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Using Pipeline with US Futures Calendar
Vlad Obukhanich
posted
Pipeline Futures

Hi everyone,

I'm currently working on a futures trading strategy involving a Pipeline to get US Equities data on the underlying and then trade the corresponding futures (using US Futures calendar). I keep getting the following error message:

"WrongCalendar: Futures cannot be traded on the US Equities calendar. If you would like to trade futures, please select the US Futures calendar from the dropdown and re-run the backtest. If you want to trade futures at a particular time relative to equity market open or close, you can use schedule_function and specify a calendar=calendars.US_EQUITIES argument."

It's basically asking me to specify the calendar argument inside my schedule_function so that I only trade futures when the US Equities market is open, and I've done exactly that, but I still keep getting the same error. Has anyone had a similar issue before or figured out a workaround for it?

Thanks!

1 response
jose uribe

You should change your universe in the simulation

https://1drv.ms/u/s!Apb0NoJySfpFti6IUTd8XqNq9aoQ

See the image, that is your problem. I was having the same issue.

Regards

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