Data for Futures

[news-quantiacs]

Dear all,

as we mentioned last week, we have been restructuring our data offer.

The Futures BTC contract has been replaced by the spot BTC one, active 7 days per week.

For the other Futures we are now providing a set of 71 assets which can be inspected by using:

import qnt.data as qndata
future_list = qndata.futures.load_list()
future_list

Unfortunately we have been notified that a new CME Group Data Licensing Policy is in place. This policy affects distribution of Historical Information for Futures contracts and is available at this link.

Distribution of CME historical data is at the moment not possible for Quantiacs for 2 reasons:

• the new license implies yearly fees of 30,000 USD for each exchange of the CME group (COMEX, NYMEX, CBOT, CME). This means that Quantiacs should sustain additional recurrent costs of 120,000 USD on top of other data costs we already have.

• the requested reporting requirements are not compatible with our project, as each month Quantiacs should report the names and addresses of all individual users accessing the data Quantiacs is providing.

As Quantiacs focuses on providing quants with free historical data (no cost for the quants at all) and respecting the privacy of the users, we decided to replace the CME Futures contracts with Futures contracts from other international exchanges.

In some cases we did not find suitable alternatives and we have performed other replacements.

• Futures FX data have been replaced by FX data, with a matching procedure with Futures timestamps. In other words, open/close values are taken at the open/close of the Futures exchange.

• We have replaced some Futures with analogue ETFs:

F_BO: WisdomTree Soybean Oil
F_S: Wisdom Tree Soybeans
F_CL: US Oil Fund
F_PA: Aberdeen Palladium
F_PL: Aberdeen Platinum
F_TU: iShares 1-3 Years Treasury Bond
F_FV: iShares 3-7 Years Treasury Bond
F_TY: iShares 7-10 Years Treasury Bond
F_US: iShares US Treasury Bond
F_MD: iShares Core S&P MidCap
F_NQ: Invesco QQQ (Nasdaq 100)
F_YM: SPDR DJIA
F_NY: iShares MSCI Japan
F_ES: SPDR S&P500

• For some illiquid Futures we did not fund suitable replacements:

F_FC: Feeder Cattle
F_LB: Lumber
F_LC: Live Cattle
F_LN: Lean Hogs
F_NR: Rough Rice
F_O: Oats
F_SM: Soybean Meal
F_ZQ: 30day Fed Funds

As most of them are agricultural, we introduced a new ETF symbol:

F_AG: Invesco DB Agriculture Fund

If you would like to see some new asset, please let us know!

[captain.nidoran]

@news-quantiacs so is this going to be the final full list of futures availables for Q15?
Or do you have any other change in mind which could affect to the submissions in the next days?
Thanks in advance
Luis.

[support]

@captain-nidoran We would like to add more assets in the next days, without removing any of the current assets.

Please note that all the past submissions you and other quants made before the data update are still running on the previous dataset, and they are eligible for the Q15 as they were submitted.

So adding assets is never affecting existing submissions, as each submission is bound to the dataset used for developing and submitting.

[antinomy]

@support I'm having trouble getting the new data in my local environment. My qnt version is 0.0.255 and I use the following request

import qnt.data as qndata

futures_list = qndata.futures.load_list()
futures_data = qndata.futures.load_data(tail=365)
len(futures_list), len(futures_data.asset)

The first output was
(31, 31)
After I deleted all files in the data-cache folder I got
(71, 31)
So I now have the full updated list but not the data. Is there anything else I can do?

[support]

@antinomy

Hello.

Remove the folder data-cache and try again.

It should be ok now.

Regards.

[antinomy]

@support Yes, it's working now. Thanks!

[captain.nidoran]

Hi again @support,
All my past submissions have recently disappeared from the competition >candidates tab, how can I select them for the futures context?
Or will they participate automatically in parallel over the original datasets as you explained before? In this case, how could I monitor them during the evaluation period?
Thanks one more time

[support]

@captain-nidoran

Hello.

We are making some changes before starting competitions, it affected the statuses of some submissions and they became invisible on the client side. Now it should be ok.

We carefully preserve users' data, we are making backups every day. So in the worst case of data loss, we are able to restore most data from these backups. Don't worry a lot. And thank you for the report.

Regards.