AlgoSeek

US Futures

Introduction

The US Futures dataset by AlgoSeek provides Futures data, including price, volume, open interest, and expiry. The data covers the 162 most liquid contracts, starts in May 2009, and is delivered on any frequency from tick to daily. This dataset is created by monitoring the trading activity on the CFE, CBOT, CME, COMEX, and NYMEX.

Additionally this dataset includes ICE Sugar Futures (SB), and EUREX EU STOXX Futures (FESX).

This dataset also depends on the US Futures Security Master because the US Futures Security Master dataset contains information to construct continuous Futures.

For more information about the US Futures dataset, including CLI commands and pricing, see the dataset listing.

About the Provider

AlgoSeek is a leading historical intraday US market data provider offering the most comprehensive and detailed market data and analytics products in the financial industry covering equities, futures, options, cash forex, and cryptocurrencies. AlgoSeek data is built for quantitative trading and machine learning. For more information about AlgoSeek, visit algoseek.com.

Getting Started

The following snippet demonstrates how to request data from the US Futures dataset:

future = self.add_future(Futures.Metals.GOLD)
future.set_filter(0, 90)
var future = AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateMay 2009
Asset Coverage162 Futures
Data DensityDense
ResolutionTick, Second, Minute, Hour, & Daily
Timezone
  • Chicago (CFE, CME or CBOT)
  • New York (NYMEX or COMEX)
Market HoursRegular and Extended

This dataset includes Sugar ICE Futures until July 2021.

Volume Discrepancies

The volume of the daily trade bars from this dataset is different from the daily volume that CME and other platforms like Yahoo Finance report because the CME includes pit trades in their daily volume calculation. In contrast, the volume of the daily trade bars in this dataset (from AlgoSeek) doesn't include pit trades because pit trades are over-the-counter, which algorithms can't trade.

Another discrepancy occurs from the start and end times of the daily bars. Daily bars from the CME and Yahoo Finance span from 5 PM Central Time (CT) to 4 PM CT on the following day. In contrast, QuantConnect consolidates daily bars from from 12 AM CT to 12 AM CT the following day. Therefore, to calculate the daily volume in the same way that CME does (excluding the pit trades), sum the volume of intraday bars that span 5 PM CT to 4 PM CT on the following day.

Example Applications

The US Futures dataset enables you to accurately design Futures strategies. Examples include the following strategies:

  • Buying the Futures contract with the most open interest to reduce slippage and market impact
  • Trading bull calendar spreads to reduce volatility and margin requirements

For more example algorithms, see Examples.

Data Point Attributes

The US Futures dataset provides FuturesChain, Future, and OpenInterest objects. To configure the continuous Future settings, use the DataNormalizationMode and DataMappingMode enumerations.

DataNormalizationMode Values

The DataNormalizationMode enumeration has the following values:

DataMappingMode Values

The DataMappingMode enumeration has the following values:

Future Attributes

Future objects have the following attributes:

FuturesChain Attributes

FuturesChain objects have the following attributes:

OpenInterest Attributes

OpenInterest objects have the following attributes:

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)

Requesting Data

To add US Futures data to your algorithm, call the AddFutureadd_future method. Save a reference to the Future so you can access the data later in your algorithm.

class USFuturesDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2013, 12, 20) 
        self.set_end_date(2014, 2, 20) 
        self.set_cash(1000000) 
        self.universe_settings.asynchronous = True
        # Request Gold Future data
        future = self.add_future(Futures.Metals.GOLD) 
        # Set filter to obtain the contracts expire within 90 days
        future.set_filter(0, 90)
        self.future_symbol = future.symbol
namespace QuantConnect
{
    public class USFuturesDataAlgorithm : QCAlgorithm
    {
        private Symbol _futureSymbol;
        
        public override void Initialize()
        {
            SetStartDate(2013, 12, 20);
            SetEndDate(2014, 2, 20);
            SetCash(1000000);
            UniverseSettings.Asynchronous = True;
            // Request Gold Future data
            var future = AddFuture(Futures.Metals.Gold);
            // Set filter to obtain the contracts expire within 90 days
            future.SetFilter(0, 90);
            _futureSymbol = future.Symbol;
        }
    }
}

For more information about creating Future subscriptions, see Requesting Data or Futures Universes.

Accessing Data

To get the current US Futures data, index the FuturesChainsfutures_chains property of the current Slice with the canonical 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.

def on_data(self, slice: Slice) -> None:
    # Get future chain of the canonical symbol
    chain = slice.futures_chains.get(self.future_symbol)
    if chain:
        # Iterate each contract in the future chain
        for contract in chain:
            self.log(f"{contract.symbol} price at {slice.time}: {contract.last_price}")

public override void OnData(Slice slice)
{
    // Get future chain of the canonical symbol
    if (slice.FuturesChains.TryGetValue(_futureSymbol, out var chain))
    {
        // Iterate each contract in the future chain
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

You can also iterate through all of the FuturesChain objects in the current Slice.

def on_data(self, slice: Slice) -> None:
    # Iterate all future chains
    for canonical_symbol, chain in slice.futures_chains.items():
        # Iterate each contract in the future chain
        for contract in chain:
            self.log(f"{contract.symbol} price at {slice.time}: {contract.last_price}")
public override void OnData(Slice slice)
{
    // Iterate all future chains
    foreach (var kvp in slice.FuturesChains)
    {
        var canonicalSymbol = kvp.Key;
        var chain = kvp.Value;
        // Iterate each contract in the future chain
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

For more information about accessing Futures data, see Handling Data.

Historical Data

You can get historical US Futures data in an algorithm and the Research Environment.

Historical Data In Algorithms

To get historical US Futures data in an algorithm, call the Historyhistory method with the canonical Futures Symbol or a Futures contract Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame objects
contract_history_df = self.history(contract.symbol, 100, Resolution.MINUTE)
continuous_history_df = self.history(self.future_symbol,
    start=self.time - timedelta(days=15), 
    end=self.time, 
    resolution=Resolution.MINUTE, 
    fill_forward=False, 
    extended_market_hours=False,
    data_mapping_mode=DataMappingMode.OPEN_INTEREST, 
    data_normalization_mode=DataNormalizationMode.RAW, 
    contract_depth_offset=0)

# TradeBar objects
contract_history_trade_bars = self.history[TradeBar](contract.symbol, 100, Resolution.MINUTE)
continous_history_trade_bars = self.history[TradeBar](self.future_symbol, 100, Resolution.MINUTE)

# QuoteBar objects
contract_history_quote_bars = self.history[QuoteBar](contract.symbol, 100, Resolution.MINUTE)
continous_history_quote_bars = self.history[QuoteBar](self.future_symbol, 100, Resolution.MINUTE)

# Tick objects
contract_history_ticks = self.history[Tick](contract.symbol, timedelta(seconds=10), Resolution.TICK)
continous_history_ticks = self.history[Tick](self.future_symbol, timedelta(seconds=10), Resolution.TICK)
// TradeBar objects
var contractHistoryTradeBars = History(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryTradeBars = History(
    symbols: new[] {_futureSymbol}, 
    start: Time - TimeSpan.FromDays(15),
    end: Time,
    resolution: Resolution.Minute,
    fillForward: False,
    extendedMarketHours: False,
    dataMappingMode: DataMappingMode.OpenInterest,
    dataNormalizationMode: DataNormalizationMode.Raw,
    contractDepthOffset: 0);

// QuoteBar objects
var contractHistoryQuoteBars = History<QuoteBar>(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryQuoteBars = History<QuoteBar>(_futureSymbol, 100, Resolution.Minute);

// Tick objects
var contractHistoryTicks = History<Tick>(contract.Symbol, TimeSpan.FromSeconds(10), Resolution.Tick);
var continuousHistoryTicks = History<Tick>(_futureSymbol, TimeSpan.FromSeconds(10), Resolution.Tick);

For more information about historical data in algorithms, see History Requests. For more information about the price adjustments for continuous contracts, see Continous Contracts.

Historical Data In Research

To get historical US Futures data in the Research Environment for an entire Futures chain, call the FutureHistoryfuture_history method with the canonical Future Symbol.

qb = QuantBook()
future = qb.add_future(Futures.Metals.GOLD) 
future.set_filter(0, 90)
history = qb.future_history(future.symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.get_all_data()
expiries = history.get_expiry_dates()
var qb = new QuantBook();
var future = qb.AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);
var history = qb.FutureHistory(future.Symbol, new DateTime(2020, 6, 1), new DateTime(2020, 6, 5));
    
var contracts = history.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys)).Distinct().ToList();
var expiries = contracts.Select(x => x.ID.Date).Distinct().ToList();

To get historical data for a single US Futures contract or the continuous Futures contract, call the Historyhistory method like you would in an algorithm but on the QuantBook object. For more information about historical data in the Research Environment, see Futures.

Example Applications

The US Futures dataset enables you to accurately design Futures strategies. Examples include the following strategies:

  • Buying the Futures contract with the most open interest to reduce slippage and market impact
  • Trading bull calendar spreads to reduce volatility and margin requirements

For more example algorithms, see Examples.

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