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Can I use futures pricing history in an equities algo?

I'm trying to use the TY future price history in an equities algo that uses pipeline, but I can't seem to find out how to do it.

I first tried accessing the data using data.history(), but it said I needed to use the Futures Calendar. So I changed the calendar, but then it said I can't use the pipeline in futures mode.

I guess I could get the data from Quandl via e.g. using fetch_csv, but the rules state this isn't allowed for algos (and it could introduce look-ahead bias I guess). (To be exact I did find this thread in which Dan Dunn states it actually is allowed when done carefully:

Oh maybe another option: write the entire algo to run outside of pipeline, but I don't think I want to go there really.

Any hints? Got lost in the docs forest :).

1 response

Unfortunately, I think what you're trying to do isn't possible at this time.

At this point our contest is equities-only, and the contest also doesn't permit algos that use fetch_csv. At this point, the only way you can get futures data into your equities algo is if the futures data is coming in from an external data source.

Outside of the contest, you can certainly import anything supported by fetch_csv and the result could be considered for an allocation.


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