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. https://www.quandl.com/data/CHRIS/CME_TY1 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: https://www.quantopian.com/posts/how-to-get-vix-slash-vxv-slash-vxmt-slash-vxst-slash-vvix-into-algos-with-history)
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 :).