Futures
This page shows how to create and work with individual future contracts on the platform.
Setting up your environment takes three steps:
- Import the relevant internal and external libraries
- Configure the environment parameters
- Initialise the environment
import sigtech.framework as sig
import datetime as dtm
import seaborn as sns
sns.set(rc={'figure.figsize': (18, 6)})
sig.config.init()
To pull a treasury future instrument object from our object factory:
Input
Output
future = sig.obj.get('TYZ18 COMDTY')
future
TYZ18 COMDTY <class 'sigtech.framework.instruments.futures.BondFuture'>[5457524864]
You can then retrieve time series and static data from this object. The available time series can be retrieved by the running the below commands. The available data will differ depending on the instrument type.
Input
Output
future.activity_fields, future.history_fields
(['Volume', 'OpenInterest'],
['LastPrice',
'OPEN',
'HIGH',
'LOW',
'Volume',
'OPEN_INTEREST',
'QuotedLastPrice'])
To query any of the above listed time series, the
.history() method is used. The method uses the parameter fields to declare which of the time series are retrieved. If no field is defined, the default value is LastPrice.Input
Output
future.history().tail()
2018-12-13 120.281250
2018-12-14 120.453125
2018-12-17 120.718750
2018-12-18 120.953125
2018-12-19 120.921875
Name: (LastPrice, EOD, TYZ18 COMDTY), dtype: float64
The time series can also be plotted as shown below:
future.history(field='Volume').plot()
Additional useful methods and properties of a futures contract object are the following:
Method/Property | Explanation |
.exchange_code | Exchange code for contract |
.contract_expiry_code() | Expiry code for contract |
.underlying_str | Underlying instrument |
.contract_code | Contract code of instrument |
.next_available_contract() | Next contract in futures strip |
All future contracts for a given asset are related using a futures group:
Input
Output
future_group = future.group()
future_group
TY COMDTY FUTURES GROUP <class 'sigtech.framework.instruments.futures.FuturesContractGroup'>[5457523280]
From a given futures group, all futures contracts related to the group can be queried using the following method:
Input
Output
future_group.query_instrument_names()[:5]
['TYH00 COMDTY',
'TYH01 COMDTY',
'TYH02 COMDTY',
'TYH03 COMDTY',
'TYH04 COMDTY']
You have the ability to work with back-adjusted futures series to avoid triggering spurious trading signals during the roll.
The following code block demonstrates this functionality by setting the
back_adjusted parameter to True:back_adj_future = sig.RFPriceIndex(
currency='USD',
start_date=dtm.date(2019, 1, 1),
end_date=dtm.date(2020, 6, 4),
contract_code='C ',
contract_sector='Comdty',
front_offset='-4:-1',
back_adjusted=True
)
To create strategies of futures contracts, use the building block
RollingFutureStrategy object. Last modified 4mo ago