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Futures Data Availability? Missing European Session / Overnight Data
Tom Schroetter
posted Jun 28, 2017
Using Data Feature Request Futures

Hello Quantopian!

I've been trying to calculate intra-day VWAP for a Futures contract lately and couldn't get the correct values.
After digging deeper I found that handle_data is only being called between 10:31 UTC and 21:00 UTC (Euro FX Futures Contract 6E / EC in this case).
The official trading hours are 22:00 - 21:00 according to the contract specs (http://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html) though which is the only thing that makes sense (at least for the currencies) given that it tracks the 24/5 FX spot market.

Can we expect this data to be available anytime soon to match the official trading hours cited in the contract specifications?

Cheers,
Tom

3 responses
Jamie McCorriston
Jun 29, 2017

Hi Tom,

The US Futures calendar in the backtester runs from 6:30am - 5pm ET every day. However, the 24/5 data is available in both research and the backtester. If you make a data.history call at 6:30am ET, it will get you pricing/volume data from earlier than 6:30. The only limitation is that your algo must place its trades in that 6:30am - 5pm window. You can use the 24 hour data in your research or in the computations in your algorithm. I've attached a notebook that shows the 24 data for EC on a particular day in research.

I hope this helps.

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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.

Tom Schroetter
Jun 30, 2017

Hi Jamie,

so data.history has the data but handle_data is only called between 0630-1700 ET?

That's good to know, thanks!

Jeremy Cohn
Jul 10, 2017

This was a let down for me as well. Any suggestions on how to "drip feed" this data to a handle_data -like function??? I want to be able to place trades on overnight data using the backtester.

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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.