How do I get E - mini Nasdaq 100 index Futures Data C#?

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How do I get E - mini Nasdaq 100 index Futures Data C#?

Last comment by - May 2021

How do I get E - mini Nasdaq 100 index Futures Data C#?

Request for C# code to retrieve E-mini Nasdaq 100 futures data.

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How do I get E - mini Nasdaq 100 index Futures Data C#?

Itumeleng Moreotlotlo | May 2021

I am currently not getting Nasdaq 100 data

Author

Itumeleng Moreotlotlo

May 2021

Upvote

Varad Kabade

May 2021 |

Accepted Answer

Hi Itumeleng Moreotlotlo,
The algorithm above has a few issues:
(1) The SetHoldings method is trying to place orders with _chainSymbol
SetHoldings(_chainSymbol, 0.50);
(2) The algorithm places trades every minute(3) The quantity for the TP and SL orders should all be negative(4) We should only cancel TP/SL orders when an order is filled

if (orderEvent.Status != OrderStatus.Filled)
{
    return;
}

(3) The quantity for the TP and SL orders should all be negative
(4) We should only cancel TP/SL orders when an order is filled

if (orderEvent.Status != OrderStatus.Filled)
{
    return;
}

See this backtest for reference. Refer to this thread to know more about TP/SL orders
Best,
Varad Kabade

Itumeleng Moreotlotlo INVESTOR

May 2021

using System;
using System.Drawing;
namespace QuantConnect.Algorithm.CSharp
{
    public class CasualYellowGreenLemur : QCAlgorithm
    {
    	//Initializers:
        double dayCount = 0;
        
        bool tradedToday = false;
        
         int quantity = 0;
        decimal price = 0;
        decimal tolerance = 0m; //0.1% safety margin in prices to avoid bouncing.
         private string _symbol = Futures.Indices.NASDAQ100EMini;
        private DateTime _previous;
        decimal ema = 0;
       
      
       
        
        //Set up the EMA Class:
        private SimpleMovingAverage _fast;
        private SimpleMovingAverage _slow;
        
        //var future = AddFuture(Futures.Indices.NASDAQ100EMini);
        //future.SetFilter(TimeSpan.FromDays(30), TimeSpan.FromDays(180));
      
        //Initialize the data aND resolution you require for your strategy:
        public override void Initialize() 
        {         
        	
            SetStartDate(2017, 3, 1);
            SetEndDate(2021, 3, 16);  
            SetCash(10000);
        	var future = AddFuture(Futures.Indices.NASDAQ100EMini, Resolution.Minute);
           // request ND data with minute resolution
            AddSecurity(SecurityType.Equity, Futures.Indices.NASDAQ100EMini, Resolution.Minute);
            // create a 50 day exponential moving average
            _fast = SMA(Futures.Indices.NASDAQ100EMini, 72, Resolution.Minute);
            // create a 200 day exponential moving average
            _slow = SMA(Futures.Indices.NASDAQ100EMini, 89, Resolution.Minute);
            
            
           AddSecurity(SecurityType.Equity, "NASDAQ100EMini", resolution: Resolution.Minute);
           //AddSecurity(SecurityType.Equity, "NASDAQ100EMini", Resolution.Daily);
            
            
		
        }
        
        //HaNDle TradeBar Events: a TradeBar occurs on every time-interval
        public void OnData(TradeBars data) {
            
           if (!_slow.IsReady) return;
           
           if (_previous.Date == Time.Date) return;
           
           var holdings = Portfolio[_symbol].Quantity;
            var profitloss = Portfolio[_symbol].UnrealizedProfit;
            
            
            // we only want to go long if we're currently short or flat
            
                // if the fast is greater than the slow, we'll go long
                if (Portfolio.TotalPortfolioValue > _fast )
                {
                    Log("BUY  >> " + Securities[_symbol].Price);
                    SetHoldings(_symbol, 1.0);
                    
                    //stoploss
                    var close = Securities[_symbol].Close; 
                     var stopMarketTicket = StopMarketOrder(_symbol, 10, close * 0.99m);
                }
            
            
          
          Plot(_symbol, "Price", data[_symbol].Price);
            // easily plot iNDicators, the series name will be the name of the iNDicator
            Plot(_symbol, _fast, _slow);
            //Plot("Ribbon", _ribbon);
            
            
             if (profitloss <= -2000)
            {
                //Log("SELL >> " + Securities[_symbol].Price);
                //SetHoldings(_symbol, -1.0);
                Liquidate(_symbol);
            }
            _previous = Time;
            
            } 
            
        }
     
    }
+ Expand
- Collapse

Upvote

Itumeleng Moreotlotlo INVESTOR

May 2021

Upvote

Varad Kabade INVESTOR

May 2021

Hi Itumeleng Moreotlotlo,
In the above algorithm, the OnData method receives an object of type Slice, not of typeTradeBar. In the OnData method, we need to find the contract chain for our symbol, and for each contract, in the chain, we create 2 EMA Indicators(fast and slow). Refer to this doc about using futures data . After selecting the contract we want to trade (Here, we selected contract according to expiry date), we check for the signal and place our order. Refer to the attached backtest for reference, which includes the changes mentioned above.
Best,
Varad Kabade

Upvote

Itumeleng Moreotlotlo INVESTOR

May 2021

Hi Varad, I am kind of new into this, I tried implementing the dictionaries into my updated strategy and it is not giving back results can you please help

Upvote

Gil Sapir INVESTOR

December 2021

Jared Broad Martin Molinero

But what actually will be bought when buying this canonical contract when using it on live trading?

And if the “oldest” contract will be bought, what happens if it's bought and during the holding period- the contract will be rolled/expired (again, asking on live trading)?

Upvote

Manoj Agarwala INVESTOR

January 2022

Excellent feature addition, it has eliminated a lot of headache for me. I was able to delete several hundred lines of code.

Though, I wish following flag was supported by AddFutures:

Auto_roll_forward = True | False

I also suggest the following flags should be supported by indicators (important for live trading):

Auto_update_for_splits

Auto_update_for_dividends

Auto_update_for_continuous_futures_symbol_change

Also, it will be awesome if you could bring similar type of complexity reduction in options. My first hand experience dealing with futures leads me to guesstimate tat continuous futures has led to 10x complexity reduction.

Upvote

Johnny Cash INVESTOR

January 2022

Hi,

regarding “The implementation that creates the mappings and factors is closed source at the moment sorry, the implementation that applies the factors and mappings is part of Lean itself, can see this with more detail in the linked PR.”,

Is this closed source software installed in local lean installations, or it only works on the cloud?

Are there other closed source components in the local lean installation?

Does the margin calculation support spread credits, as per CME SPAN calculator, or it only adds the out-rights margins? I am talking about any spread for which there is a SPAN credit, only exchange traded spreads. This is quite important also in live trading.

Thanks

Upvote

Livermore INVESTOR

January 2022

could you provide one example for research env?

how to GetFutureHistory for continuous future contract?

thanks.

below code does not work.

qb = QuantBook()
es = qb.AddFuture(Futures.Energies.CrudeOilWTI,
dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
dataMappingMode = DataMappingMode.OpenInterest,
contractDepthOffset = 0)
start_time = datetime(2021, 6, 18, 10, 30)
end_time = datetime(2099, 7, 16, 16, 0)
future_history = es.GetFutureHistory(es.Symbol, start_time, end_time)
history = future_history.GetAllData()
history

Upvote

Varad Kabade INVESTOR

January 2022

Hi Livermore,We recommend using the following:

qb = QuantBook()
qb.SetStartDate(2019,1,1)
qb.SetEndDate(21,6,1)
es = qb.AddFuture(Futures.Energies.CrudeOilWTI,
                                                 dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                 dataMappingMode = DataMappingMode.OpenInterest,
                                                 contractDepthOffset = 0)
history = qb.History(es.Symbol,500,Resolution.Minute)
history

Refer to the attached notebook,Note that currently the default is es.SetFilter(0,0) therefore GetFutureHistory will not return any data. We can also use es.SetFilter(0,180) as an alternative to above.Best,Varad Kabade

Upvote

Xinmin Cai INVESTOR

January 2022

Martin Molinero

Regarding: “LastTradingDay: The contract maps on the previous day of expiration of the front month.”

I am not a future expert. But if I understand correctly, for physically settled contracts, such as gold (GC) and silver (si), brokers will close positions before the first notice date, which is usually 1 month before the last trade date. When the ticker is remapped using LastTradingDay, does it use the last trade date or the first notice date in the code?

Upvote

1 person upvoted this

Xinmin Cai INVESTOR

January 2022

Can someone give an example of how the data consolidation should be done with the continuous future price? For example, consolidating data into 15 minutes per bar.

Do we still do the old way of consolidating future data like documented here? If not, what is the proper way to consolidate data?

I tried the following and it doesn't work out. I only get one-period data feed on 2021-12-26 18:15:00 from OnDataConsolidated. That is the first 15 min bar. After that, there is no log produced.


from datetime import timedelta
from AlgorithmImports import *
class FutureAlgo(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 12, 25)
        self.SetEndDate(2021, 12, 31)
        self.SetCash(60000)
        self.SetTimeZone("America/New_York")
        self.es = self.AddFuture(
            Futures.Indices.SP500EMini, dataNormalizationMode=DataNormalizationMode.Raw, dataMappingMode=DataMappingMode.OpenInterest, contractDepthOffset=0)
        consolidator = TradeBarConsolidator(timedelta(minutes=15))
        consolidator.DataConsolidated += self.OnDataConsolidated
        self.SubscriptionManager.AddConsolidator(self.es.Symbol, consolidator)
    def OnData(self, data: Slice):
        for changedEvent in data.SymbolChangedEvents.Values:
            if changedEvent.Symbol == self.es.Symbol:
                self.Log(f"SymbolChanged event: {changedEvent}")
    def OnDataConsolidated(self, sender, bar: TradeBar):
        self.Debug(bar.Symbol)
+ Expand
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Upvote

1 person upvoted this

Martin Molinero INVESTOR

QuantConnect | January 2022

Hey Xinmin Cai !

Sorry for the delay. The code snippet you shared does work correctly, I'm attaching a backtest using it successfully.

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.

Upvote

1 person upvoted this

Xinmin Cai INVESTOR

February 2022

Martin Molinero Thanks, Martin!

A follow-up question on this. If I specify fillDataForward=False in the self.AddFuture() call, does it work? I changed this but it feels there is no data coming through.

I am doing this is because I got a fill on a stale price. I want to make sure, my algo doesn't fill on stale price.

Appreciate the help!

Upvote

Richard Thomas Harrison INVESTOR

February 2022

Xinmin Cai re first notice date: I don't think the dataset that QuantConnect has for futures includes first notice dates, I've asked them about this before and I ended up contacting AlgoSeek and I'm pretty sure AlgoSeek doesn't have first notice dates. Martin Molinero any comment on this?

Upvote

Varad Kabade INVESTOR

February 2022

Hi Richard Thomas Harrison,
For now, all futures are cash-settled as we don't allow underlying (Live Cattle?) to be posted on the account, thus the FDN is not required (and we don't support this element).

Best,

Varad Kabade

Upvote

Ariel Nechemia INVESTOR

February 2022

Is anyone else able to get tick level data in the research notebook? I can get second and minute level, but despite defining a time period or a specific bar count, I only get error messages like this:

NullReferenceException: Object reference not set to an instance of an object.

Upvote

Varad Kabade INVESTOR

February 2022

Hi Ariel Nechemia,
Unfortunately, we cannot get Tick data in the research environment. Sorry for the inconvenience caused. We have opened a GitHub issue to get it resolved to subscribe to the following for updates:
https://github.com/QuantConnect/Lean/issues/4297
Best,
Varad Kabade

Upvote

Mathieu Meynier INVESTOR

March 2022

Hello,

Could you please provide an example with front AND back contracts (contractDepthOffset = 1 for instance). I dont get any data on the back contracts when trying.

Thanks

Mathieu

Upvote

Louis Szeto INVESTOR

QuantConnect | March 2022

Hi Mathieu

We've created a GH issue on the "back contract" support by contractDepthOffset. Please subscribe to this issue for the progress.

For now, a workaround would be using GetFutureContractList and AddFutureContract.

contracts = self.GetFutureContractList(future_symbol, self.Time)
if contracts:
    back_contract = sorted(contracts, lambda x: x.ID.Date, reverse=True)[0]
    self.AddFutureContract(back_contract)

Best
Louis

Upvote

Mathieu Meynier INVESTOR

April 2022

Hi Louis,

Ok, thanks !

I'll use the GetFutureContractList method for now

Best,

Mathieu

Upvote

Flame INVESTOR

Flame + Bear | April 2022

I've been doing more work with futures and I think that the mapping may need another option to change based on daily volume. I've been using the OpenInterest mapping mode, but I've found some issues. For example, Brent Last Day Financial (BZ) has a high open interest in December. This means that the current mapped contract is December 2022, but there is low daily volume compared to the June contract. Does anyone have any suggestions?

Upvote

3 people upvoted this

Laurent Crouzet INVESTOR

April 2022

As Flame, I think that the daily volume (for instance the average of trading volume over the last 2 to 3 days?) would be the best to really trade the “most active future contract”.

Upvote

Flame INVESTOR

Flame + Bear | April 2022

For anyone wanting to trade front month futures based on daily trading volume I wrote the below code to help. Hopefully its useful

class SquareGreenDuck(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2016, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        self.wti = FuturesChain(self, Futures.Energies.CrudeOilWTI)
        self.brent = FuturesChain(self, Futures.Energies.BrentLastDayFinancial)	
		
		self.day = -1
	
	def OnData(self, data):
        if self.Time.day != self.day:
            for kvp in data.FuturesChains:
                for contract in kvp.Value:
                    symbol = kvp.Value.Symbol.Value
                    if 'CL' in symbol:
                        self.wti.ManageChain(contract)
                    elif 'BZ' in symbol:
                        self.brent.ManageChain(contract)
            self.wti.GetFrontMonthContract()
            self.brent.GetFrontMonthContract()
            self.day = self.Time.day
        if self.wti.CurrentContract == None or self.brent.CurrentContract == None:
            return
class FuturesChain:
    def __init__(self, algo, futures, resolution = Resolution.Minute, start = 2, end = 120):
        self.algo = algo
        
        self.futures = algo.AddFuture(futures, resolution)
        self.futures.SetFilter(start, end)
        
        self.symbol = self.futures.Symbol
        self.Chain = {}
        self.CurrentContract = None
        self.CurrentSymbol = None
    
    def ManageChain(self, contract):
        if contract.Symbol not in self.Chain and contract.Expiry > self.algo.Time:
            self.Chain[contract.Symbol] = FuturesContract(self.algo, contract)
        # Remove contracts from the chain that have expired
        keys_to_remove = []
        for contract in self.Chain.keys():
            if self.Chain[contract].contract.Expiry <= self.algo.Time:
                keys_to_remove.append(contract)
                if self.algo.Portfolio[contract].Invested:
                    self.algo.Liquidate(contract)
                self.algo.RemoveSecurity(contract)
        for contract in keys_to_remove:
            self.Chain.pop(contract)
    
    def GetFrontMonthContract(self):
        max_volume = 0
        front_month = None
        for contract, data in self.Chain.items():
            if data.volume.Count > 0:
                volume = data.volume[0]
                if volume > max_volume:
                    front_month = data
                    max_volume = volume
        if front_month != None:
            self.CurrentContract = front_month
            self.CurrentSymbol = front_month.contract.Symbol
    @property
    def Price(self):
        return self.CurrentContract.contract.Price if self.CurrentContract != None else 0
class FuturesContract:
    def __init__(self, algo, contract):
        self.algo = algo
        self.contract = algo.AddFutureContract(contract.Symbol, Resolution.Minute)
        self.volume = RollingWindow[int](3)
        algo.Consolidate(contract.Symbol, timedelta(days=1), self.consolidate_data)
    def consolidate_data(self, consolidated):
        self.volume.Add(consolidated.Volume)
    def IsReady(self):
        return self.volume.Count == 3
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2 people upvoted this

Tom M INVESTOR

May 2022

@Flame - thanks a lot for this. Do you know how you would add indicators to this framework? I was able to do so with the continuous contracts but, as you stated, ran into some issues i.e. open interest ≠ front month. So, trying to use yours but not sure how to do it. Thanks!

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