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Unable to live trade with Future's data

Attached is the code that I am attempting to put into live trading through Quantopians paper trading system. Unfortunately, an error pops up saying "There was a problem deploying your algorithm to live trading." Other algorithms can still live trade, so the issue is definitely with this algorithm. Are we unable to go into live trading yet with Future's data?

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5907795d59cf2061b5833af9
There was a runtime error.
10 responses

Hi Milap,

Algos running on the futures calendar, or any algos using futures, are currently only allowed in backtesting. We will have to improve that error message so that it's more clear. Sorry for the confusion.

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Ah ok, thanks for the response. Figured that was probably it. Any idea on when running the futures calendar will be implemented? I'm purely interested in using that data, not actually trading futures so is this only possible currently with non-quantopian futures data?

We don't have a timeline for that yet. I can tell you that paper trading will come before live trading, and we hope to work on a futures-specific contest, but we don't have a good sense yet of how long these will take. We also plan to give better analysis tools for futures algos and respond to some of the feedback that comes from the community over the next few months in terms of the API and any data issues.

OK, awesome, thanks!

@JamieMcCorriston: Are we able to to use the futures data and live trade with the equity calandar? So look at the chain of VX but trade XIV? I have rewritten a few of my algo's and it improves the performance so I would like to put them live

@JamieMcCorriston
And how about pipeline x futures?
"CannotUsePipeline: Pipeline is not yet supported on the Futures calendar."

@Peter: Not yet. Futures data is only available on the futures calendar. You can backtest the strategy you described by trading equities in an algo that runs on the futures calendar, but that can't yet be live traded.

@Roberto: Pipeline isn't yet supported on the futures calendar. Out of curiosity, are you hoping to use pipeline to make a cross-sectional futures strategy? or are you trying to write something that uses both futures and equities data?

@Jamie, firstly I am trying to get vix and vix derived instruments data(CBOE/Quandl) so that I can use them together with vix futures. The idea to use equities and futures is also in my mind, but I need to be more familiar with futures strategies in general. Is there any other way to get vix without using pipeline or fetch on the futures calendar?

Roberto,

Right now, the only way to get VIX data on the futures calendar is with Fetcher. Thanks for sharing your use case, we will take that into consideration when prioritizing which features to work on next.

I just wanted to add my +1 to pipeline in futures calendar.

I can get front month and second month VIX contracts in futures... but then I cant get VIX spot prices since pipeline is not available.
It would be great to get VIX spot + VIX futures together and ditch fetcher.