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Some futures missing data for 2018?

Seems like there's quite a few futures contracts that work for backtesting up through 2017, but are missing data starting in 2018. From what I've tried:

Crude Oil (CL), Lean Hogs (LH), Federal Funds (FF), Lumber (LB) all work.

Nasdaq (ND), 2 year treasuries (TU), SP emini (ES), 20 year treasuries (US) do not work in 2018.

I'm not changing anything in my code except the symbol for these futures, and all of them work for 2017 and previous years. For example:

context.zb = continuous_future('US', offset=0, roll='volume', adjustment='mul')  
context.cl = continuous_future('LB', offset=0, roll='volume', adjustment='mul')  

Any idea what's going on here?

4 responses

There is still no data for 'ES' and some other futures. Does anyone have any updates regarding this issue?

Any update on this issue?

Futures data is still missing.

Yes, Quantopian does have a limited amount of futures data but hasn't been updating that data since November 2018. Futures analysis and backtesting functionality is supported, but just with this limited data availability. Take a look at the documentation for which futures are covered (scroll down the page after clicking the link) https://www.quantopian.com/help#continuous-futures. There are also some other links there for how to access the data and use in an algo.

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