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New Dropdown in the Backtester - Futures
Jamie McCorriston
posted
Q Updates Futures

Tonight, we are adding futures to the backtester. The addition of futures will include a dropdown to pick a 'calendar' before running a backtest. The dropdown will allow you to pick between the 'US Equities' or the 'US Futures' calendar. Running backtests on the US Equities calendar will be the exact same as running a backtest before today - 9:30am-4pm hours, following the US equity trading holidays. Picking the US Futures calendar will run from 6:30am-5pm ET and will allow you to access either futures or equities data (though equity data is still limited to 9:30-4).

We will be making another official launch post with much more detail on the futures calendar including new documentation, lectures, and a tutorial on the new Futures API later this weekend.

Disclaimer

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.

5 responses
Alessandro Barroso

Hi Jamie,

I have a question regarding the Futures calendar time. (re: "Picking the US Futures calendar will run from 6:30am-5pm ET").

Let's suppose my strategy executes an order to buy or sell at 4:14pm and exit on profit target or stop loss (predefined values), that can happen between 5pm and 6:30am, right? If so, how can I check and validate if my PT or SL price was hit?

Thanks,
-Ale

Cary Judson

When is this offical post coming?

raj kumar roy

this will be interesting feature we need .

Jamie McCorriston

Here is the official post: https://www.quantopian.com/posts/futures-have-launched-research-backtesting-lectures-tutorial-and-more

Tony Chang

I have one question regarding "Picking the US Futures calendar will run from 6:30am-5pm ET". For cemgroup future (such as GBP/USD）, the trading hour is actually Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT). So how can i pick a trading calendar for GBP/USD ?

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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.