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Quantopian Futures API Tutorial

In the spirit of sharing that started by Harrison Kinsley, I have developed a series of Quantopian Futures API tutorial videos based on the notebook shared by Jamie McCorriston on the release of Futures Data. The videos are free and the accompanying notebook is modified from Jamie's notebook. My name is Anthony Ng and I help Quantopian to conduct workshops in Singapore.

This tutorial series is a non-comprehensive introduction for people who are not familiar with Futures Contracts and the Quantopian Futures API. In this tutorial you will learn how to utilize Quantopain Futures API to extract individual futures contract and continuous futures historical prices. At the end of the course you will be able to:

Video 1: Q Futures 1 Basics of Futures Contract
- Describe what is a futures contract

Video 2: Q Futures 2 Futures Contract Characteristics
- Understand and describe the basic characteristics of a futures contract

Video 3: Q Futures 3 Futures Naming Convention
- Briefly explain the futures contract naming convention
- Interpret information return in the Future object from calling the symbols method

Video 4: Q Futures 4 Historical Data
- Understand the history method required inputs
- Demonstrate how to make use of history method to request historical data
- Requests the full doc string of history method
- Describe the volume characteristics of a typical futures contract

Video 5: Q Futures 5 Continuous Futures
- Briefly explain the need for continuous futures
- Demonstrate how to make use of continuous_future method to extract continous futures contract
- Identify the different input parameters and describe the implications

Video 6: Q Futures 6 Individual vs Continuous Futures
- Describe the relationship between individual and continuous futures contract volumes
- Describe the relationship between individual and continuous futures contract prices
- Briefly describe the difference between mul, add, and none adjustment types

Video 7: Q Futures 7 Offset, Term Structure
- Discuss the use of offset
- Explain the term structure of futures contracts
- Gain deeper appreciation of the shape of futures contracts term structure

Your feedback, comments, and thoughts are most welcome. I will take them on board to develop, design and improve future videos.

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9 responses

This is great. Thank you Anthony.

Thanks, Frank. Appreciate the notebook - The Bean Report - you shared as well. Very interesting concept.

Excellent work, Anthony! That's going to be a huge time saver.

I'm working on translating some of my C# based futures models to Quantopian, and this well help speed things up for me.

Thanks Andreas for the kind comment. Always good to see you here.

Nice work! Just watching this course, a lot of strategies and possibilities are coming up in my mind.

This is great, Quantopian. The person who is doign programming for me asked me if you also offer ratio-adjusted contracts.

Hi Alexander,

We have continuous futures which allow you to look back at a historical series of pricing/volume data for a particular underlying asset, adjusted for contract gaps. Continuous futures get you a continuous history of OHLCV data that you can be adjusted in two ways: by ratio ('mul') or by difference ('add'). I would recommend checking out Anthony's tutorial or this notebook to learn more about continuous futures.


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Anthony - I just wanted to say thank you for creating this videos, it is a great intro to Q Futures.

I think it is very useful for many people here in the Q community.

@Mohammad. You are most welcome

@Guido. I am glad it helps.

I know Quantopian is always trying to push out more educational contents. Please feel free to let them know what you more you would like to see. Though I can't make it to this year's QuantCon NYC, I am looking forward to the full Q Futures release, in both Research as well as the IDE platform. The invest-able universe would be great enlarged and enhanced with the introduction of Futures contract into the mix.