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I noticed that Quantconnect supports a limited set of futures products particularly related to stock indexes. I found a big list on CME website https://www.cmegroup.com/markets/equities.html#products and noticed that only 16 of these are supported by Quantconnect. I recently learned that futures have favorable tax treatment. This is huge for ETF traders who hold the ETF for less than a year. Any such gains in the ETF is normally taxed at ordinary income tax rate whereas 60% of the gains for the equivalent trades using futures will qualify for long term capital gains tax rate.
Therefore, I am in the process of moving most of my trading to futures. I feel comprehensive support for stock equity index futures will be a big differentiator for Quantconnect. I am even willing to pay a little bit more for this comprehensive support.
Are there any plans to provide comprehensive support for Equity index futures in the near future?
Jared Broad
We support commodity futures with more than $10,000 volume per day. We have no plans to extend the datasets at this time until we better support the current assets. E.g. With continuous futures.
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.
Manoj Agarwala
workarounds for now?
Derek Melchin
Hi Manoj,
Until we have built-in support for more futures, it's possible to use a custom data source for backtesting. For live trading, there is no workaround.
Best,
Derek Melchin
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.
Manoj Agarwala
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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