I am developing an algorithm using futures available here.
However my positions fail to fill because my registered handlers are set at odd times. What is the best period to trade futures when there is most volume? Since Quantopian allows you to set the handlers using time_rules=market_open(hours=xxx) or market_close(hours=xxx), what is the best period?
Could an experienced person advise please?
The high volume periods for futures can really vary depending on the particular future you are trading. I've attached a notebook that you can use to plot the volume profiles of each future. You'll notice that certain types/sectors can have narrow volume windows. On the other hand, certain futures like the Japanese Yen that are heavily influenced by international markets might trade more actively outside of US market hours.
Let me know if this helps.
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.
Hi Jamie,
Any advise? Please see a snippet of logs. It is unable to fill. I have a feeling that Quantopian is mixing up the volume of futures traded and the volume x contract size.
2014-02-04 06:00 WARN Your order for 14 shares of RRH14 has been partially filled. 12 shares were successfully purchased. 2 shares were not filled by the end of day and were canceled.
2014-02-04 06:00 WARN Your order for 25 shares of ETJ14 failed to fill by the end of day and was canceled.
2014-02-04 06:00 WARN Your order for -57 shares of LBH14 has been partially filled. 4 shares were successfully sold. 53 shares were not filled by the end of day and were canceled.
2014-02-04 06:00 WARN Your order for -113 shares of OAH14 has been partially filled. 1 shares were successfully sold. 112 shares were not filled by the end of day and were canceled.
2014-02-05 06:00 WARN Your order for -106 shares of OAH14 has been partially filled. 3 shares were successfully sold. 103 shares were not filled by the end of day and were canceled.
2014-02-05 06:00 WARN Your order for -66 shares of LBH14 failed to fill by the end of day and was canceled.
2014-02-05 06:00 WARN Your order for 31 shares of ETH14 failed to fill by the end of day and was canceled.
2014-02-06 06:00 WARN Your order for -13 shares of RRH14 has been partially filled. 1 shares were successfully sold. 12 shares were not filled by the end of day and were canceled.
2014-02-06 06:00 WARN Your order for 86 shares of OAH14 has been partially filled. 5 shares were successfully purchased. 81 shares were not filled by the end of day and were canceled.
2014-02-06 06:00 WARN Your order for -47 shares of LBH14 has been partially filled. 2 shares were successfully sold. 45 shares were not filled by the end of day and were canceled.
2014-02-06 06:00 WARN Your order for 45 shares of ETH14 has been partially filled. 1 shares were successfully purchased. 44 shares were not filled by the end of day and were canceled.
2014-02-07 06:00 WARN Your order for 7 shares of RRH14 has been partially filled. 1 shares were successfully purchased. 6 shares were not filled by the end of day and were canceled.
2014-02-07 06:00 WARN Your order for -119 shares of OAH14 has been partially filled. 10 shares were successfully sold. 109 shares were not filled by the end of day and were canceled.
2014-02-07 06:00 WARN Your order for -52 shares of LBH14 failed to fill by the end of day and was canceled.
2014-02-07 06:00 WARN Your order for 35 shares of ETH14 has been partially filled. 2 shares were successfully purchased. 33 shares were not filled by the end of day and were canceled.
2014-02-08 06:00 WARN Your order for -13 shares of RRH14 has been partially filled. 2 shares were successfully sold. 11 shares were not filled by the end of day and were canceled.
2014-02-08 06:00 WARN Your order for 244 shares of OAH14 has been partially filled. 8 shares were successfully purchased. 236 shares were not filled by the end of day and were canceled.
2014-02-08 06:00 WARN Your order for -21 shares of LBH14 failed to fill by the end of day and was canceled.
2014-02-08 06:00 WARN Your order for 29 shares of ETH14 failed to fill by the end of day and was canceled. Hi Pravin,
Have you tried setting the slippage to 0 to see if that helps? To override the default slippage models on the futures calendar, you need to use this line of code:
set_slippage(us_futures=slippage.FixedSlippage(0)) One other thing to note with the futures calendar is that the only holidays that are handled normally are those that apply to all futures - Christmas Day, US New Years, and US Independence Day (July 4th). Outside of these holidays, there are other holidays that are observed by a subset of exchanges. Sometimes, there are even holidays that are observed by a subset of futures on the same exchange. For the holidays that are not observed by all futures, they will simply show up as having 0 volume on the given day, so you'll see orders on that day that appear not to fill.
For the partial orders, I'm not as sure. Can you try the zero-slippage model and let me know what happens?
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.
Hi Jamie,
The above log is with set_slippage to 0. I think there are two issues:
Are you sure that you don't consider the available volume in minute bar as the number of contracts and then look at the trade as number of contracts multiplied by contract size? I am just guessing that could be the reason.
Best regards,
Pravin
Hi Pravin,
Can you confirm that you are using the us_futures attribute in the set_slippage function? It's not something that we've documented yet, which is why I'd be surprised if you were already using it!
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.
@Adib Zoghbi All the pricing methods on Quantopian return times in UTC. This includes futures data. UTC times can easily be converted to US/Eastern time with the pandas tz_convert method. The volumes returned by the history method in the notebook can be converted to 'market' time something like this
history(future, fields='volume', frequency='minute', start='2016-04-01', end='2016-10-01').tz_convert('US/Eastern')
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.
@Dan thanks for the prompt answer. This is clear. One more question, I see that the data comes either minutes or daily. Is there a way to change it to other formats. For examples, 4 hours, or hourly?
There isn't a built in method to get different frequencies. However, one can use the pandas resample method (https://pandas.pydata.org/pandas-docs/version/0.18/generated/pandas.DataFrame.resample.html). If one wanted to get hourly volume do something like this
# resample every 1 hour and every 4 hours
volume_1h = volume.tz_convert('US/Eastern').resample('1h', closed='right', label='right').sum()
volume_4h = volume.tz_convert('US/Eastern').resample('4h', closed='right', label='right').sum()
One needs to decide how to resample. Volume is easy and should typically be the sum of all the minute volumes. However price is a judgement call. One could use last (ie the close of each sample bin) or potentially mean or median. There is also a bit more discussion on the various resample parameters in this post https://www.quantopian.com/posts/how-to-use-the-resample-correctly
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.
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.