Some futures missing data for 2018?

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Some futures missing data for 2018?

posted Nov 6, 2018

Seems like there's quite a few futures contracts that work for backtesting up through 2017, but are missing data starting in 2018. From what I've tried:

Crude Oil (CL), Lean Hogs (LH), Federal Funds (FF), Lumber (LB) all work.

Nasdaq (ND), 2 year treasuries (TU), SP emini (ES), 20 year treasuries (US) do not work in 2018.

I'm not changing anything in my code except the symbol for these futures, and all of them work for 2017 and previous years. For example:

context.zb = continuous_future('US', offset=0, roll='volume', adjustment='mul')  
context.cl = continuous_future('LB', offset=0, roll='volume', adjustment='mul')

Any idea what's going on here?

5 responses

There is still no data for 'ES' and some other futures. Does anyone have any updates regarding this issue?

Teimatini Marin

Any update on this issue?

Futures data is still missing.

Yes, Quantopian does have a limited amount of futures data but hasn't been updating that data since November 2018. Futures analysis and backtesting functionality is supported, but just with this limited data availability. Take a look at the documentation for which futures are covered (scroll down the page after clicking the link) https://www.quantopian.com/help#continuous-futures. There are also some other links there for how to access the data and use in an algo.

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@Dan Whitnable

Have futures essentially been discontinued, or will more up-to-date data become available (and perhaps even be updated regularly)?

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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.

About Quantopian

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.