Futures

This page shows how to create and work with individual future contracts on the platform.

Learn more: Rolling Future Strategy | Example notebooks

Environment

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()

Learn more: Setting up the environment

Futures instrument

To pull a treasury future instrument object from our object factory:

Input

future = sig.obj.get('TYZ18 COMDTY')
future

Output

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

future.activity_fields, future.history_fields

Output

(['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

future.history().tail()

Output

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

Futures group

All future contracts for a given asset are related using a futures group:

Input

future_group = future.group()
future_group

Output

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

future_group.query_instrument_names()[:5]

Output

['TYH00 COMDTY',
 'TYH01 COMDTY',
 'TYH02 COMDTY',
 'TYH03 COMDTY',
 'TYH04 COMDTY']

Back-adjusted futures prices

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
)

Creating strategies

To create strategies of futures contracts, use the building block RollingFutureStrategy object.

For further information on RollingFutureStrategy, see Rolling Future Strategy.