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Is there any ETA on continuous futures support?
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Jared Broad
Sorry not at this time. We're aware of the request and will try get it installed this year
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.
Mikko M
Any plans for historical data for other futures markets? I would very much like to test also with more diversified set of equity index futures as well (DAX, hang sheng, nikkei..)
Jared Broad
Yes but realistically we can't give an ETA. We'll add international equities first then expand into the most liquid international asset classes.
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.
Mikko M
One question still - I only am trading daily strategies with futures and currently the speed I get with minute data is very, very slow with large set of symbols.
Are there any plans to include daily resolution data for backtesting/trading the futures?
Jared Broad
Futures isn't that much information it actually should be pretty quick. I think if you're experiencing it as slow it might be an algorithm implementation issue. I think we've got a long way to go before making futures daily data... how would you prioritize the three things you've mentioned in this thread?
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.
Mikko M
Well I can build the continuous futures data myself if it is absolutely required but slowness of the platform and missing international contracts are quite problematic issues.
For an algo that does nothing but subscribes to just few contracts namely "ES", "ZB", "CL", "GC" (no logic at all at all) it takes 40 seconds to execute just 2019. With my old platform (python-based) with continuous daily data I could simulate over 20 years of trading with 4 combined systems in 30 seconds with almost 90 different futures (locally).
The problem being is that that platform does not do actual trading so the trades need to be executed manually which is not ideal..
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Mikko M
Here is the extremely simple algo I used to test, this took 44 seconds.
(btw, The indentation of the code seems messed up - it looks okay when I open the code from the IDE)
Jared Broad
Ah OK; that is actually pretty quick. 44 seconds would have been about 450k bars per second. For an event-based backtesting engine, 0.5M events per second is in the "uber-fast" category. Unfortunately comparing it to a python batch daily backtest isn't "apples to apples". The biggest difference is that this is minutely data; about 600x more information than you were testing with your home-made system.Â
We highly prioritize speed and work hard on making LEAN even faster but I understand if it doesn't meet your needs. We are doing our best though :)Â
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.
Mikko M
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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