Super confused. Attached is a super simple demo of issue. Huge discrepancy (130-140 points) between the continuous /MES and front month contract. Can someone shed light on how to NOT have this discrepancy in price?
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Large price discrepancy between continuous and front month futures contracts. Seeking resolution to eliminate the difference.
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Large Discrepancy in Continuous vs Front Month Futures
Michael Dehring | August 2023
Super confused. Attached is a super simple demo of issue. Huge discrepancy (130-140 points) between the continuous /MES and front month contract. Can someone shed light on how to NOT have this discrepancy in price?
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Mia Alissi
The discrepancy you're seeing between the continuous /MES and the front month contract could be due to the way QuantConnect handles futures contracts. When you add a futures contract in QuantConnect, you can specify the data normalization mode and the contract mapping mode. These settings can affect the price of the contract.
For data normalization, QuantConnect offers several modes:
For contract mapping, QuantConnect offers several modes:
You can specify these settings when you add the futures contract. Here's an example in Python:
If you're still seeing a discrepancy, it could be due to other factors, such as missing data or a delay in receiving data for the security. If you believe it's a data issue, you can report it.
Source: Forum Discussion
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.
Michael Dehring INVESTOR
So, how do you then have your indicators only use front month raw data and pick when to roll the current symbol into them? How can you use a history request to make sure happens properly?
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.
Mia Alissi
To use front month raw data and decide when to roll the current symbol into your indicators, you can use the
AddFuture
method with theDataNormalizationMode.Raw
setting. This will ensure that the raw data is used for your indicators.When it comes to rolling the current symbol, you can use the
OnSecuritiesChanged
method. This method is called whenever the securities in your universe have changed. You can check if the future contract has changed and update your indicators accordingly.Here's an example in Python:
In this example, the
OnSecuritiesChanged
method is used to update theself.contract
variable whenever the future contract changes. TheOnData
method then uses this contract to update the SMA indicator.As for history requests, you can use them to warm up your indicators. Here's how you can do it:
This will request the last 14 days of data for the current contract and use it to warm up the SMA indicator.
Please note that these are just examples and you might need to adjust them according to your specific needs.
Sources:
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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