Hi there,

One thing that is not clear to me is how to access indicators with multiple continuous futures contracts.

I understand how the SMA indicator is being accessed when accessing the history of one continuous futures contract like in this example:

  1. # region imports
  2. from AlgorithmImports import *
  3. # endregion
  5. class USFuturesSecurityMasterDataClassicAlgorithm (QCAlgorithm):
  6.     
  7.     threshold = 0.01 # 1%
  8.     
  9.     def Initialize(self) -> None:
  10.         self.SetCash(1000000)
  11.         self.SetStartDate(2022, 1, 1)
  12.         self.SetEndDate(2022, 6, 1)
  14.         # Requesting data
  15.         self.continuous_contract = self.AddFuture(Futures.Energies.CrudeOilWTI,
  16.                                                   dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
  17.                                                   dataMappingMode = DataMappingMode.OpenInterest,
  18.                                                   contractDepthOffset = 0)
  19.         self.symbol = self.continuous_contract.Symbol
  20.                       
  21.         # Historical data
  22.         history = self.History(self.symbol, 500, Resolution.Minute)
  23.         self.Debug(f"We got {len(history)} items from our history request")
  25.         self.sma = self.SMA(self.symbol, 10, Resolution.Daily)
  26.         if not history.empty:
  27.             for time, row in history.droplevel(0).loc[self.symbol].iterrows():
  28.                 self.sma.Update(IndicatorDataPoint(time, row.close))
  29.         self.Log(history)
  31.     def OnData(self, slice: Slice) -> None:
  32.         # Accessing data
  33.         for changed_event in slice.SymbolChangedEvents.Values:
  34.             if changed_event.Symbol == self.symbol:
  35.                 self.Log(f"SymbolChanged event at {self.Time}: {changed_event}")
  36.                 
  37.         mapped_symbol = self.continuous_contract.Mapped
  39.         if not (slice.Bars.ContainsKey(self.symbol) and self.sma.IsReady and mapped_symbol):
  40.             return
  41.         
  42.         if slice.Bars[self.symbol].Price > self.sma.Current.Value * (1+self.threshold) and not self.Portfolio[mapped_symbol].IsLong:
  43.             self.MarketOrder(mapped_symbol, 1)
  44.         elif slice.Bars[self.symbol].Price < self.sma.Current.Value * (1-self.threshold) and not self.Portfolio[mapped_symbol].IsShort:
  45.             self.MarketOrder(mapped_symbol, -1)
+ Expand

But what if I want to access the SMA indicator for an array of continuous futures whose history is accessed by something like this:

  1. # Requesting data
  2. self.CL = self.AddFuture(Futures.Energies.CrudeOilWTI,
  3.           dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
  4.           dataMappingMode = DataMappingMode.OpenInterest,
  5.           contractDepthOffset = 0)
  6. self.ES = self.AddFuture(Futures.Indices.SP500EMini,
  7.           dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
  8.           dataMappingMode = DataMappingMode.OpenInterest,
  9.           contractDepthOffset = 0)
  10.           
  11. self.symbols = [
  12.                  self.CL.Symbol,
  13.                  self.ES.Symbol
  14.                ]
  16. # Get historical data
  17. data = self.History(self.symbols, period, Resolution.Daily)
+ Expand

How would I iterate using:

  1. for symbol in self.symbols:

to generate SMA for each symbol so I could determine whether or not to buy/sell that symbol based on comparing price to the SMA?

Thanks in advance,

David

Author

David Lelong

July 2022