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New Dropdown in the Backtester - Futures

Tonight, we are adding futures to the backtester. The addition of futures will include a dropdown to pick a 'calendar' before running a backtest. The dropdown will allow you to pick between the 'US Equities' or the 'US Futures' calendar. Running backtests on the US Equities calendar will be the exact same as running a backtest before today - 9:30am-4pm hours, following the US equity trading holidays. Picking the US Futures calendar will run from 6:30am-5pm ET and will allow you to access either futures or equities data (though equity data is still limited to 9:30-4).

We will be making another official launch post with much more detail on the futures calendar including new documentation, lectures, and a tutorial on the new Futures API later this weekend.

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5 responses

Hi Jamie,

I have a question regarding the Futures calendar time. (re: "Picking the US Futures calendar will run from 6:30am-5pm ET").

Let's suppose my strategy executes an order to buy or sell at 4:14pm and exit on profit target or stop loss (predefined values), that can happen between 5pm and 6:30am, right? If so, how can I check and validate if my PT or SL price was hit?

Thanks,
-Ale

When is this offical post coming?

this will be interesting feature we need .

Here is the official post: https://www.quantopian.com/posts/futures-have-launched-research-backtesting-lectures-tutorial-and-more

I have one question regarding "Picking the US Futures calendar will run from 6:30am-5pm ET". For cemgroup future (such as GBP/USD), the trading hour is actually Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT). So how can i pick a trading calendar for GBP/USD ?