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I have about 10 years of futures trade data for most markets in tick, minute and daily resolution. I've done the work to format and store this in QC format. I only have openinterest data for daily resolution, so for minute and tick resolution, what I have built provides trade data only.
As I begin to work with some of this data and get familiar with the futures data API I am seeing the following error.
BacktestingFutureChainProvider.GetFutureContractList(): Failed, files not found:
/Lean/Data/future/comex/minute/si/20180418_openinterest.zip
/Lean/Data/future/comex/minute/si/20180418_quote.zipLooking at the code for GetFutureContractList() it appears that it only accepts the openinterest.zip or the quote.zip file. Is there some reason that the trade.zip file is not accepted here? Can I satisfy this just by creating a blank quote.zip?
Randy Terbush
Somewhat related to this, could someone point me to documentation regarding map_files?
Louis Szeto
Hi Randy,
Thank you for your patience.
Our first implementation for getting the contract list only read the open interest files which contain the contracts. We read the quote files as a fallback since the chance of having all contracts on the quote files are bigger than on the trade file given that some contracts might not be traded on that day. You can create the open interest files based on the trade files as a workaround.
There is no documentation on map files. They are files that tracked the symbol changed event of security. You may take this GitHub file as an example.
Best
Louis
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Randy Terbush
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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