FuturesChain

QuantConnect.Data.Market.FuturesChain

FuturesChain(
    canonical_future_symbol: Union[
        Symbol, str, BaseContract, Security
    ],
    time: Union[datetime, date],
    flatten: bool = True,
)

FuturesChain(
    canonical_future_symbol: Union[
        Symbol, str, BaseContract, Security
    ],
    time: Union[datetime, date],
    contracts: List[FutureUniverse],
    flatten: bool = True,
)

Bases: BaseChain[FuturesContract, FuturesContracts, QuantConnect_Data_Market_FuturesChain, FuturesChainFilterUniverse], IFutureContractFilters[QuantConnect_Data_Market_FuturesChain]

The futures chain filters, the same ones the futures universe selection offers, see IFutureContractFilters{TSelf}. The filters shared with the option chains live in BaseChain{T, TContractsCollection, TSelf, TUniverse}. Each filter returns a new chain, leaving this one untouched

Initializes a new instance of the FuturesChain class

Parameters:

Name	Type	Description	Default
canonical_future_symbol	Union[Symbol, str, BaseContract, Security]	The symbol for this chain.	required
time	Union[datetime, date]	The time of this chain	required
flatten	bool	Whether to flatten the data frame	True
contracts	Optional[List[FutureUniverse]]	The list of contracts that form this chain	None

underlying

underlying: BaseData

Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar

ticks

ticks: Ticks

Gets all ticks for every option contract in this chain, keyed by option symbol

trade_bars

trade_bars: TradeBars

Gets all trade bars for every option contract in this chain, keyed by option symbol

quote_bars

quote_bars: QuoteBars

Gets all quote bars for every option contract in this chain, keyed by option symbol

contracts

contracts: (
    QuantConnect_Data_Market_BaseChain_TContractsCollection
)

Gets all contracts in the chain, keyed by option symbol

filtered_contracts

filtered_contracts: HashSet[Symbol]

Gets the set of symbols that passed the Option.ContractFilter

data_frame

data_frame: Any

The data frame representation of the option chain

count

count: int

The number of contracts in this chain

clone

clone() -> BaseData

Return a new instance clone of this object, used in fill forward

Returns:

Type	Description
BaseData	A clone of the current object.

contract_months

contract_months(months: List[int]) -> FuturesChain

Selects the contracts whose contract month is any of the given months of the year, like expiration_cycle but by the contract month, the month the contract is named after, which for some products, e.g. crude oil, is the month after the expiration month. Same as BaseFutureFilterUniverse{TUniverse, TData}.ContractMonths

Parameters:

Name	Type	Description	Default
months	List[int]	Months of the year to select contracts from, see FutureExpirationCycles	required

Returns:

Type	Description
FuturesChain	A new chain with the filter applied.

create_chain

create_chain(
    contracts: List[FuturesContract],
) -> FuturesChain

Creates a copy of this chain with only the given contracts

This Class is protected.

Parameters:

Name	Type	Description	Default
contracts	List[FuturesContract]	The contracts to keep	required

create_filter_universe

create_filter_universe() -> FuturesChainFilterUniverse

Creates the filter universe over the contracts of this chain

This Class is protected.

expiration_cycle

expiration_cycle(months: List[int]) -> FuturesChain

Selects the contracts expiring in any of the given months of the year. Same as BaseFutureFilterUniverse{TUniverse, TData}.ExpirationCycle

Parameters:

Name	Type	Description	Default
months	List[int]	Months to select contracts from, see FutureExpirationCycles	required

Returns:

Type	Description
FuturesChain	A new chain with the filter applied.

expiration

expiration(
    min_expiry: timedelta, max_expiry: timedelta
) -> QuantConnect_Data_Market_BaseChain_TSelf

expiration(
    min_expiry_days: int, max_expiry_days: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

expiration(
    expiries: List[datetime],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Signature descriptions:

• Selects the contracts expiring in the given range relative to the chain date. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(TimeSpan, TimeSpan)

• Selects the contracts expiring in the given range of days relative to the chain date. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(int, int)

• Selects the contracts expiring on any of the given dates. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(IEnumerable{DateTime})

Parameters:

Name	Type	Description	Default
min_expiry	Optional[timedelta]	The minimum time until expiry to include, for example, TimeSpan.FromDays(10)	None
max_expiry	Optional[timedelta]	The maximum time until expiry to include, for example, TimeSpan.FromDays(10)	None
min_expiry_days	Optional[int]	The minimum time, expressed in days, until expiry to include, for example, 10	None
max_expiry_days	Optional[int]	The maximum time, expressed in days, until expiry to include, for example, 10	None
expiries	Optional[List[datetime]]	The expiration dates	None

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

back_month

back_month() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of the second nearest expiration. Same as ContractSecurityFilterUniverse{T, TData}.BackMonth

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

back_months

back_months() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of all expirations but the nearest one. Same as ContractSecurityFilterUniverse{T, TData}.BackMonths

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

expiring_after

expiring_after(
    date: Union[datetime, date],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring after the given date, excluding it. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.ExpiringAfter

Parameters:

Name	Type	Description	Default
date	Union[datetime, date]	The date the expirations must be after	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

expiring_before

expiring_before(
    date: Union[datetime, date],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring before the given date, excluding it. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.ExpiringBefore

Parameters:

Name	Type	Description	Default
date	Union[datetime, date]	The date the expirations must be before	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

farthest_expiration

farthest_expiration() -> (
    QuantConnect_Data_Market_BaseChain_TSelf
)

Selects the contracts of the farthest expiration. Same as ContractSecurityFilterUniverse{T, TData}.FarthestExpiration

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

front_month

front_month() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of the nearest expiration. Same as ContractSecurityFilterUniverse{T, TData}.FrontMonth

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

oi

oi(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with open interest in the given range. Alias for open_interest

Parameters:

Name	Type	Description	Default
min	int	The minimum open interest value	required
max	int	The maximum open interest value	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

open_interest

open_interest(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with open interest in the given range. Same as ContractSecurityFilterUniverse{T, TData}.OpenInterest

Parameters:

Name	Type	Description	Default
min	int	The minimum open interest value	required
max	int	The maximum open interest value	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

standards_only

standards_only() -> (
    QuantConnect_Data_Market_BaseChain_TSelf
)

Selects the standard contracts in the chain. Unlike ContractSecurityFilterUniverse{T, TData}.StandardsOnly, it applies to the contracts already selected, so it can be combined with the expiry filters in any order

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

volume

volume(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with volume in the given range. Same as ContractSecurityFilterUniverse{T, TData}.Volume

Parameters:

Name	Type	Description	Default
min	int	The minimum volume	required
max	int	The maximum volume	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

weeklys_only

weeklys_only() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the non standard contracts in the chain. Unlike ContractSecurityFilterUniverse{T, TData}.WeeklysOnly, it applies to the contracts already selected, so it can be combined with the expiry filters in any order

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

zero_dte

zero_dte() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring today. Same as ContractSecurityFilterUniverse{T, TData}.ZeroDte

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

get_aux

get_aux(
    symbol: Union[Symbol, str, BaseContract, Security],
) -> QuantConnect_Data_Market_BaseChain_GetAux_TAux

get_aux() -> (
    DataDictionary[
        QuantConnect_Data_Market_BaseChain_GetAux_TAux
    ]
)

Signature descriptions:

• Gets the auxiliary data with the specified type and symbol

• Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Parameters:

Name	Type	Description	Default
symbol	Optional[Union[Symbol, str, BaseContract, Security]]	The symbol of the auxiliary data	None

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_GetAux_TAux | DataDictionary[QuantConnect_Data_Market_BaseChain_GetAux_TAux]	Depends on the signature used. Case 1: [The last auxiliary data with the specified type and symbol.]; Case 2: [A dictionary containing all auxiliary data of the specified type.]

get_aux_list

get_aux_list(
    symbol: Union[Symbol, str, BaseContract, Security],
) -> List[
    QuantConnect_Data_Market_BaseChain_GetAuxList_TAux
]

get_aux_list() -> Dictionary[Symbol, List[BaseData]]

Signature descriptions:

• Gets a list of auxiliary data with the specified type and symbol

• Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Parameters:

Name	Type	Description	Default
symbol	Optional[Union[Symbol, str, BaseContract, Security]]	The symbol of the auxiliary data	None

Returns:

Type	Description
List[QuantConnect_Data_Market_BaseChain_GetAuxList_TAux] | Dictionary[Symbol, List[BaseData]]	Depends on the signature used. Case 1: [The list of auxiliary data with the specified type and symbol.]; Case 2: [A dictionary containing all auxiliary data of the specified type.]

__contains__

__contains__(
    key: Union[Symbol, str, BaseContract, Security],
) -> bool

Checks if the chain contains a contract with the specified symbol

Parameters:

Name	Type	Description	Default
key	Union[Symbol, str, BaseContract, Security]	The symbol of the contract to check for	required

Returns:

Type	Description
bool	True if the chain contains a contract with the specified symbol; otherwise, false.

__iter__

__iter__() -> (
    Iterator[QuantConnect_Data_Market_BaseChain_T]
)

__len__

__len__() -> int

contains_key

contains_key(
    key: Union[Symbol, str, BaseContract, Security],
) -> bool

Checks if the chain contains a contract with the specified symbol

Parameters:

Name	Type	Description	Default
key	Union[Symbol, str, BaseContract, Security]	The symbol of the contract to check for	required

Returns:

Type	Description
bool	True if the chain contains a contract with the specified symbol; otherwise, false.

filter

filter(
    filter: Callable[
        [QuantConnect_Data_Market_BaseChain_TUniverse],
        QuantConnect_Data_Market_BaseChain_TUniverse,
    ],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Applies the given universe filter to the contracts of this chain and returns the result as a new chain

This Class is protected.

Parameters:

Name	Type	Description	Default
filter	Callable[[QuantConnect_Data_Market_BaseChain_TUniverse], QuantConnect_Data_Market_BaseChain_TUniverse]	The universe filter to apply	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

get_enumerator

get_enumerator() -> (
    IEnumerator[QuantConnect_Data_Market_BaseChain_T]
)

Returns an enumerator that iterates through the collection.

Returns:

Type	Description
IEnumerator[QuantConnect_Data_Market_BaseChain_T]	An enumerator that can be used to iterate through the collection.

where

where(
    predicate: Any,
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts matching the given predicate, e.g. chain.where(lambda contract: contract.open_interest > 100). From C# use Linq's Where, which keeps this chain's type untouched

Parameters:

Name	Type	Description	Default
predicate	Any	Function determining which contracts are kept	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.