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Hi,
There are two datasets for US Futures. In the Algoseek Dataset under About > Supported Assets, there is a comprehensive list of all supported assets, but I can't find such a list for the US Futures Security Master. Where is it?
More generally, what the difference between the two datasets and which one is loaded by default when calling the AddFuture() method ?
Does the Algoseek Dataset also support continuous contracts?
Lastly what the easiest way to check for how many years of data are available for a particular symbol in each datasets ? For example , by default, when loading the Futures.Indices.Russell2000EMini, I get data starting in June 2017, is it possible to get more data?
Thank you for your help !
Jonathan Krief
I just saw that the US Futures Security Master is only Daily data, so guess I am getting by default the AlgoSeek US Futures Dataset. when calling AddFuture()
Then why it starts only in June 2017, when the Data Summary for Algoseek says it start from May 2009 ?
Louis Szeto
Hi Jonathan
US Futures Security Master is a dataset that provides functionality to map future contracts into a continuous future. It is an add-on on top of the basic Futures. Both datasets are accessed by AddFuture methods, while Future Security Master required additional input arguments: dataNormalizationMode, dataMappingMode, and contractDepthOffset.
In the cloud IDE, you could use both datasets without limit. However, in local CLI, you must have both the raw OHLCV data from AlgoSeek, and the mapping + adjust factor data from the Security Master for continuous futures support.
As per the start time issue, we cannot reproduce your problem. Would you mind attaching a backtest?
Best
Louis
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Jonathan Krief
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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