Custom Futures Data

Hello Grigoris,

To import custom futures commodities data, you can use the AddData method in QuantConnect. This method allows you to import custom data from various sources. Here is an example of how to use it:

class ImprovedCommodityMomentumTrading(QCAlgorithm):
    def Initialize(self):
        tickers = [Futures.Grains.Wheat,
                   Futures.Grains.Corn,
                   Futures.Meats.LiveCattle,
                   Futures.Energies.CrudeOilWTI,
                   Futures.Energies.NaturalGas,
                   Futures.Softs.Sugar11,
                   Futures.Metals.Copper]
        for ticker in tickers:
            # subscribe to continuous future data and set desired leverage
            future = self.AddFuture(ticker,
                                    resolution = Resolution.Daily,
                                    extendedMarketHours = True,
                                    dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                    dataMappingMode = DataMappingMode.OpenInterest,
                                    contractDepthOffset = 0)
            future.SetLeverage(3)

(Source: Commodities Futures Trend Following)

For handling rollovers, positions are not rolled over automatically in QuantConnect. You will have to handle this manually. You can refer to this basic template algorithm which demonstrates how to roll over the position.

For resetting the indicators when there is a change in contract, you can follow a similar pattern as demonstrated in the same algorithm.

I hope this helps! Let me know if you have any other questions.

(Source: Continuous Futures Support)

Hello Grigoris Pachis !
I am currently facing the same situation that you described, it is being a difficult task due to the situation you mention: there are no implemented examples. Also, in my case at least, the QuantConnect Futures Fill model does not work with my Custom Data Securities. How do you handle your homework? Could you help me please?
Thank you.

Hi Paula, 

Unfortunately I couldn't find anything. Only a not so relevant discussion in discord. Apparently you need to create your own excel files in order to do that. So I dropped it as it will be much easier to do the backtesting myself to be honest rather than spending so much time to make this work and eventually fail. I am sorry for not being able to help more. 

Best,

Grigoris