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Futures Data Availability? Missing European Session / Overnight Data

Hello Quantopian!

I've been trying to calculate intra-day VWAP for a Futures contract lately and couldn't get the correct values.
After digging deeper I found that handle_data is only being called between 10:31 UTC and 21:00 UTC (Euro FX Futures Contract 6E / EC in this case).
The official trading hours are 22:00 - 21:00 according to the contract specs (http://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html) though which is the only thing that makes sense (at least for the currencies) given that it tracks the 24/5 FX spot market.

Can we expect this data to be available anytime soon to match the official trading hours cited in the contract specifications?

Cheers,
Tom

3 responses

Hi Tom,

The US Futures calendar in the backtester runs from 6:30am - 5pm ET every day. However, the 24/5 data is available in both research and the backtester. If you make a data.history call at 6:30am ET, it will get you pricing/volume data from earlier than 6:30. The only limitation is that your algo must place its trades in that 6:30am - 5pm window. You can use the 24 hour data in your research or in the computations in your algorithm. I've attached a notebook that shows the 24 data for EC on a particular day in research.

I hope this helps.

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Hi Jamie,

so data.history has the data but handle_data is only called between 0630-1700 ET?

That's good to know, thanks!

This was a let down for me as well. Any suggestions on how to "drip feed" this data to a handle_data -like function??? I want to be able to place trades on overnight data using the backtester.