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I am looking to make a futures ema cross algo. Anyone have a working example of a futures algo that buys and shorts in there that they wouldn't mind sharing? Id like to see what differences and difficulties there may be before I dive in and struggle. Much appreciated!!!
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Jared Broad
Hey Tim, we don't have futures data but we have posted an example in the QC University which uses Quandl daily futures data. You can import this and use it in your algorithm "How Do I Import Futures Data?" We'll soon have real tick by tick futures data :) It should be ready in the next month or two.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Trader Stoyc
I have been hoping for futures data for some time now, an exciting development. Can you share more details, for example, when can we expect to see the Lean implementation, what will be the coverage e.g. most CME futures, etc.
Timothy Comisky
I am looking at the quandl data for light sweet crude in the example (/CL) and It is honestly nonsense to me. It says the current price of light crude is 140???? but its actually at 31.... I would be able to use this free quandl data if it wasnt seemingly nonsense. Can anyone tell me what that example futures data is actually portraying because it isnt light sweet crude like it should be
Michael Handschuh
What quandl link are you using? Here's a data set that looks good. It looks like a premium data set.
Jared Broad
Or try this one Tim -- its an open / free set: https://www.quandl.com/data/CHRIS/CME_CL1-Crude-Oil-Futures-Continuous-Contract-1-CL1-Front-Month
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Timothy Comisky
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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