Futures

Quantnet provides data for 39 global derivatives. The underlying assets are currencies, cross-rates, indices, bonds, energy and metals from the world“s futures exchanges.

List of futures

One can download information about available futures:

import qnt.data as qndata
future_list = qndata.load_futures_list()

For each futures, brief information is provided:

fut_list[0]

{'id': 'ZN', 'name': '10-Year T-Note Futures'}

You can find the complete list by the link

Underlying Asset Data

Suppose we want to download the data for the last 5 years. One can use the following function:

import qnt.data    as qndata
import datetime    as dt

futures_data = qndata.load_futures_data(tail = dt.timedelta(days = 5*365),
                        forward_order = True)

futures_open = futures_data.sel(field="open")
futures_close = futures_data.sel(field="close")
futures_high = futures_data.sel(field="high")
futures_low = futures_data.sel(field="low")
volume_day = futures_datasel(field="vol")
open_interest = futures_data.sel(field="oi")
contracts_roll_over = futures_data.sel(field="roll")

Data labels	Description
open	Price at the time of the opening of the exchange.
close	Closing price.
high	Highest daily price.
low	Lowest price.
vol	Daily trading volume. The number of trades executed per day.
oi	The number of futures contracts currently in circulation in the market.
roll	Futures contracts Rollover.

Let“s say we are interested in British pound futures. They allow traders to assess the value of the pounds sterling against the US dollar, as well as the ability to reduce the risk of fluctuations in exchange rates in other foreign trade markets.

Thus, the array of interest with daily data on the currency pair at the close of the exchange looks like this:

GBP_USD = fut_data.sel(asset = '6B').sel(field = 'close')

One might want to visualize the data.

import plotly.graph_objs as go         # lib for charts
trend_fig = [
    go.Scatter(
        x = GBP_USD.to_pandas().index,
        y = GBP_USD,
        line = dict(width=1,color='black'))]

# draw chart
fig = go.Figure(data = trend_fig)
fig.update_yaxes(fixedrange=False) # unlock vertical scrolling
fig.show()