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Futures

Key Concepts

Introduction

A Futures contract is an agreement to buy or sell a particular commodity, asset, or security at a predetermined price at a specified time in the future. This page explains the basics of Futures data in the Research Environment. To get some data, see Universes or Individual Contracts. For more information about the specific datasets we use, see the US Futures, US Future Universe, and US Futures Security Master dataset listings.

Resolutions

The following table shows the available resolutions and data formats for Futures subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
TICKgreen checkgreen check
SECONDgreen checkgreen check
MINUTEgreen checkgreen check
HOURgreen checkgreen check
DAILYgreen checkgreen check

Markets

The following Market enumeration members are available for Futures:

Data Normalization

The following data normalization modes are available for continuous Futures contracts:

Data Mapping Modes

The DataMappingMode defines when contract rollovers occur for the continuous Futures contract. The enumeration has the following members:

Futures.Indices.VIX (VX) doesn't support continous contract rolling with DataMappingMode.OPEN_INTEREST and DataMappingMode.OPEN_INTEREST_ANNUAL.

Contract Depth Offsets

The contract_depth_offset argument of the add_future method defines which contract to use for the continuous Futures contract. 0 is the front month contract, 1 is the following back month contract, and 2 is the second back month contract.

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