Datasets
Futures
Create Subscriptions
Follow these steps to subscribe to a Future security:
- Load the assembly files and data types in their own cell.
- Import the data types.
- Create a
QuantBook
. - Call the
AddFuture
add_future
method with a ticker, resolution, and contract rollover settings. - (Optional) Set a contract filter.
#load "../Initialize.csx"
#load "../QuantConnect.csx" #r "../Microsoft.Data.Analysis.dll" using QuantConnect; using QuantConnect.Data; using QuantConnect.Algorithm; using QuantConnect.Research; using QuantConnect.Indicators; using QuantConnect.Securities.Future; using Microsoft.Data.Analysis;
var qb = new QuantBook();
qb = QuantBook()
var future = qb.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, dataNormalizationMode: DataNormalizationMode.BackwardsRatio, dataMappingMode: DataMappingMode.LastTradingDay, contractDepthOffset: 0);
future = qb.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, data_normalization_mode = DataNormalizationMode.BACKWARDS_RATIO, data_mapping_mode = DataMappingMode.LAST_TRADING_DAY, contract_depth_offset = 0)
To view the available tickers in the US Futures dataset, see Supported Assets.
If you omit any of the arguments after the ticker, see the following table for their default values:
Argument | Default Value |
---|---|
resolution | Resolution.Minute Resolution.MINUTE |
dataNormalizationMode data_normalization_mode | DataNormalizationMode.Adjusted DataNormalizationMode.ADJUSTED |
dataMappingMode data_mapping_mode | DataMappingMode.OpenInterest |
contractDepthOffset contract_depth_offset | 0 |
future.set_filter(0, 90);
future.set_filter(0, 90)
If you don't call the SetFilter
set_filter
method, the FutureHistory
future_history
method won't return historical data.
If you want historical data on individual contracts and their OpenInterest
, follow these steps to subscribe to individual Future contracts:
- Call the
GetFuturesContractList
method with the underlyingFuture
Symbol
and adatetime
DateTime
. - Select the
Symbol
of theFutureContract
object(s) for which you want to get historical data. - Call the
AddFutureContract
add_future_contract
method with anFutureContract
Symbol
and disable fill-forward.
var startDate = new DateTime(2021,12,20); var symbols = qb.FutureChainProvider.GetFutureContractList(future.Symbol, startDate);
start_date = datetime(2021,12,20) symbols = qb.future_chain_provider.get_future_contract_list(future.symbol, start_date)
This method returns a list of Symbol
objects that reference the Future contracts that were trading at the given time. If you set a contract filter with SetFilter
set_filter
, it doesn't affect the results of GetFutureContractList
get_future_contract_list
.
For example, select the Symbol
of the contract with the closest expiry.
var contractSymbol = symbols.OrderBy(s => s.ID.Date).FirstOrDefault();
contract_symbol = sorted(symbols, key=lambda s: s.id.date)[0]
qb.AddFutureContract(contractSymbol, fillForward: false);
qb.add_future_contract(contract_symbol, fill_forward = False)
Disable fill-forward because there are only a few OpenInterest
data points per day.
Get Historical Data
You need a subscription before you can request historical data for Futures contracts. On the time dimension, you can request an amount of historical data based on a trailing number of bars, a trailing period of time, or a defined period of time. On the contract dimension, you can request historical data for a single contract, a subset of the contracts you created subscriptions for in your notebook, or all of the contracts in your notebook.
These history requests return the prices and open interest of the Option contracts. They don't provide the implied volatility or Greeks. To get the implied volaility and Greeks, call the OptionChain
option_chain
method or create some indicators.
Before you request historical data, call the SetStartDate
set_start_date
method with a datetime
DateTime
to reduce the risk of look-ahead bias.
qb.SetStartDate(startDate);
qb.set_start_date(start_date)
If you call the SetStartDate
set_start_date
method, the date that you pass to the method is the latest date for which your history requests will return data.
Trailing Number of Bars
To get historical data for a number of trailing bars, call the History
history
method with the contract Symbol
object(s) and an integer.
// Slice objects var singleHistorySlice = qb.History(contractSymbol, 10); var subsetHistorySlice = qb.History(new[] {contractSymbol}, 10); var allHistorySlice = qb.History(10); // TradeBar objects var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, 10); var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, 10); var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, 10); // QuoteBar objects var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, 10); var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, 10); var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, 10); // OpenInterest objects var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, 400); var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, 400); var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, 400);
# DataFrame of trade and quote data single_history_df = qb.history(contract_symbol, 10) subset_history_df = qb.history([contract_symbol], 10) all_history_df = qb.history(qb.securities.keys(), 10) # DataFrame of trade data single_history_trade_bar_df = qb.history(TradeBar, contract_symbol, 10) subset_history_trade_bar_df = qb.history(TradeBar, [contract_symbol], 10)s all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), 10) # DataFrame of quote data single_history_quote_bar_df = qb.history(QuoteBar, contract_symbol, 10) subset_history_quote_bar_df = qb.history(QuoteBar, [contract_symbol], 10) all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), 10) # DataFrame of open interest data single_history_open_interest_df = qb.history(OpenInterest, contract_symbol, 400) subset_history_open_interest_df = qb.history(OpenInterest, [contract_symbol], 400) all_history_open_interest_df = qb.history(OpenInterest, qb.securities.keys(), 400) # Slice objects all_history_slice = qb.history(10) # TradeBar objects single_history_trade_bars = qb.history[TradeBar](contract_symbol, 10) subset_history_trade_bars = qb.history[TradeBar]([contract_symbol], 10) all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), 10) # QuoteBar objects single_history_quote_bars = qb.history[QuoteBar](contract_symbol, 10) subset_history_quote_bars = qb.history[QuoteBar]([contract_symbol], 10) all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), 10) # OpenInterest objects single_history_open_interest = qb.history[OpenInterest](contract_symbol, 400) subset_history_open_interest = qb.history[OpenInterest]([contract_symbol], 400) all_history_open_interest = qb.history[OpenInterest](qb.securities.keys(), 400)
The preceding calls return the most recent bars, excluding periods of time when the exchange was closed.
To get historical data for the continous Futures contract, in the preceding history requests, replace contract_symbol
contractSymbol
with future.Symbol
.
Trailing Period of Time
To get historical data for a trailing period of time, call the History
history
method with the contract Symbol
object(s) and a TimeSpan
timedelta
.
// Slice objects var singleHistorySlice = qb.History(contractSymbol, TimeSpan.FromDays(3)); var subsetHistorySlice = qb.History(new[] {contractSymbol}, TimeSpan.FromDays(3)); var allHistorySlice = qb.History(10); // TradeBar objects var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, TimeSpan.FromDays(3)); var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, TimeSpan.FromDays(3)); var allHistoryTradeBars = qb.History<TradeBar>(TimeSpan.FromDays(3)); // QuoteBar objects var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, TimeSpan.FromDays(3), Resolution.Minute); var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, TimeSpan.FromDays(3), Resolution.Minute); var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, TimeSpan.FromDays(3), Resolution.Minute); // Tick objects var singleHistoryTicks = qb.History(contractSymbol, TimeSpan.FromDays(3), Resolution.Tick); var subsetHistoryTicks = qb.History (new[] {contractSymbol}, TimeSpan.FromDays(3), Resolution.Tick); var allHistoryTicks = qb.History (qb.Securities.Keys, TimeSpan.FromDays(3), Resolution.Tick); // OpenInterest objects var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, TimeSpan.FromDays(2)); var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, TimeSpan.FromDays(2)); var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, TimeSpan.FromDays(2));
# DataFrame of trade and quote data single_history_df = qb.history(contract_symbol, timedelta(days=3)) subset_history_df = qb.history([contract_symbol], timedelta(days=3)) all_history_df = qb.history(qb.securities.keys(), timedelta(days=3)) # DataFrame of trade data single_history_trade_bar_df = qb.history(TradeBar, contract_symbol, timedelta(days=3)) subset_history_trade_bar_df = qb.history(TradeBar, [contract_symbol], timedelta(days=3)) all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), timedelta(days=3)) # DataFrame of quote data single_history_quote_bar_df = qb.history(QuoteBar, contract_symbol, timedelta(days=3)) subset_history_quote_bar_df = qb.history(QuoteBar, [contract_symbol], timedelta(days=3)) all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), timedelta(days=3)) # DataFrame of open interest data single_history_open_interest_df = qb.history(OpenInterest, contract_symbol, timedelta(days=3)) subset_history_open_interest_df = qb.history(OpenInterest, [contract_symbol], timedelta(days=3)) all_history_open_interest_df = qb.history(OpenInterest, qb.securities.keys(), timedelta(days=3)) # Slice objects all_history_slice = qb.history(timedelta(days=3)) # TradeBar objects single_history_trade_bars = qb.history[TradeBar](contract_symbol, timedelta(days=3)) subset_history_trade_bars = qb.history[TradeBar]([contract_symbol], timedelta(days=3)) all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), timedelta(days=3)) # QuoteBar objects single_history_quote_bars = qb.history[QuoteBar](contract_symbol, timedelta(days=3), Resolution.MINUTE) subset_history_quote_bars = qb.history[QuoteBar]([contract_symbol], timedelta(days=3), Resolution.MINUTE) all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), timedelta(days=3), Resolution.MINUTE) # Tick objects single_history_ticks = qb.history[Tick](contract_symbol, timedelta(days=3), Resolution.TICK) subset_history_ticks = qb.history[Tick]([contract_symbol], timedelta(days=3), Resolution.TICK) all_history_ticks = qb.history[Tick](qb.securities.keys(), timedelta(days=3), Resolution.TICK) # OpenInterest objects single_history_open_interest = qb.history[OpenInterest](contract_symbol, timedelta(days=2)) subset_history_open_interest = qb.history[OpenInterest]([contract_symbol], timedelta(days=2)) all_history_open_interest = qb.history[OpenInterest](qb.securities.keys(), timedelta(days=2))
The preceding calls return the most recent bars, excluding periods of time when the exchange was closed.
To get historical data for the continous Futures contract, in the preceding history requests, replace contract_symbol
contractSymbol
with future.Symbol
.
Defined Period of Time
To get historical data for individual Futures contracts during a specific period of time, call the History
history
method with the Futures contract Symbol
object(s), a start DateTime
datetime
, and an end DateTime
datetime
. The start and end times you provide are based in the notebook time zone.
var startTime = new DateTime(2021, 12, 1); var endTime = new DateTime(2021, 12, 31); // Slice objects var singleHistorySlice = qb.History(contractSymbol, startTime, endTime); var subsetHistorySlice = qb.History(new[] {contractSymbol}, startTime, endTime); var allHistorySlice = qb.History(startTime, endTime); // TradeBar objects var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, startTime, endTime); var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, startTime, endTime); var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, startTime, endTime); // QuoteBar objects var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, startTime, endTime, Resolution.Minute); var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, startTime, endTime, Resolution.Minute); var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, startTime, endTime, Resolution.Minute); // Tick objects var singleHistoryTicks = qb.History<Tick>(contractSymbol, startTime, endTime, Resolution.Tick); var subsetHistoryTicks = qb.History<Tick>(new[] {contractSymbol}, startTime, endTime, Resolution.Tick); var allHistoryTicks = qb.History<Tick>(qb.Securities.Keys, startTime, endTime, Resolution.Tick); // OpenInterest objects var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, startTime, endTime); var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, startTime, endTime); var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, startTime, endTime);
start_time = datetime(2021, 12, 1) end_time = datetime(2021, 12, 31) # DataFrame of trade and quote data single_history_df = qb.history(contract_symbol, start_time, end_time) subset_history_df = qb.history([contract_symbol], start_time, end_time) all_history_df = qb.history(qb.securities.keys(), start_time, end_time) # DataFrame of trade data single_history_trade_bar_df = qb.history(TradeBar, contract_symbol, start_time, end_time) subset_history_trade_bar_df = qb.history(TradeBar, [contract_symbol], start_time, end_time) all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), start_time, end_time) # DataFrame of quote data single_history_quote_bar_df = qb.history(QuoteBar, contract_symbol, start_time, end_time) subset_history_quote_bar_df = qb.history(QuoteBar, [contract_symbol], start_time, end_time) all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), start_time, end_time) # DataFrame of open interest data single_history_open_interest_df = qb.history(OpenInterest, contract_symbol, start_time, end_time) subset_history_open_interest_df = qb.history(OpenInterest, [contract_symbol], start_time, end_time) all_history_trade_open_interest_df = qb.history(OpenInterest, qb.securities.keys(), start_time, end_time) # TradeBar objects single_history_trade_bars = qb.history[TradeBar](contract_symbol, start_time, end_time) subset_history_trade_bars = qb.history[TradeBar]([contract_symbol], start_time, end_time) all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), start_time, end_time) # QuoteBar objects single_history_quote_bars = qb.history[QuoteBar](contract_symbol, start_time, end_time, Resolution.MINUTE) subset_history_quote_bars = qb.history[QuoteBar]([contract_symbol], start_time, end_time, Resolution.MINUTE) all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), start_time, end_time, Resolution.MINUTE) # Tick objects single_history_ticks = qb.history[Tick](contract_symbol, start_time, end_time, Resolution.TICK) subset_history_ticks = qb.history[Tick]([contract_symbol], start_time, end_time, Resolution.TICK) all_history_ticks = qb.history[Tick](qb.securities.keys(), start_time, end_time, Resolution.TICK) # OpenInterest objects single_history_open_interest = qb.history[OpenInterest](contract_symbol, start_time, end_time) subset_history_open_interest = qb.history[OpenInterest]([contract_symbol], start_time, end_time) all_history_open_interest = qb.history[OpenInterest](qb.securities.keys(), start_time, end_time)
To get historical data for the continous Futures contract, in the preceding history requests, replace contract_symbol
contractSymbol
with future.Symbol
.
To get historical data for all of the Futures contracts that pass your filter during a specific period of time, call the FutureHistory
future_history
method with the Symbol
object of the continuous Future, a start DateTime
datetime
, and an end DateTime
datetime
.
future_history = qb.future_history(future.Symbol, end_time-timedelta(days=2), end_time, Resolution.MINUTE, fill_forward=False, extended_market_hours=False)
var futureHistory = qb.FutureHistory(future.Symbol, endTime-TimeSpan.FromDays(2), endTime, Resolution.Minute, fillForward: False, extendedMarketHours: False);
The preceding calls return data that have a timestamp within the defined period of time.
Data Normalization
The data normalization mode doesn't affect data from history request for Futures contracts. If you change the data normalization mode, it won't change the outcome.
The following data normalization modes are available for continuous Futures contracts:
Wrangle Data
You need some historical data to perform wrangling operations. The process to manipulate the historical data depends on its data type. To display pandas
objects, run a cell in a notebook with the pandas
object as the last line. To display other data formats, call the print
method.
You need some historical data to perform wrangling operations. Use LINQ to wrangle the data and then call the Console.WriteLine
method in a Jupyter Notebook to display the data. The process to manipulate the historical data depends on its data type.
DataFrame Objects
If your history request returns a DataFrame
, the DataFrame
has the following index levels:
- Contract expiry
- Encoded contract Symbol
- The
EndTime
end_time
of the data sample
The columns of the DataFrame
are the data properties. Depending on how you request data, the DataFrame
may contain data for the continuous Futures contract. The continuous contract doesn't expire, so the default expiry date of December 30, 1899 doesn't have any practical meaning.
To select the rows of the contract(s) that expire at a specific time, index the loc
property of the DataFrame
with the expiry time.
all_history_df.loc[datetime(2022, 3, 18, 13, 30)]
If you remove the first index level, you can index the DataFrame
with just the contract Symbol
, similiar to how you would with non-derivative asset classes. To remove the first index level, call the droplevel method.
all_history_df.index = all_history_df.index.droplevel(0)
To select the historical data of a single Futures contract, index the loc
property of the DataFrame
with the contract Symbol
.
all_history_df.loc[contract_symbol]
To select a column of the DataFrame
, index it with the column name.
all_history_df.loc[contract_symbol]['close']
If you request historical data for multiple Futures contracts, you can transform the DataFrame
so that it's a time series of close values for all of the Futures contracts. To transform the DataFrame
, select the column you want to display for each Futures contract and then call the unstack method.
all_history_df['close'].unstack(level=0)
The DataFrame
is transformed so that the column indices are the Symbol
of each security and each row contains the close value.
The historical data methods don't return DataFrame objects, but you can create one for efficient vectorized data wrangling.
using Microsoft.Data.Analysis; var columns = new DataFrameColumn[] { new PrimitiveDataFrameColumn("Time", history.Select(x => x[contractSymbol].EndTime)), new DecimalDataFrameColumn(" Open", history.Select(x => x[contractSymbol].Open)), new DecimalDataFrameColumn(" High", history.Select(x => x[contractSymbol].High)), new DecimalDataFrameColumn(" Low", history.Select(x => x[contractSymbol].Low)), new DecimalDataFrameColumn(" Close", history.Select(x => x[contractSymbol].Close)) }; var df = new DataFrame(columns); df
To select a particular column of the DataFrame, index it with the column name.
df[" close"]
Slice Objects
If the History
history
method returns Slice
objects, iterate through the Slice
objects to get each one. The Slice
objects may not have data for all of your Futures subscriptions. To avoid issues, check if the Slice
contains data for your Futures contract before you index it with the Futures Symbol
.
foreach (var slice in allHistorySlice) { if (slice.Bars.ContainsKey(contractSymbol)) { var tradeBar = slice.Bars[contractSymbol]; } if (slice.QuoteBars.ContainsKey(contractSymbol)) { var quoteBar = slice.QuoteBars[contractSymbol]; } }
for slice in all_history_slice: if slice.bars.contains_key(contract_symbol): trade_bar = slice.bars[contract_symbol] if slice.quote_bars.contains_key(contract_symbol): quote_bar = slice.quote_bars[contract_symbol]
You can also iterate through each TradeBar
and QuoteBar
in the Slice
.
foreach (var slice in allHistorySlice) { foreach (var kvp in slice.Bars) { var symbol = kvp.Key; var tradeBar = kvp.Value; } foreach (var kvp in slice.QuoteBars) { var symbol = kvp.Key; var quoteBar = kvp.Value; } }
for slice in all_history_slice: for kvp in slice.bars: symbol = kvp.key trade_bar = kvp.value for kvp in slice.quote_bars: symbol = kvp.key quote_bar = kvp.value
You can also use LINQ to select each TradeBar
in the Slice
for a given Symbol
.
var tradeBars = allHistorySlice.Where(slice => slice.Bars.ContainsKey(contractSymbol)).Select(slice => slice.Bars[contractSymbol]);
TradeBar Objects
If the History
history
method returns TradeBar
objects, iterate through the TradeBar
objects to get each one.
foreach (var tradeBar in singleHistoryTradeBars) { Console.WriteLine(tradeBar); }
for trade_bar in single_history_trade_bars: print(trade_bar)
If the History
history
method returns TradeBars
, iterate through the TradeBars
to get the TradeBar
of each Futures contract. The TradeBars
may not have data for all of your Futures subscriptions. To avoid issues, check if the TradeBars
object contains data for your security before you index it with the Futures Symbol
.
foreach (var tradeBars in allHistoryTradeBars) { if (tradeBars.ContainsKey(contractSymbol)) { var tradeBar = tradeBars[contractSymbol]; } }
for trade_bars in all_history_trade_bars: if trade_bars.contains_key(contract_symbol): trade_bar = trade_bars[contract_symbol]
You can also iterate through each of the TradeBars
.
foreach (var tradeBars in allHistoryTradeBars) { foreach (var kvp in tradeBars) { var symbol = kvp.Key; var tradeBar = kvp.Value; } }
for trade_bars in all_history_trade_bars: for kvp in trade_bars: symbol = kvp.Key trade_bar = kvp.Value
QuoteBar Objects
If the History
history
method returns QuoteBar
objects, iterate through the QuoteBar
objects to get each one.
foreach (var quoteBar in singleHistoryQuoteBars) { Console.WriteLine(quoteBar); }
for quote_bar in single_history_quote_bars: print(quote_bar)
If the History
history
method returns QuoteBars
, iterate through the QuoteBars
to get the QuoteBar
of each Futures contract. The QuoteBars
may not have data for all of your Futures subscriptions. To avoid issues, check if the QuoteBars
object contains data for your security before you index it with the Futures Symbol
.
foreach (var quoteBars in allHistoryQuoteBars) { if (quoteBars.ContainsKey(contractSymbol)) { var quoteBar = quoteBars[contractSymbol]; } }
for quote_bars in all_history_quote_bars: if quote_bars.contains_key(contract_symbol): quote_bar = quote_bars[contract_symbol]
You can also iterate through each of the QuoteBars
.
foreach (var quoteBars in allHistoryQuoteBars) { foreach (var kvp in quoteBars) { var symbol = kvp.Key; var quoteBar = kvp.Value; } }
for quote_bars in all_history_quote_bars: for kvp in quote_bars: symbol = kvp.key quote_bar = kvp.value
Tick Objects
If the History
history
method returns Tick
TICK
objects, iterate through the Tick
TICK
objects to get each one.
foreach (var tick in singleHistoryTicks) { Console.WriteLine(tick); }
for tick in single_history_ticks: print(tick)
If the History
history
method returns Ticks
, iterate through the Ticks
to get the Tick
TICK
of each Futures contract. The Ticks
may not have data for all of your Futures subscriptions. To avoid issues, check if the Ticks
object contains data for your security before you index it with the Futures Symbol
.
foreach (var ticks in allHistoryTicks) { if (ticks.ContainsKey(contractSymbol)) { var tick = ticks[contractSymbol]; } }
for ticks in all_history_ticks: if ticks.contains_key(contract_symbol): ticks = ticks[contract_symbol]
You can also iterate through each of the Ticks
.
foreach (var ticks in allHistoryTicks) { foreach (var kvp in ticks) { var symbol = kvp.Key; var tick = kvp.Value; } }
for ticks in all_history_ticks: for kvp in ticks: symbol = kvp.key tick = kvp.value
The Ticks
objects only contain the last tick of each security for that particular timeslice
OpenInterest Objects
If the History
history
method returns OpenInterest
objects, iterate through the OpenInterest
objects to get each one.
foreach (var openInterest in singleHistoryOpenInterest) { Console.WriteLine(openInterest); }
for open_interest in single_history_open_interest: print(open_interest)
If the History
history
method returns a dictionary of OpenInterest
objects, iterate through the dictionary to get the OpenInterest
of each Futures contract. The dictionary of OpenInterest
objects may not have data for all of your Futures contract subscriptions. To avoid issues, check if the dictionary contains data for your contract before you index it with the Futures contract Symbol
.
foreach (var openInterestDict in allHistoryOpenInterest) { if (openInterestDict.ContainsKey(contractSymbol)) { var openInterest = openInterestDict[contractSymbol]; } }
for open_interest_dict in all_history_open_interest: if open_interest_dict.contains_key(contract_symbol): open_interest = open_interest_dict[contract_symbol]
You can also iterate through each of the OpenInterest
dictionaries.
foreach (var openInterestDict in allHistoryOpenInterest) { foreach (var kvp in openInterestDict) { var symbol = kvp.Key; var openInterest = kvp.Value; } }
for open_interest_dict in all_history_open_interest: for kvp in open_interest_dict: symbol = kvp.key open_interest = kvp.value
FutureHistory Objects
The FutureHistory
future_history
method returns a FutureHistory
object. To get each slice in the FutureHistory
object, iterate through it.
foreach (var slice in futureHistory) { foreach (var kvp in slice.FuturesChains) { var continuousContractSymbol = kvp.Key; var chain = kvp.Value; foreach (var contract in chain) { } } }
for slice in future_history: for continuous_contract_symbol, chain in slice.futures_chains.items(): for contract in chain: pass
To convert the FutureHistory
object to a DataFrame
that contains the trade and quote information of each contract, call the GetAllData
method.
future_history.get_all_data()
To get the expiration dates of all the contracts in an FutureHistory
object, call the GetExpiryDates
method.
future_history.get_expiry_dates()
Plot Data
You need some historical Futures data to produce plots. You can use many of the supported plotting librariesPlot.NET package to visualize data in various formats. For example, you can plot candlestick and line charts.
Candlestick Chart
Follow these steps to plot candlestick charts:
- Get some historical data.
- Drop the first two index levels.
- Import the
plotly
Plot.NET
library. - Create a
Candlestick
. - Create a
Layout
. - Create the
Figure
. - Assign the
Layout
to the chart. - Show the
Figure
.
history = qb.history(contract_symbol, datetime(2021, 12, 1), datetime(2021, 12, 31), Resolution.DAILY)
var history = qb.History<TradeBar>(contractSymbol, new DateTime(2021, 12, 1), new DateTime(2021, 12, 31), Resolution.Daily);
history.index = history.index.droplevel([0, 1])
import plotly.graph_objects as go
#r "../Plotly.NET.dll" using Plotly.NET; using Plotly.NET.LayoutObjects;
candlestick = go.Candlestick(x=history.index, open=history['open'], high=history['high'], low=history['low'], close=history['close'])
var chart = Chart2D.Chart.Candlestick<decimal, decimal, decimal, decimal, DateTime, string>( history.Select(x => x.Open), history.Select(x => x.High), history.Select(x => x.Low), history.Select(x => x.Close), history.Select(x => x.EndTime) );
layout = go.Layout(title=go.layout.Title(text=f'{contract_symbol.value} OHLC'), xaxis_title='Date', yaxis_title='Price', xaxis_rangeslider_visible=False)
LinearAxis xAxis = new LinearAxis(); xAxis.SetValue("title", "Time"); LinearAxis yAxis = new LinearAxis(); yAxis.SetValue("title", "Price ($)"); Title title = Title.init($"{contractSymbol} OHLC"); Layout layout = new Layout(); layout.SetValue("xaxis", xAxis); layout.SetValue("yaxis", yAxis); layout.SetValue("title", title);
fig = go.Figure(data=[candlestick], layout=layout)
chart.WithLayout(layout);
fig.show()
HTML(GenericChart.toChartHTML(chart))
Candlestick charts display the open, high, low, and close prices of the contract.
Line Chart
Follow these steps to plot line charts using built-in methodsPlotly.NET
package:
- Get some historical data.
- Drop the first index level.
- Select data to plot.
- Rename the columns to be the
Symbol
of each contract. - Call the
plot
method on thepandas
object. - Create
Line
charts. - Create a
Layout
. - Assign the
Layout
to the chart. - Show the plot.
history = qb.history(symbols, datetime(2021, 12, 1), datetime(2021, 12, 31), Resolution.DAILY)
var history = qb.History<OpenInterest>(contractSymbol, new DateTime(2021, 12, 1), new DateTime(2021, 12, 31));
history.index = history.index.droplevel(0)
closing_prices = history['close'].unstack(level=0)
closing_prices.columns = [Symbol.get_alias(SecurityIdentifier.parse(x)) for x in closing_prices.columns]
closing_prices.plot(title="Close", figsize=(15, 8))
var chart = Chart2D.Chart.Line<DateTime, decimal, string>( history.Select(x => x.EndTime), history.Select(x => x.Value) );
LinearAxis xAxis = new LinearAxis(); xAxis.SetValue("title", "Time"); LinearAxis yAxis = new LinearAxis(); yAxis.SetValue("title", "Open Interest"); Title title = Title.init($"{contractSymbol} Open Interest"); Layout layout = new Layout(); layout.SetValue("xaxis", xAxis); layout.SetValue("yaxis", yAxis); layout.SetValue("title", title);
chart.WithLayout(layout);
plt.show()
HTML(GenericChart.toChartHTML(chart))
Line charts display the value of the property you selected in a time series.