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Can I use futures pricing history in an equities algo?
Ivory Ant
posted Oct 3, 2017
Seeking Help Contest Using Data Pipeline Futures

I'm trying to use the TY future price history in an equities algo that uses pipeline, but I can't seem to find out how to do it.

I first tried accessing the data using data.history(), but it said I needed to use the Futures Calendar. So I changed the calendar, but then it said I can't use the pipeline in futures mode.

I guess I could get the data from Quandl via e.g. https://www.quandl.com/data/CHRIS/CME_TY1 using fetch_csv, but the rules state this isn't allowed for algos (and it could introduce look-ahead bias I guess). (To be exact I did find this thread in which Dan Dunn states it actually is allowed when done carefully: https://www.quantopian.com/posts/how-to-get-vix-slash-vxv-slash-vxmt-slash-vxst-slash-vvix-into-algos-with-history)

Oh maybe another option: write the entire algo to run outside of pipeline, but I don't think I want to go there really.

Any hints? Got lost in the docs forest :).

1 response
Dan Dunn
Oct 3, 2017

Unfortunately, I think what you're trying to do isn't possible at this time.

At this point our contest is equities-only, and the contest also doesn't permit algos that use fetch_csv. At this point, the only way you can get futures data into your equities algo is if the futures data is coming in from an external data source.

Outside of the contest, you can certainly import anything supported by fetch_csv and the result could be considered for an allocation.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.