+
Request Futures data in your algorithm to receive a feed of contract prices in the OnDataon_data method. For more information about the specific dataset we use for backtests, see the US Futures dataset listing. To trade Futures live, you can use the QuantConnect data provider or one of the brokerage data providers.
To request Futures data, call one of the following methods:
+AddFutureself.add_future to add a basket of contracts for a single FutureAddFutureContractself.add_future_contract to add individual contracts for an underlying FutureAddFutureself.add_future
+ AddFutureContractself.add_future_contract
+
+ The AddFutureadd_future method enables you to select a basket of Future contracts for an underlying Future.
+ To form your universe of contracts, you can filter them down by their expiry.
+ If you want to subscribe to individual contracts one-by-one instead of a set of contracts, see Individual Contracts.
+
To add a universe of Future contracts, in the Initializeinitialize method, call the AddFutureadd_future method. This method returns an Future object, which has a SetFilterset_filter method you can call to filter the set of tradable contract down to just the contracts you want.
public class BasicFutureAlgorithm : QCAlgorithm
+{
+ public override void Initialize()
+ {
+ var future = AddFuture(Futures.Indices.SP500EMini);
+ future.SetFilter(0, 182);
+ }
+
+ public override void OnData(Slice data)
+ {
+ foreach (var (continuousSymbol, chain) in data.FuturesChains)
+ {
+ foreach (var (symbol, contract) in chain.Contracts)
+ {
+ var expiry = contract.Expiry;
+ }
+ }
+ }
+}
+ class BasicFutureAlgorithm(QCAlgorithm): + def initialize(self): + future = self.add_future(Futures.Indices.SP500E_MINI) + option.set_filter(0, 182) + + def on_data(self, data): + for continuous_symbol, chain in data.future_chains.items(): + for symbol, contract in chain.contracts.items(): + contract.strike+
For more information about the AddFutureadd_future method, see Create Universes.