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Hello,
Is there a continuous future price in the future chains? What kind of method is used for the roll-over?
Thanks
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Alexandre Catarino
We haven't implemented continuous contracts yet.
When a contract expires, it is delisted and the algorithm liquidates it, so you need to have some logic in place to open a position with the next contract.
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Ivan Popivanov
That's a stopper for futures backtesting. It's a relatively complex piece of code, and it's quite hard to do outside of the data management component (i.e. by a user of the system like all of us).
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.
Jared Broad
Thanks Ivan, its on our list =) Thank you for your patience.
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.
Sebastien Winsor
Jared is there an ETA on this? I really like QC but can't backtest futures without a continuous time series.
I'm looking at the logic you posted above. Could we create a time-series and record prices from the contract with highest volume, then when a new contract is identified, add/subtract the difference to shift the entire series? That should create a continuous time-series, but I am new to QC and don't know if this is actually feasible.
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.
Elina Lae
Same question Jared - adding continuous futures (ES SP e-mini, MES SP e-micro in our case) in backtesting would be extremely helpful. Could you please provide an ETA? Thanks a lot!
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.
Daniel Chen
Hi Elina,
Unfortunately, we don't have an ETA on continuous futures contracts at this time. Thank you!
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.
Yiannis Petrou
I am currently working on this but a little help from the team would be most welcome. I am looking at implementing an active system similar to CQG, whoa who are well-respected data curators.
Active Method : This option sets the chart to display data for the most active contract month. Once the transition occurs between the near-term month and the next month, the further out month remains the active contract until a contract other than that becomes more active. Colored horizontal bars appear at the bottom of the continuation charts, directly above the time scale, to indicate a transition to a new contract. Additionally, you can choose to equalize the closes by selecting Equalize Closes in the Rollover Adjustments section. This equalization is done by adding the difference between the old lead month and the new lead month to the historical data. Determining the Most Active Contract: The most active contract is determined by using tick volume (both daily and tick volume) or by using the near-term month, depending on the algorithm set by CQG.More specifically, for the "Fast" algorithm, the tick count must be 50% larger before the most active contract is changed. Most financial contracts use the fast algorithm.For the "Slow" algorithm, both the volume and the tick count must be at least 10% greater in the next month than the currently most active month for the new contract to take over as the most active. Generally, the non-financial contracts, especially the grains, use the slow algorithm since the new crop may see significant activity, even when it is not the front month. Additionally, short-term interest rate contracts use the slow algorithm.The near term month is used only for inactive contracts such as the EuroYen.Generally, rollovers occur at the end of the regular trading session. However, automatic rollovers can be over-ridden the following morning when conditions warrant.Equalizing the closes:Equalizing the closes makes the expiration comparisons more relevant. The equalization is applied on the day of the rollover (determined by the switch in the most active contract) according the following example:Example: On 12/11/09:
SPZ = 954.40
SPH = 965.30
Amount of Adjustment = 965.30 – 954.40 = 10.90
This figure (10.90) is added to the older contract to arrive at the value displayed on the continuation chart for 12/11/09.To equalize the closes, the Equalize closes checkbox at the bottom of the window must be selected.The Equalize Closes setting defaults to the last-used setting (either On or Off) for Active or Adjusted Continuation charts. If the bar is equalized, the title bar includes "Equalized" in the caption.
http://help.cqg.com/cqgic/default.htm#!Documents/continuationchartpreferences.htm
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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