Lesson 2: Futures in Research

Futures Data

Quantopian has open, high, low, close, and volume (OHLCV) data for 72 US futures from the beginning of 2002 to the current date. This dataset contains both day and minute frequency data for 24 hours x 5 days a week, and is collected from electronic trade data.

The list of US futures currently available on Quantopian can be found at the end of this notebook.

Future Object

On Quantopian, a Future is an instance of a specific futures contract denoted by a base symbol + a code for month/year of delivery. For example, CLF16 is a contract for crude oil with delivery date in January (F) 2016 (16). Here is a reference for delivery months and their corresponding codes:

Let's start by looking at a particular contract of the Light Sweet Crude Oil future (CL). In Research, a reference to a futures contract is obtained via the symbols function. Run the following code in a new cell to output the Future object corresponding to CLF16.

Here is a brief description of some of the properies of the Future object:

• root_symbol: The root symbol of the underlying asset. For example, CL corresponds to crude oil.
• start_date: The date the contract becomes available on Quantopian. Note that the price of a contract might be NaN near the start_date, as it may not be actively traded until it gets closer to its delivery date.
• end_date: The last date the contract can be traded or closed before delivery.
• notice_date: The date in which the exchange can start assigning delivery to accounts holding long positions on the contract.
• auto_close_date: This is two days prior to either notice_date or end_date, whichever is earlier. In backtesting, positions in contracts will be automatically closed out on their auto_close_date.
• tick_size: The price of a future can only change in increments of its tick_size. For example, CL changes in increments of \$0.01.
• multiplier: The number of units per contract. A contract for CL corresponds to 1000 barrels of oil.

In the following lesson, we'll take a look at how to get pricing and volume data for a particular futures contract.

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List of Available Futures

These are the 72 US futures that are currently available on Quantopian.