Today, we added futures data to Quantopian Research for 72 U.S. futures going back to the start of 2002. Data includes daily and minutely open, high, low, close, and volume (OHLCV) data for 24 hours x 5 days a week and is collected from electronic trade data. The list of available futures can be found at the bottom of the notebook.
Along with the data, we added some new API functions to the
quantopian.research.experimental library to make it easier to interact with this new asset class. Attached is a notebook which gives a brief introduction to futures data on Quantopian as well as the new futures-related API.
Highlights from the notebook include:
Pricing and Volume Data for Futures Contracts: The notebook includes examples of pricing and volume lookups for particular futures contracts.
Continuous Futures: A continuous future is a specifier for retrieving a chain of contracts all associated with the same root symbol, and the dates at which activity has rolled from one contract to the next. Continuous futures maintain a reference to the active contract (or history of active contracts) for the particular underlying.
Continuous Futures vs Individual Contracts: The notebook demonstrates the value of continuous futures by comparing them to the the individual contracts they comprise. This comparison includes a look at price adjustments when a continuous future rolls from one contract to the next.
Term Structure: By comparing contracts with consecutive delivery dates, the notebook looks at the term structure of a particular underlying.
Many of you will be new to futures. We are actively working on lectures and tutorials that will cover the basics of futures, the new Quantopian API, and some more advanced statistical content for futures that you're already used to seeing for equities in the Lecture Series. This notebook assumes a basics knowledge of futures. Until we have more educational content on Quantopian, here are a few resources that I found to be helpful when learning about futures:
- Forward and Futures Contracts, Khan Academy (video)
- Futures, Investopedia (article) -- there are a lot of other good articles about futures on Investopedia too
- Following the Trend, Andreas Clenow (book)
P.S. We are planning to launch the full futures product, including backtesting, documentation, and lectures at QuantCon.