Universe Selection

Futures Universes

Introduction

A Future Universe Selection model selects contracts for a set of Futures.

Future Universe Selection

The FutureUniverseSelectionModel selects all the contracts for a set of Futures you specify. To use this model, provide a refreshIntervalrefresh_interval and a selector function. The refreshIntervalrefresh_interval defines how frequently LEAN calls the selector function. The selector function receives a DateTimedatetime object that represents the current Coordinated Universal Time (UTC) and returns a list of Symbol objects. The Symbol objects you return from the selector function are the Futures of the universe.

// Run universe selection asynchronously to speed up your algorithm. 
// This setting means you cannot rely on the method or algorithm state between filter calls.
UniverseSettings.Asynchronous = true;
// Add a universe of E-mini S&P 500 Futures contracts.
AddUniverseSelection(
    new FutureUniverseSelectionModel(
        // Refresh the universe daily.
        TimeSpan.FromDays(1), 
        _ => new List<Symbol> {{ QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME) }}
    )
);
from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel
# Run universe selection asynchronously to speed up your algorithm. 
# This setting means you cannot rely on the method or algorithm state between filter calls.
self.universe_settings.asynchronous = True
# Add a universe of E-mini S&P 500 Futures contracts.
self.add_universe_selection(
    FutureUniverseSelectionModel(
        # Refresh the universe daily.
        timedelta(1), 
        lambda _: [Symbol.create(Futures.Indices.SP500E_MINI, SecurityType.FUTURE, Market.CME)]
    )
)

The following table describes the arguments the model accepts:

ArgumentData TypeDescriptionDefault Value
refreshIntervalrefresh_intervalTimeSpantimedeltaTime interval between universe refreshes
futureChainSymbolSelectorfuture_chain_symbol_selectorFunc<DateTime, IEnumerable<Symbol>>Callable[[datetime], List[Symbol]]A function that selects the Future symbols for a given Coordinated Universal Time (UTC). To view the supported assets in the US Futures dataset, see Supported Assets.
universeSettingsuniverse_settingsUniverseSettingsThe universe settings. If you don't provide an argument, the model uses the algorithm.UniverseSettingsalgorithm.universe_settings by default.nullNone

The following example shows how to define the Future chain Symbol selector as an isolated method:

// In the Initialize method, add the FutureUniverseSelectionModel with a custom selection function.
public override void Initialize()
{
    AddUniverseSelection(
        new FutureUniverseSelectionModel(TimeSpan.FromDays(1), SelectFutureChainSymbols)
    );
}

private static IEnumerable<Symbol> SelectFutureChainSymbols(DateTime utcTime)
{
    // Add E-mini S&P 500 and Gold Futures to the universe.
    return new[] {
        QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME),
        QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)
    };
}
from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel

# In the initialize method, add the FutureUniverseSelectionModel with a custom selection function.
def initialize(self) -> None:
    self.set_universe_selection(
        FutureUniverseSelectionModel(timedelta(days=1), self.select_future_chain_symbols)
    )

def select_future_chain_symbols(self, utc_time: datetime) -> List[Symbol]:
    # Add E-mini S&P 500 and Gold Futures to the universe.
    return [ 
        Symbol.create(Futures.Indices.SP500E_MINI, SecurityType.FUTURE, Market.CME),
        Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX)
    ]

This model uses the default Future contract filter, which doesn't select any Futures contracts. To use a different filter, subclass the FutureUniverseSelectionModel and define a Filterfilter method. The Filterfilter method accepts and returns a FutureFilterUniverse object to select the Futures contracts. The following table describes the filter methods of the FutureFilterUniverse class:

StandardsOnly()standards_only()

Selects standard contracts

IncludeWeeklys()include_weeklys()

Selects non-standard weekly contracts

WeeklysOnly()weeklys_only()

Selects weekly contracts

FrontMonth()front_month()

Selects the front month contract

BackMonths()back_months()

Selects the non-front month contracts

BackMonth()back_month()

Selects the back month contracts

Expiration(TimeSpan minExpiry, TimeSpan maxExpiry)expiration(min_expiry: timedelta, max_expiry: timedelta)

Selects contracts that expire within a range of dates relative to the current day

Expiration(int minExpiryDays, int maxExpiryDays)expiration(min_expiry_days: int, max_expiry_days: int)

Selects contracts that expire within a range of dates relative to the current day

Contracts(IEnumerable<Symbol> contracts)contracts(contracts: List[Symbol])

Selects a list of contracts

Contracts(Func<IEnumerable<Symbol>, IEnumerable< Symbol>> contractSelector)contracts(contractSelector: Callable[[List[Symbol]], List[Symbol]])

Selects contracts that a selector function selects

The contract filter runs at the first time step of each day.

To move the Future chain Symbol selector and the contract selection function outside of the algorithm class, create a universe selection model that inherits the FundamentalUniverseSelectionModel class and override its Select method.

// In the Initialize method, define the universe settings and add data.
UniverseSettings.Asynchronous = true;
AddUniverseSelection(new FrontMonthFutureUniverseSelectionModel());

// Outside of the algorithm class, define the universe selection model.
class FrontMonthFutureUniverseSelectionModel : FutureUniverseSelectionModel
{
    public FrontMonthFutureUniverseSelectionModel()
        // Refresh the universe daily.
        : base(TimeSpan.FromDays(1), SelectFutureChainSymbols) {}

    private static IEnumerable<Symbol> SelectFutureChainSymbols(DateTime utcTime)
    {
        // Add E-mini S&P 500 and Gold Futures to the universe.
        return new List<Symbol> {
            QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME),
            QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)
        };
    }

    protected override FutureFilterUniverse Filter(FutureFilterUniverse filter)
    {
        // Select the front month contracts.
        return filter.FrontMonth();
    }
}
# In the initialize method, define the universe settings and add data.
self.universe_settings.asynchronous = True
self.add_universe_selection(FrontMonthFutureUniverseSelectionModel())

# Outside of the algorithm class, define the universe selection model.
class FrontMonthFutureUniverseSelectionModel(FutureUniverseSelectionModel):
    def __init__(self) -> None:
        # Refresh the universe daily.
        super().__init__(timedelta(1), self.select_future_chain_symbols)

    def select_future_chain_symbols(self, utc_time: datetime) -> List[Symbol]:
        # Add E-mini S&P 500 and Gold Futures to the universe.
        return [ 
            Symbol.create(Futures.Indices.SP500E_MINI, SecurityType.FUTURE, Market.CME),
            Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX) 
        ]

    def filter(self, filter: FutureFilterUniverse) -> FutureFilterUniverse:
        # Select the front month contracts.
        return filter.front_month()

Some of the preceding filter methods only set an internal enumeration in the FutureFilterUniverse that it uses later on in the filter process. This subset of filter methods don't immediately reduce the number of contract Symbol objects in the FutureFilterUniverse.

The AddUniverseSelectionadd_universe_selection method doesn't return a Future object like the AddFutureadd_future method. The Future object contains Symbol and Mappedmapped properties, which reference the continuous contract and the currently selected contract in the continuous contract series, respectively. To get the Future object, define the OnSecuritiesChangedon_securities_changed method in your algorithm class or framework models and check the result of the IsCanonical method. 

// Save the Future object if the security added to the universe is the canonical asset.
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
    foreach (var security in changes.AddedSecurities)
    {
        if (security.Symbol.IsCanonical() && security.Type == SecurityType.Future)
        {
            _future = security as Future;
        }
    }
}
# Save the Future object if the security added to the universe is the canonical asset.
def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
    for security in changes.added_securities:
        if security.Symbol.IsCanonical():
            self.future = security

To view the implementation of this model, see the LEAN GitHub repositoryLEAN GitHub repository.

Open Interest Future Universe Selection

The OpenInterestFutureUniverseSelectionModel is an extension of the FutureUniverseSelectionModel that selects the contract with the greatest open interest on a daily basis.

// Enable asynchronous universe settings for faster performance.
UniverseSettings.Asynchronous = true;
// Add an OpenInterestFutureUniverseSelectionModel for E-mini S&P 500 Futures, incorporating contracts with high 
// open interest into the trading universe.
AddUniverseSelection(
    new OpenInterestFutureUniverseSelectionModel(
        this, 
        utcTime => new[] { QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME) }
    )
);
# Enable asynchronous universe settings for faster performance.
self.universe_settings.asynchronous = True
# Add an OpenInterestFutureUniverseSelectionModel for E-mini S&P 500 Futures, incorporating contracts with high 
# open interest into the trading universe.
self.add_universe_selection(
    OpenInterestFutureUniverseSelectionModel(
        self, 
        lambda utc_time: [Symbol.create(Futures.Indices.SP500E_MINI, SecurityType.FUTURE, Market.CME)]
    )
)

The following table describes the arguments the model accepts:

ArgumentData TypeDescriptionDefault Value
algorithmIAlgorithmAlgorithm
futureChainSymbolSelectorfuture_chain_symbol_selector Func<DateTime, IEnumerable<Symbol>> Callable[[datetime], List[Symbol]]A function that selects the Future symbols for a given Coordinated Universal Time (UTC). To view the supported assets in the US Futures dataset, see Supported Assets.
chainContractsLookupLimitchain_contracts_lookup_limit int? int/NoneLimit on how many contracts to query for open interest6
resultsLimitresults_limit int? int/NoneLimit on how many contracts will be part of the universe1

The following example shows how to define the Future chain Symbol selector as an isolated method:

// In the Initialize method, define the universe settings and add a universe.
public override void Initialize()
{
    UniverseSettings.Asynchronous = true;  
    AddUniverseSelection(
        new OpenInterestFutureUniverseSelectionModel(this, SelectFutureChainSymbols)
    );
}

// Define the selection function, which returns Symbol objects.
private static IEnumerable<Symbol> SelectFutureChainSymbols(DateTime utcTime)
{
    return new[] {
        QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME),
        QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)
    };
}


# In the Initialize method, define the universe settings and add a universe.
def initialize(self) -> None:
    self.universe_settings.asynchronous = True
    self.add_universe_selection(
        OpenInterestFutureUniverseSelectionModel(self, self.select_future_chain_symbols)
    )

# Define the selection function, which returns Symbol objects.
def select_future_chain_symbols(self, utc_time: datetime) -> List[Symbol]:
    return [ 
        Symbol.create(Futures.Indices.SP500E_MINI, SecurityType.FUTURE, Market.CME),
        Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX)
    ]

To move the Future chain Symbol selector outside of the algorithm class, create a universe selection model that inherits the OpenInterestFutureUniverseSelectionModel class.

// In the Initialize method, define the universe settings and add a universe.
UniverseSettings.Asynchronous = true;
AddUniverseSelection(new GoldOpenInterestFutureUniverseSelectionModel(this));

// Outside of the algorithm class, define the universe selection model.
class GoldOpenInterestFutureUniverseSelectionModel : OpenInterestFutureUniverseSelectionModel
{
    public GoldOpenInterestFutureUniverseSelectionModel(QCAlgorithm algorithm, 
        int? chainContractsLookupLimit = 6, int? resultsLimit = 1)
        : base(algorithm, SelectFutureChainSymbols, chainContractsLookupLimit, resultsLimit) {}

    private static IEnumerable<Symbol> SelectFutureChainSymbols(DateTime utcTime)
    {
        return new List<Symbol> { 
            QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX) 
        };
    }
}
# In the Initialize method, define the universe settings and add a universe.
self.universe_settings.asynchronous = True
self.add_universe_selection(GoldOpenInterestFutureUniverseSelectionModel(self))
    
# Outside of the algorithm class, define the universe selection model.
class GoldOpenInterestFutureUniverseSelectionModel(OpenInterestFutureUniverseSelectionModel):
    def __init__(self, algorithm: QCAlgorithm, chain_contracts_lookup_limit: int=6, results_limit: int=1):
        super().__init__(algorithm, self.select_future_chain_symbols, chain_contracts_lookup_limit, results_limit)

    def select_future_chain_symbols(self, utcTime: datetime) -> List[Symbol]:
        return [Symbol.Create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX)]

The AddUniverseSelectionadd_universe_selection method doesn't return a Future object like the AddFutureadd_future method. The Future object contains Symbol and Mappedmapped properties, which reference the continuous contract and the currently selected contract in the continuous contract series, respectively. To get the Future object, define the OnSecuritiesChangedon_securities_changed method in your algorithm class or framework models and check the result of the IsCanonical method. 

// Save the Future object if the security added to the universe is the canonical asset.
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
    foreach (var security in changes.AddedSecurities)
    {
        if (security.Symbol.IsCanonical() && security.Type == SecurityType.Future)
        {
            _future = security as Future;
        }
    }
}
# Save the Future object if the security added to the universe is the canonical asset.
def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
    for security in changes.added_securities:
        if security.Symbol.IsCanonical():
            self.future = security

To view the implementation of this model, see the LEAN GitHub repository.

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