Futures Test

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()

#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'
)

sp_contract_future_pricing.plot()
sp_continuous_future_pricing.plot()