CARB Diesel (OPIS) vs. NY Harbor ULSD Futures (NYMEX: AKL)
Futures.Energy.LosAngelesJetOPISvsNYHarborULSDFutures.Energy.LOS_ANGELES_JET_OPI_SVS_NY_HARBOR_ULSD: Los Angeles Jet (OPIS) vs. NY Harbor ULSD Futures (NYMEX: AJS)
Futures.Energy.MarsArgusVsWTIFinancialFutures.Energy.MARS_ARGUS_VS_WTI_FINANCIAL: Mars (Argus) vs. WTI Financial Futures (NYMEX: AYX)
Futures.Energy.MarsArgusVsWTITradeMonthFutures.Energy.MARS_ARGUS_VS_WTI_TRADE_MONTH: Mars (Argus) vs. WTI Trade Month Futures (NYMEX: AYV)
Futures.Energy.MicroCrudeOilWTIFutures.Energy.MICRO_CRUDE_OIL_WTI: Micro WTI Crude Oil Futures (NYMEX: MCL)
Futures.Energy.MicroEuropeanFOBRdamMarineFuelZeroPointFivePercentBargesPlattsFutures.Energy.MICRO_EUROPEAN_FOB_RDAM_MARINE_FUEL_ZERO_POINT_FIVE_PERCENT_BARGES_PLATTS: Micro European FOB Rdam Marine Fuel 0.5% Barges (Platts) Futures (NYMEX: R5O)
Futures.Energy.MicroEuropeanThreePointFivePercentOilBargesFOBRdamPlattsFutures.Energy.MICRO_EUROPEAN_THREE_POINT_FIVE_PERCENT_OIL_BARGES_FOB_RDAM_PLATTS: Micro European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures (NYMEX: MEF)
Futures.Energy.MicroGasoilZeroPointOnePercentBargesFOBARAPlattsFutures.Energy.MICRO_GASOIL_ZERO_POINT_ONE_PERCENT_BARGES_FOBARA_PLATTS: Micro Gasoil 0.1% Barges FOB ARA (Platts) Futures (NYMEX: M1B)
Futures.Energy.MicroSingaporeFOBMarineFuelZeroPointFivePercetPlattsFutures.Energy.MICRO_SINGAPORE_FOB_MARINE_FUEL_ZERO_POINT_FIVE_PERCET_PLATTS: Micro Singapore FOB Marine Fuel 0.5% (Platts) Futures (NYMEX: S5O)
Futures.Energy.MicroSingaporeFuelOil380CSTPlattsFutures.Energy.MICRO_SINGAPORE_FUEL_OIL_380_CST_PLATTS: Micro Singapore Fuel Oil 380CST (Platts) Futures (NYMEX: MAF)
Futures.Energy.MiniEuropeanThreePointPercentFiveFuelOilBargesPlattsFutures.Energy.MINI_EUROPEAN_THREE_POINT_PERCENT_FIVE_FUEL_OIL_BARGES_PLATTS: Mini European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures (NYMEX: A0D)
Futures.Energy.MiniSingaporeFuelOil180CstPlattsFutures.Energy.MINI_SINGAPORE_FUEL_OIL_180_CST_PLATTS: Mini Singapore Fuel Oil 180 cst (Platts) Futures (NYMEX: A0F)
Futures.Energy.MontBelvieuEthaneOPISFutures.Energy.MONT_BELVIEU_ETHANE_OPIS: Mont Belvieu Ethane (OPIS) Futures (NYMEX: AC0)
Futures.Energy.MontBelvieuLDHPropaneOPISFutures.Energy.MONT_BELVIEU_LDH_PROPANE_OPIS: Mont Belvieu LDH Propane (OPIS) Futures (NYMEX: B0)
Futures.Energy.MontBelvieuNaturalGasolineOPISFutures.Energy.MONT_BELVIEU_NATURAL_GASOLINE_OPIS: Mont Belvieu Natural Gasoline (OPIS) Futures (NYMEX: A7Q)
Futures.Energy.MontBelvieuNormalButaneOPISFutures.Energy.MONT_BELVIEU_NORMAL_BUTANE_OPIS: Mont Belvieu Normal Butane (OPIS) Futures (NYMEX: AD0)
Futures.Energy.NaturalGasFutures.Energy.NATURAL_GAS: Natural Gas Futures (NYMEX: NG)
Futures.Energy.NaturalGasHenryHubLastDayFinancialFutures.Energy.NATURAL_GAS_HENRY_HUB_LAST_DAY_FINANCIAL: Natural Gas (Henry Hub) Last-day Financial Futures (NYMEX: HH)
Futures.Energy.NaturalGasHenryHubPenultimateFinancialFutures.Energy.NATURAL_GAS_HENRY_HUB_PENULTIMATE_FINANCIAL: Natural Gas (Henry Hub) Penultimate Financial Futures (NYMEX: HP)
Futures.Energy.OnePercentFuelOilCargoesFOBNWEPlattsVsThreePointFivePercentFuelOilBargesFOBRdamPlattsFutures.Energy.ONE_PERCENT_FUEL_OIL_CARGOES_FOBNWE_PLATTS_VS_THREE_POINT_FIVE_PERCENT_FUEL_OIL_BARGES_FOB_RDAM_PLATTS: 1% Fuel Oil Cargoes FOB NWE (Platts) vs. 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures (NYMEX: FSS)
Futures.Energy.PremiumUnleadedGasoline10ppmFOBMEDPlattsFutures.Energy.PREMIUM_UNLEADED_GASOLINE_10_PPM_FOBMED_PLATTS: Premium Unleaded Gasoline 10 ppm FOB MED (Platts) Futures (NYMEX: A3G)
Futures.Energy.PropaneNonLDHMontBelvieuOPISFutures.Energy.PROPANE_NON_LDH_MONT_BELVIEU_OPIS: Propane Non-LDH Mont Belvieu (OPIS) Futures (NYMEX: A1R)
Futures.Energy.RBOBGasolineCrackSpreadFutures.Energy.RBOB_GASOLINE_CRACK_SPREAD: RBOB Gasoline Crack Spread Futures (NYMEX: ARE)
Futures.Energy.RBOBGasolineVsEurobobOxyNWEBargesArgusThreeHundredFiftyThousandGallonsFutures.Energy.RBOB_GASOLINE_VS_EUROBOB_OXY_NWE_BARGES_ARGUS_THREE_HUNDRED_FIFTY_THOUSAND_GALLONS: RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) (350,000 gallons) Futures (NYMEX: EXR)
Futures.Energy.SingaporeFuelOil380cstPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlattsFutures.Energy.SINGAPORE_FUEL_OIL_380_CST_PLATTS_VS_EUROPEAN_THREE_POINT_FIVE_PERCENT_FUEL_OIL_BARGES_FOB_RDAM_PLATTS: Singapore Fuel Oil 380 cst (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures (NYMEX: EVC)
Futures.Energy.SingaporeGasoilPlattsVsLowSulphurGasoilFuturesFutures.Energy.SINGAPORE_GASOIL_PLATTS_VS_LOW_SULPHUR_GASOIL_FUTURES: Singapore Gasoil (Platts) vs. Low Sulphur Gasoil Futures (NYMEX: AGA)
Futures.Energy.SingaporeMogas92UnleadedPlattsBrentCrackSpreadFutures.Energy.SINGAPORE_MOGAS_92_UNLEADED_PLATTS_BRENT_CRACK_SPREAD: Singapore Mogas 92 Unleaded (Platts) Brent Crack Spread Futures (NYMEX: D1N)
Futures.Energy.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpreadFutures.Energy.THREE_POINT_FIVE_PERCENT_FUEL_OIL_BARGES_FOB_RDAM_PLATTS_CRACK_SPREAD: 3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread Futures (NYMEX: FO)
Futures.Energy.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpread1000mtFutures.Energy.THREE_POINT_FIVE_PERCENT_FUEL_OIL_BARGES_FOB_RDAM_PLATTS_CRACK_SPREAD_1000_MT: 3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (1000mt) Futures (NYMEX: BOO)
Futures.Energy.WTIBrentFinancialFutures.Energy.WTI_BRENT_FINANCIAL: WTI-Brent Financial Futures (NYMEX: BK)
Futures.Energy.WTIFinancialFutures.Energy.WTI_FINANCIAL: WTI Financial Futures (NYMEX: CSX)
Futures.Energy.WTIHoustonArgusVsWTITradeMonthFutures.Energy.WTI_HOUSTON_ARGUS_VS_WTI_TRADE_MONTH: WTI Houston (Argus) vs. WTI Trade Month Futures (NYMEX: HTT)
Futures.Energy.WTIHoustonCrudeOilFutures.Energy.WTI_HOUSTON_CRUDE_OIL: WTI Houston Crude Oil Futures (NYMEX: HCL)
Futures.Financials.EuroDollarFutures.Financials.EURO_DOLLAR: EuroDollar Futures (CME: GE)
Futures.Financials.FiveYearUSDMACSwapFutures.Financials.FIVE_YEAR_USDMAC_SWAP: 5-Year USD MAC Swap Futures (CBOT: F1U)
Futures.Financials.MicroY10TreasuryNoteFutures.Financials.MICRO_Y_10_TREASURY_NOTE: Micro 10-Year Yield Futures (CBOT: 10Y)
Futures.Financials.MicroY2TreasuryBondFutures.Financials.MICRO_Y_2_TREASURY_BOND: Micro 2-Year Yield Futures (CBOT: 2YY)
Futures.Financials.MicroY30TreasuryBondFutures.Financials.MICRO_Y_30_TREASURY_BOND: Micro 30-Year Yield Futures (CBOT: 30Y)
Futures.Financials.MicroY5TreasuryBondFutures.Financials.MICRO_Y_5_TREASURY_BOND: Micro 5-Year Yield Futures (CBOT: 5YY)
Futures.Financials.UltraTenYearUSTreasuryNoteFutures.Financials.ULTRA_TEN_YEAR_US_TREASURY_NOTE: Ultra 10-Year U.S. Treasury Note Futures (CBOT: TN)
Futures.Financials.UltraUSTreasuryBondFutures.Financials.ULTRA_US_TREASURY_BOND: Ultra U.S. Treasury Bond Futures (CBOT: UB)
Futures.Financials.Y10TreasuryNoteFutures.Financials.Y_10_TREASURY_NOTE: 10Y U.S. Treasury Note Futures (CBOT: ZN)
Futures.Financials.Y2TreasuryNoteFutures.Financials.Y_2_TREASURY_NOTE: 2Y U.S. Treasury Note Futures (CBOT: ZT)
Futures.Financials.Y30TreasuryBondFutures.Financials.Y_30_TREASURY_BOND: 30Y U.S. Treasury Bond Futures (CBOT: ZB)
Futures.Financials.Y5TreasuryNoteFutures.Financials.Y_5_TREASURY_NOTE: 5Y U.S. Treasury Note Futures (CBOT: ZF)
Futures.Forestry.LumberFutures.Forestry.LUMBER: Lumber Futures (CME: LBR)
Futures.Forestry.RandomLengthLumberFutures.Forestry.RANDOM_LENGTH_LUMBER: Random Length Lumber Futures (CME: LBS)
Futures.Grains.BlackSeaCornFinanciallySettledPlattsFutures.Grains.BLACK_SEA_CORN_FINANCIALLY_SETTLED_PLATTS: Black Sea Corn Financially Settled (Platts) Futures (CBOT: BCF)
Futures.Grains.BlackSeaWheatFinanciallySettledPlattsFutures.Grains.BLACK_SEA_WHEAT_FINANCIALLY_SETTLED_PLATTS: Black Sea Wheat Financially Settled (Platts) Futures (CBOT: BWF)
Futures.Grains.CornFutures.Grains.CORN: Corn Futures (CBOT: ZC)
Futures.Grains.HRWWheatFutures.Grains.HRW_WHEAT: KC HRW Wheat Futures (CBOT: KE)
Futures.Grains.OatsFutures.Grains.OATS: Oats Futures (CBOT: ZO)
Futures.Grains.SoybeansFutures.Grains.SOYBEANS: Soybeans Futures (CBOT: ZS)
Futures.Grains.SoybeanMealFutures.Grains.SOYBEAN_MEAL: Soybean Meal Futures (CBOT: ZM)
Futures.Grains.SoybeanOilFutures.Grains.SOYBEAN_OIL: Soybean Oil Futures (CBOT: ZL)
Futures.Grains.WheatFutures.Grains.WHEAT: Default wheat contract is SRWWheat (CBOT: ZW)
Futures.Indices.BloombergCommodityIndexFutures.Indices.BLOOMBERG_COMMODITY_INDEX: Bloomberg Commodity Index Futures (CBOT: AW)
Futures.Indices.Dow30EMiniFutures.Indices.DOW_30_E_MINI: E-mini Dow Indu 30 Futures (CBOT: YM)
Futures.Indices.DowJonesRealEstateFutures.Indices.DOW_JONES_REAL_ESTATE: (CME: RX)
Futures.Indices.FTSEEmergingEminiFutures.Indices.FTSE_EMERGING_EMINI: E-mini FTSE Emerging Index Futures (CME: EI)
Futures.Indices.MicroDow30EMiniFutures.Indices.MICRO_DOW_30_E_MINI: Micro E-mini Dow Jones Industrial Average Index Futures (CBOT: MYM)
Futures.Indices.MicroNASDAQ100EMiniFutures.Indices.MICRO_NASDAQ_100_E_MINI: Micro E-mini Nasdaq-100 Index Futures (CME: MNQ)
Futures.Indices.MicroRussell2000EMiniFutures.Indices.MICRO_RUSSELL_2000_E_MINI: Micro E-mini Russell 2000 Index Futures (CME: M2K)
Futures.Indices.MicroSP500EMiniFutures.Indices.MICRO_SP_500_E_MINI: Micro E-mini S&P 500 Index Futures (CME: MES)
Futures.Indices.NASDAQ100BiotechnologyEMiniFutures.Indices.NASDAQ_100_BIOTECHNOLOGY_E_MINI: E-mini Nasdaq-100 Biotechnology Index Futures (CME: BIO)
Futures.Indices.NASDAQ100EMiniFutures.Indices.NASDAQ_100_E_MINI: E-mini NASDAQ 100 Futures (CME: NQ)
Futures.Indices.Nikkei225DollarFutures.Indices.NIKKEI_225_DOLLAR: Nikkei-225 Dollar Futures (CME: NKD)
Futures.Indices.Nikkei225YenCMEFutures.Indices.NIKKEI_225_YEN_CME: Nikkei-225 Yen denominated Futures on CME (CME: NIY)
Futures.Indices.Russell1000EMiniFutures.Indices.RUSSELL_1000_E_MINI: (CME: RS1)
Futures.Indices.Russell2000EMiniFutures.Indices.RUSSELL_2000_E_MINI: E-mini Russell 2000 Futures (CME: RTY)
Futures.Indices.SPGSCICommodityFutures.Indices.SPGSCI_COMMODITY: S&P-GSCI Commodity Index Futures (CME: GD)
Futures.Indices.SP400MidCapEminiFutures.Indices.SP_400_MID_CAP_EMINI: E-mini S&P MidCap 400 Futures (CME: EMD)
Futures.Indices.SP500AnnualDividendIndexFutures.Indices.SP_500_ANNUAL_DIVIDEND_INDEX: (CME: SDA)
Futures.Indices.SP500EMiniFutures.Indices.SP_500_E_MINI: E-mini S&P 500 Futures (CME: ES)
Futures.Indices.TOPIXYEN: (CME: TPY)
Futures.Indices.USDDenominatedIbovespaFutures.Indices.USD_DENOMINATED_IBOVESPA: USD-Denominated Ibovespa Index Futures (CME: IBV)
Futures.Indices.VIX: CBOE Volatility Index Futures (CFE: VX)
Futures.Meats.FeederCattleFutures.Meats.FEEDER_CATTLE: Feeder Cattle Futures (CME: GF)
Futures.Meats.LeanHogsFutures.Meats.LEAN_HOGS: Lean Hogs Futures (CME: HE)
Futures.Meats.LiveCattleFutures.Meats.LIVE_CATTLE: Live Cattle Futures (CME: LE)
Futures.Metals.AluminiumEuropeanPremiumDutyPaidMetalBulletinFutures.Metals.ALUMINIUM_EUROPEAN_PREMIUM_DUTY_PAID_METAL_BULLETIN: Aluminium European Premium Duty-Paid (Metal Bulletin) Futures (COMEX: EDP)
Futures.Metals.AluminumMWUSTransactionPremiumPlatts25MTFutures.Metals.ALUMINUM_MWUS_TRANSACTION_PREMIUM_PLATTS_25_MT: Aluminum MW U.S. Transaction Premium Platts (25MT) Futures (COMEX: AUP)
Futures.Metals.CopperFutures.Metals.COPPER: Copper Futures (COMEX: HG)
Futures.Metals.GoldFutures.Metals.GOLD: Gold Futures (COMEX: GC)
Futures.Metals.MicroGoldFutures.Metals.MICRO_GOLD: Micro Gold Futures (COMEX: MGC)
Futures.Metals.MicroGoldTASFutures.Metals.MICRO_GOLD_TAS: Micro Gold TAS Futures (COMEX: MGT)
Futures.Metals.MicroPalladiumFutures.Metals.MICRO_PALLADIUM: Micro Palladium Futures (NYMEX: PAM)
Futures.Metals.MicroSilverFutures.Metals.MICRO_SILVER: Micro Silver Futures (COMEX: SIL)
Futures.Metals.PalladiumFutures.Metals.PALLADIUM: Palladium Futures (NYMEX: PA)
Futures.Metals.PlatinumFutures.Metals.PLATINUM: Platinum Futures (NYMEX: PL)
Futures.Metals.SilverFutures.Metals.SILVER: Silver Futures (COMEX: SI)
Futures.Metals.USMidwestDomesticHotRolledCoilSteelCRUIndexFutures.Metals.US_MIDWEST_DOMESTIC_HOT_ROLLED_COIL_STEEL_CRU_INDEX: U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures (NYMEX: HRC)
Futures.Softs.Sugar11Futures.Softs.SUGAR_11: Sugar #11 Futures ICE (ICE: SB)
Futures.Softs.Sugar11CMEFutures.Softs.SUGAR_11_CME: Sugar #11 Futures CME (NYMEX: YO)

Key Concept

The US Futures Security Master lets you to construct continuous Futures, allowing the access of normalized historical data of the underlying assets, as well as trading the “lead” Future contracts for those assets.

Continuous Futures refer to sets of rolling lead Future contracts during their actively trading periods. Since Future contracts expire at their maturities, to analyze the historical price of a Future and to apply technical indicators, you need the continuous Future price series.

To access the continuous Future, use the Future's Symbolsymbol property.

Select Language:

# Set the data normalization mode and data mapping mode to select the contract as the continuous contract with price adjustment for smooth price series
future = self.add_future(Futures.Energy.CRUDE_OIL_WTI,
    data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
    data_mapping_mode=DataMappingMode.OPEN_INTEREST,
    contract_depth_offset=0)
self.continuous_contract_symbol = future.symbol

// Set the data normalization mode and data mapping mode to select the contract as the continuous contract with price adjustment for smooth price series
var future = AddFuture(Futures.Energy.CrudeOilWTI,
    dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
    dataMappingMode: DataMappingMode.OpenInterest,
    contractDepthOffset: 0
);
_continuousFutureSymbol = future.Symbol;

The dataNormalizationMode and dataMappingMode arguments makes the transition of the underlying contracts seemless. However, the Future Symbol doesn't map to an underlying Future contract. It works fine to trade within backtests, but could be subjected to friction costs during live trading since the order price could be a normalized price. For more information about this topic, see the Live Trading Considerations section.

Data Normalization Modes

The data normalization mode defines how the price series of two contracts are stitched together when the contract rollovers occur. The DataNormalizatoinMode enumeration has the following members available for continuous contracts:

DataNormalizationMode

Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The first contract has the true price. Factor 0. (4)

FORWARD_PANAMA_CANAL: DataNormalizationMode

Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The last contract has the true price. Factor 0. (5)

BACKWARDS_PANAMA_CANAL: DataNormalizationMode

Eliminates price jumps between two consecutive contracts, multiplying the prices by their ratio. The last contract has the true price. Factor 1. (6)

BACKWARDS_RATIO: DataNormalizationMode

No modifications to the asset price at all. For Equities, dividends are paid in cash and splits are applied directly to your portfolio quantity. (0)

Raw: DataNormalizationMode

Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The first contract has the true price. Factor 0. (4)

ForwardPanamaCanal: DataNormalizationMode

Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The last contract has the true price. Factor 0. (5)

BackwardsPanamaCanal: DataNormalizationMode

Eliminates price jumps between two consecutive contracts, multiplying the prices by their ratio. The last contract has the true price. Factor 1. (6)

BackwardsRatio: DataNormalizationMode

If you use a data normalization mode that's not in the preceding list, LEAN automatically converts it to DataNormalizationMode.BackwardsRatio.

Data Mapping Modes

The data mapping mode defines when contract rollovers occur. The DataMappingMode enumeration has the following members:

DataMappingMode

The contract maps on the previous day of expiration of the front month (0)

LAST_TRADING_DAY: DataMappingMode

The contract maps on the first date of the delivery month of the front month. If the contract expires prior to this date, then it rolls on the contract's last trading date instead (1)

FIRST_DAY_MONTH: DataMappingMode

The contract maps when the following back month contract has a higher open interest that the current front month (2)

OPEN_INTEREST: DataMappingMode

The contract maps when any of the back month contracts of the next year have a higher volume that the current front month (3)

OPEN_INTEREST_ANNUAL: DataMappingMode

The contract maps on the previous day of expiration of the front month (0)

LastTradingDay: DataMappingMode

The contract maps on the first date of the delivery month of the front month. If the contract expires prior to this date, then it rolls on the contract's last trading date instead (1)

FirstDayMonth: DataMappingMode

The contract maps when the following back month contract has a higher open interest that the current front month (2)

OpenInterest: DataMappingMode

The contract maps when any of the back month contracts of the next year have a higher volume that the current front month (3)

OpenInterestAnnual: DataMappingMode

VIX Futures don't support continous contract rolling with DataMappingMode.OpenInterestDataMappingMode.OPEN_INTEREST and DataMappingMode.OpenInterestAnnuakDataMappingMode.OPEN_INTEREST_ANNUAL.

Tracking Contract Changes

As the contracts roll over, the Mappedmapped property of the Future object references the next contract in the series and you receive a SymbolChangedEvent. To get the current Symbol change events, index the SymbolChangedEventssymbol_changed_events property of the current Slice with the continuous Futures Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your Future at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

Select Language:

def on_data(self, slice: Slice) -> None:
    # Get Symbol Change Event of the Continuous Future (change in mapped contract)
    changed_event = slice.symbol_changed_events.get(self.continuous_future_symbol)
    if changed_event:
        old_symbol = changed_event.old_symbol
        new_symbol = self.add_future_contract(changed_event.new_symbol).symbol
        tag = f"Rollover - Symbol changed at {self.time}: {old_symbol} -> {new_symbol}"
        quantity = self.portfolio[old_symbol].quantity

        # Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
        self.liquidate(old_symbol, tag = tag)
        if quantity != 0: self.market_order(new_symbol, quantity, tag = tag)
        self.log(tag)

public override void OnData(Slice slice)
{
    // Get Symbol Change Event of the Continuous Future (change in mapped contract)
    if (slice.SymbolChangedEvents.TryGetValue(_continuousFutureSymbol, out var changedEvent))
    {
        var oldSymbol = changedEvent.OldSymbol;
        var newSymbol = AddFutureContract(changedEvent.NewSymbol).Symbol;
        var tag = $"Rollover - Symbol changed at {Time}: {oldSymbol} -> {newSymbol}";
        var quantity = Portfolio[oldSymbol].Quantity;
        // Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
        Liquidate(oldSymbol, tag: tag);
        if (quantity != 0) MarketOrder(newSymbol, quantity, tag: tag);
        Log(tag);
    }
}

SymbolChangedEvent objects have the following attributes:

SymbolChangedEvent

Gets the symbol before the change

old_symbol: string

Gets the symbol after the change

new_symbol: string

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

data_type: MarketDataType

True if this is a fill forward piece of data

is_fill_forward: bool

Current time marker of this data packet.

time: DateTime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

end_time: DateTime

Symbol representation for underlying Security

symbol: Symbol

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

value: decimal

As this is a backtesting platform we'll provide an alias of value as price.

price: decimal

Gets the symbol before the change

OldSymbol: string

Gets the symbol after the change

NewSymbol: string

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

DataType: MarketDataType

True if this is a fill forward piece of data

IsFillForward: bool

Current time marker of this data packet.

Time: DateTime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

EndTime: DateTime

Symbol representation for underlying Security

Symbol: Symbol

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

Value: decimal

As this is a backtesting platform we'll provide an alias of value as price.

Price: decimal

Live Trading Considerations

You can trade continuous Futures, but the continuous Future Symbol doesn't map to a single underlying Future contract. Instead, it represents a set of rolling contracts. Thus, the prices could be frictional during a contract rollover, which could be catastrophic in live trading! For live trading, you should place your orders directly on the underlying contracts. To get the current underlying contract in the continuous Future series, use the Mappedmapped property.

Select Language:

# Get the mapped symbol
current_contract = self.continuous_contract.mapped
self.buy(current_contract, 1)

// Get the mapped symbol
var currentContract = _continuousContract.Mapped;
Buy(currentContract, 1);

Data Format

If you download the files in the US Futures Security Master, you get a factor file and a map file for each of the exchanges with supported continuous Futures. To view the files, see the \data\future\<exchange_name> directory under your LEAN CLI base directory.

For the factor file, it is a .zip collection of REST API styled .csv files for each Future Symbol, including the date, scaling factors for each type of data normalization and the data mapping mode that indicates the Symbol changing event is on that day for that mapping mode. The following line is an example line in the .csv file:

{"Date":"2009-10-31T00:00:00","BackwardsRatioScale":[0.9914163090128755364806866953,1.0,1.0],"BackwardsPanamaCanalScale":[-2.0,0.0,0.0],"ForwardPanamaCanalScale":[0.0,0.0,0.0],"DataMappingMode":1}

For the map file, it is a .zip collection of .csv files for each Future Symbol, including the date, new underlying contract Symbol, the exchange code, and the data mapping mode that indicates the Symbol changing event is on that day for that mapping mode. The following line is an example line in the .csv file:

20091130,aw uii3j0m6zbj9,CBOT,1

Classic Algorithm Example

The following example algorithm buys the continuous Future contract for Crude Oil when its price rises above its simple moving average. When its price drops below its simple moving average, the algorithm sells the continuous contract. Each time the continuous Future contract rolls over, the algorithm logs the event.

Select Language:

from AlgorithmImports import *
from QuantConnect.DataSource import *

class USFuturesSecurityMasterDataClassicAlgorithm (QCAlgorithm):
    # 1% margin to reassure trend direction
    threshold = 0.01
    
    def initialize(self) -> None:
        self.set_cash(1000000)
        self.set_start_date(2019, 2, 1)
        self.set_end_date(2021, 6, 1)

        # Setting the continuous contract mapping criteria, the contract with highest open interest provide the best price information for trend estimation
        self.continuous_contract = self.add_future(Futures.Energies.CRUDE_OIL_WTI,
                                                  data_normalization_mode = DataNormalizationMode.BACKWARDS_RATIO,
                                                  data_mapping_mode = DataMappingMode.OPEN_INTEREST,
                                                  contract_depth_offset = 0)
        self.continuous_contract_symbol = self.continuous_contract.symbol
                      
        # Historical data
        history = self.history(self.continuous_contract_symbol, 500, Resolution.MINUTE)
        self.debug(f"We got {len(history)} items from our history request")
        
        # Set up SMA indicator for trend direction estimator
        self.sma = self.SMA(self.continuous_contract_symbol, 10, Resolution.DAILY)
        # Warm up the SMA indicator for its readiness for immediate use
        if not history.empty:
            for time, row in history.droplevel(0).loc[self.continuous_contract_symbol].iterrows():
                self.sma.update(IndicatorDataPoint(time, row.close))
        

    def on_data(self, slice: Slice) -> None:
        # Up-to-date handling of switching the mapped contract for trade liquidity
        for symbol, changed_event in slice.symbol_changed_events.items():
            old_symbol = changed_event.old_symbol
            # Newly mapped contract might not have subscription data for trading yet, so we request its data
            new_symbol = self.add_future_contract(changed_event.new_symbol).symbol
            tag = f"Rollover - Symbol changed at {self.time}: {old_symbol} -> {new_symbol}"
            quantity = self.portfolio[old_symbol].quantity

            # Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
            self.liquidate(old_symbol, tag = tag)
            if quantity != 0: 
                self.market_order(new_symbol, quantity, tag = tag)
            self.log(tag)
                
        mapped_symbol = self.continuous_contract.mapped
        
        # Make sure trade decisions are based on newly received data
        if not (slice.bars.contains_key(self.continuous_contract_symbol) and self.sma.is_ready and mapped_symbol):
            return
        
        # Buy if trend up by threshold to follow the trend
        if slice.bars[self.continuous_contract_symbol].price > self.sma.current.value * (1+self.threshold) and not self.portfolio[mapped_symbol].is_long:
            self.market_order(mapped_symbol, 1)
        # Sell if trend down by threshold to follow the trend
        elif slice.bars[self.continuous_contract_symbol].price < self.sma.current.value * (1-self.threshold) and not self.portfolio[mapped_symbol].is_short:
            self.market_order(mapped_symbol, -1)

using QuantConnect.DataSource;

namespace QuantConnect.Algorithm.CSharp
{
    public class USFuturesSecurityMasterDataClassicAlgorithm  : QCAlgorithm
    {
        private Future _continuousContract;
        private Symbol _symbol;
        // 1% margin to reassure trend direction
        private decimal _threshold = 0.01m;
        private SimpleMovingAverage _sma;
        
        public override void Initialize()
        {
            SetCash(1000000);
            SetStartDate(2019, 2, 1);
            SetEndDate(2021, 6, 1);

            // Setting the continuous contract mapping criteria, the contract with highest open interest provide the best price information for trend estimation
            _continuousContract = AddFuture(Futures.Energies.CrudeOilWTI,
                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
                dataMappingMode: DataMappingMode.OpenInterest,
                contractDepthOffset: 0
            );
            _symbol = _continuousContract.Symbol;
            
            // Historical data
            var history = History(_symbol, 60*24*10, Resolution.Minute);
            Debug($"We got {history.Count()} items from our history request");
            
            // Set up SMA indicator for trend direction estimator
            _sma = SMA(_symbol, 10, Resolution.Daily);
            // Warm up the SMA indicator for its readiness for immediate use
            foreach (var bar in history)
            {
                _sma.Update(new IndicatorDataPoint(bar.Time, bar.Close));
            }
        }
        
        public override void OnData(Slice slice)
        {
            // Up-to-date handling of switching the mapped contract for trade liquidity
            foreach (var (symbol, changedEvent) in slice.SymbolChangedEvents)
            {
                var oldSymbol = changedEvent.OldSymbol;
                // Newly mapped contract might not have subscription data for trading yet, so we request its data
                var newSymbol = AddFutureContract(changedEvent.NewSymbol).Symbol;
                var tag = $"Rollover - Symbol changed at {Time}: {oldSymbol} -> {newSymbol}";
                var quantity = Portfolio[oldSymbol].Quantity;
                // Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
                Liquidate(oldSymbol, tag: tag);
                if (quantity != 0) MarketOrder(newSymbol, quantity, tag: tag);
                Log(tag);
            }
            
            var mappedSymbol = _continuousContract.Mapped;

            // Make sure trade decisions are based on newly received data
            if (!(slice.Bars.ContainsKey(_symbol) && _sma.IsReady && mappedSymbol != null))
            {
                return;
            }
            
            // Buy if trend up by threshold to follow the trend
            if (slice.Bars[_symbol].Price > _sma.Current.Value * (1+_threshold) && !Portfolio[mappedSymbol].IsLong)
            {
                MarketOrder(mappedSymbol, 1);
            }
            // Sell  if trend down by threshold to follow the trend
            else if (slice.Bars[_symbol].Price < _sma.Current.Value * (1-_threshold) && !Portfolio[mappedSymbol].IsShort)
            {
                MarketOrder(mappedSymbol, -1);
            }
        }
    }
}

Framework Algorithm Example

Select Language:

from AlgorithmImports import *
from QuantConnect.DataSource import *

class USFuturesSecurityMasterDataFrameworkAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_cash(1000000)
        self.set_start_date(2019, 2, 1)
        self.set_end_date(2021, 6, 1)

        # Setting the continuous contract mapping criteria, the contract with highest open interest provide the best price information for trend estimation
        self.add_future(Futures.Energies.CRUDE_OIL_WTI,
                       data_normalization_mode = DataNormalizationMode.BACKWARDS_RATIO,
                       data_mapping_mode = DataMappingMode.OPEN_INTEREST,
                       contract_depth_offset = 0)
        self.add_alpha(ContinuousFuturesAlphaModel())
        self.set_portfolio_construction(SingleSharePortfolioConstructionModel())

class ContinuousFuturesAlphaModel(AlphaModel):
    # 1% margin to reassure trend direction
    threshold = 0.01
    symbol = None
    continuous_contract = None
    
    def update(self, algorithm: QCAlgorithm, slice: Slice) -> List[Insight]:
        insights = []
        # Check if contract data available, since all trades are based on that only
        if self.continuous_contract_symbol is None or self.continuous_contract is None:
            return insights 
        
        # Up-to-date handling of switching the mapped contract for trade liquidity
        for symbol, changed_event in slice.symbol_changed_events.items():
            old_symbol = changed_event.old_symbol
            if algorithm.insights.has_active_insights(old_symbol, algorithm.utc_time):
                new_symbol = changed_event.new_symbol
                tag = f"Rollover - Symbol changed at {algorithm.time}: {old_symbol} -> {new_symbol}"
                last_insight = sorted(algorithm.insights[old_symbol], key=lambda x: x.close_time_utc)[-1]
                insights.append(Insight.price(new_symbol, last_insight.close_time_utc, last_insight.direction, tag= tag))
                algorithm.insights.clear([old_symbol])
                algorithm.log(tag)
         
        mapped_symbol = self.continuous_contract.mapped
        # Make sure trade decisions are based on newly received data
        if not slice.bars.contains_key(self.continuous_contract_symbol) or not self.sma.is_ready or not mapped_symbol:
            return insights 
        
        direction = None
        # Long if trend up by threshold to follow the trend
        if slice.bars[self.continuous_contract_symbol].price > self.sma.current.value * (1+self.threshold) and not algorithm.portfolio[mapped_symbol].is_long:
            direction = InsightDirection.UP
        # Short if trend down by threshold to follow the trend
        elif slice.bars[self.continuous_contract_symbol].price < self.sma.current.value * (1-self.threshold) and not algorithm.portfolio[mapped_symbol].is_short:
            direction = InsightDirection.DOWN
        
        if direction:
            insights.append(Insight.price(mapped_symbol, timedelta(days=14), direction))
        
        return insights
        
    def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
        for security in changes.added_securities:
            symbol = security.symbol
            # Set up SMA indicator for trend direction estimator, only for the canonical symbol
            if symbol.is_canonical():
                self.continuous_contract = security
                self.continuous_contract_symbol = symbol
                self.sma = algorithm.SMA(self.continuous_contract_symbol, 10, Resolution.DAILY)
            
                # Historical data
                history = algorithm.history(symbol, 60*24*10, Resolution.MINUTE)
                algorithm.debug(f"We got {len(history)} from our history request for {symbol}")
                
                if history.empty:
                    continue
                # Warm up the SMA indicator for its readiness for immediate use
                for time, row in history.droplevel(0).loc[self.continuous_contract_symbol].iterrows():
                    self.sma.update(IndicatorDataPoint(time, row.close))

class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
    def create_targets(self, algorithm: QCAlgorithm, insights: List[Insight]) -> List[PortfolioTarget]:
        targets = []
        for insight in insights:
            if algorithm.securities[insight.symbol].is_tradable:
                targets.append(PortfolioTarget(insight.symbol, insight.direction))
        return targets

using QuantConnect.DataSource;

namespace QuantConnect.Algorithm.CSharp
{
    public class USFuturesSecurityMasterDataFrameworkAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetCash(1000000);
            SetStartDate(2019, 2, 1);
            SetEndDate(2021, 6, 1);

            // Setting the continuous contract mapping criteria, the contract with highest open interest provide the best price information for trend estimation
            AddFuture(Futures.Energies.CrudeOilWTI,
                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
                dataMappingMode: DataMappingMode.OpenInterest,
                contractDepthOffset: 0
            );
            AddAlpha(new ContinuousFuturesAlphaModel());
            SetPortfolioConstruction(new SingleSharePortfolioConstructionModel());
        }
        
        class ContinuousFuturesAlphaModel : AlphaModel
        {
            private Future _continuousContract;
            private Symbol _symbol;
            // 1% margin to reassure trend direction
            private decimal _threshold = 0.01m;
            private SimpleMovingAverage _sma;
        
            public override IEnumerable Update(QCAlgorithm algorithm, Slice slice)
            {
                var insights = new List();
                
                //  Check if contract data available, since all trades are based on that only
                if (_symbol == null || _continuousContract == null)
                {
                    return insights;
                }
                
                // Up-to-date handling of switching the mapped contract for trade liquidity
                foreach (var (symbol, changedEvent) in slice.SymbolChangedEvents)
                {
                    var oldSymbol = changedEvent.OldSymbol;
                    if (algorithm.Insights.HasActiveInsights(oldSymbol, algorithm.UtcTime))
                    {
                        var newSymbol = changedEvent.NewSymbol;
                        var tag = $"Rollover - Symbol changed at {algorithm.Time}: {oldSymbol} -> {newSymbol}";
                        var lastInsight = algorithm.Insights[oldSymbol].OrderBy(x => x.CloseTimeUtc).LastOrDefault();
                        insights.Add(Insight.Price(newSymbol, lastInsight.CloseTimeUtc, lastInsight.Direction, tag: tag));
                        algorithm.Insights.Clear(new Symbol[] { oldSymbol });
                        algorithm.Log(tag);
                    }
                }
                
                var mappedSymbol = _continuousContract.Mapped;
                // Make sure trade decisions are based on newly received data
                if (!slice.Bars.ContainsKey(_symbol) || !_sma.IsReady || mappedSymbol == null)
                {
                    return insights;
                }
                
                // Long if trend up by threshold to follow the trend
                if (slice.Bars[_symbol].Price > _sma.Current.Value * (1+_threshold) && !algorithm.Portfolio[mappedSymbol].IsLong)
                {
                    insights.Add(Insight.Price(mappedSymbol, TimeSpan.FromDays(14), InsightDirection.Up));
                }
                // Short if trend down by threshold to follow the trend
                else if (slice.Bars[_symbol].Price < _sma.Current.Value * (1-_threshold) && !algorithm.Portfolio[mappedSymbol].IsShort)
                {
                    insights.Add(Insight.Price(mappedSymbol, TimeSpan.FromDays(14), InsightDirection.Down));
                }
                
                return insights;
            }
        
            public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
            {
                foreach (var security in changes.AddedSecurities)
                {
                    var symbol = security.Symbol;
                    // Set up SMA indicator for trend direction estimator, only for the canonical symbol
                    if (symbol.IsCanonical())
                    {
                        _continuousContract = (Future)security;
                        _symbol = symbol;
                        _sma = algorithm.SMA(_symbol, 10, Resolution.Daily);
                        
                        // Historical data 
                        var history = algorithm.History(symbol, 60*24*10, Resolution.Minute);
                        algorithm.Debug($"We got {history.Count()} from our history request for {symbol}");
                        
                        // Warm up the SMA indicator for its readiness for immediate use
                        foreach (var bar in history)
                        {
                            _sma.Update(new IndicatorDataPoint(bar.Time, bar.Close));
                        }
                    }
                }
            }
        }
        
        class SingleSharePortfolioConstructionModel : PortfolioConstructionModel
        {
            public override IEnumerable CreateTargets(QCAlgorithm algorithm, Insight[] insights)
            {
                var targets = new List();
                foreach (var insight in insights)
                {
                    if (algorithm.Securities[insight.Symbol].IsTradable)
                    {
                        targets.Add(new PortfolioTarget(insight.Symbol, (int) insight.Direction));
                    }
                }
                return targets;
            }
        }
    }
}

Licensing Available

Cloud Usage

US Futures Security Master is allowed to be used in the cloud for personal and commercial projects for free. The data is permissioned for use within the licensed organization only

Free | Documentation

LEAN CLI Downloads Usage

US Futures Security Master can be downloaded on premise with the LEAN CLI, for a charge per file downloaded. This download is for the licensed organization's internal LEAN use only and cannot be redistributed or converted in any format.

Starting at 15000 QCC/file with Subscription | License Now

About Lean CLI

LEAN CLI is a cross-platform wrapper on the QuantConnect algorithmic trading engine called LEAN. The CLI makes using LEAN incredibly easy, reducing most of the pain points of developing and managing an algorithmic trading strategy to a few lines of bash.

Using the CLI you can download the same data QuantConnect hosts in the cloud for a small fee. These fees are per file downloaded, and are paid for in QuantConnect-Credits (QCC). We recommend purchasing credits to enable downloading.

CLI Command Generator

The CLI command generator is a helpful tool to generate a copy-paste command to download this dataset from the form below.

Select OS:

lean data download \
	--dataset "US Futures Security Master"

lean data download `
	--dataset "US Futures Security Master"

Pricing | Provider offers 2 licensing options

QuantConnect Futures Security Master is freely accessible in our cloud environment, and can be downloaded for on premise backtesting and research for an annual subscription of $600. Subsequent downloads within the subscription period will not be subjected to additional charge.

Cloud Access

Use QuantConnect US Futures Security reference data in the QuantConnect Cloud for your backtesting and live trading purposes.

Curated, clean data
Updated nightly at 4am
No maintenance required

Download On Premise

Download US Futures Security Master reference data your LEAN backtesting and live trading on premise with the LEAN CLI. Must supply your own compatible LEAN futures market data.

Ownership of the data for internal use
Data in LEAN format ready for ingestion
Local compute resources

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Starting Date

May 2009

Coverage

162 Future Contracts

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