In [2]:
from quantopian.research.experimental import history
from quantopian.research.experimental import continuous_future
#S&P500
sp = continuous_future('SP', offset=0, roll='volume', adjustment='mul')
# Pricing
sp_contract_future_pricing = history(
symbols(['SPU15', 'SPU16', 'SPU17', 'SPU18', 'SPU19', 'SPU20']),
fields='price',
frequency='daily',
start='2015-12-01',
end='2020-01-01'
)
sp_continuous_future_pricing = history(
sp,
fields='price',
frequency='daily',
start='2015-12-01',
end='2020-01-01'
)
sp_contract_future_pricing.plot()
sp_continuous_future_pricing.plot()
Out[2]:
In [3]:
#S&P500 emini
es = continuous_future('ES', offset=0, roll='volume', adjustment='mul')
es_contract_future_pricing = history(
symbols(['ESU15', 'ESU16', 'ESU17', 'ESU18', 'ESU19', 'ESU20']),
fields='price',
frequency='daily',
start='2015-12-01',
end='2020-01-01'
)
es_continuous_future_pricing = history(
es,
fields='price',
frequency='daily',
start='2015-12-01',
end='2020-01-01'
)
In [4]:
sp_contract_future_pricing.plot()
sp_continuous_future_pricing.plot()
Out[4]:
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