What market data are currently available?

We currently provide daily market data for 80 major futures contracts, starting from 1999. Those contracts are automatically rolled, adjusted and cleaned up.

How are futures contracts rolled?

Futures contracts are unique in the fact that they have an expiry date. If you want to trade such an instrument, things can get a little awkward when nearing the term of the contract, as the volume of trades dramatically decreases.

Instead, we offer continuous series built from contracts whose prices have been adjusted to eliminate the gaps between expiring and newly active contracts. The idea of rolled contracts means concatenating historical contracts into the past, while applying adjustments to smooth transitions between contracts.

What do you mean by cleaning up?

Even the most advanced providers of market data have errors in the values they provide. For technical reasons, they sometimes have no values, or even completely wrong ones.

Before you get a hold of the market data, we cross-check values from multiple sources. The data are manually examined and adjusted until consistent.

How can I select which instruments my strategy runs on?

In your strategy code, replace the name inside the @Instruments() block, for instance to use FTSE, the block should look like this:

@Instruments(futures = FTSE)

You can even use multiple instruments at once. The block will look a little different then. For instance to use CAC_40 along with FTSE, use

@Instruments(futures = { CAC_40, FTSE })

Expand the list as needed.

If you are using Eclipse to design your strategy, you can type Futures. (including the period) and then press Ctrl+Space to obtain the full list of available futures. This implies that the Futures class is imported at the beginning of the source file, as it is the case in the samples, with the line com.algodeal.data.marketData.instruments.Futures.*.

To get the complete list of supported futures, check out the Futures class in the Market Runner API documentation. After downloading Market Runner, browse to the apidocs directory and open index.html in your web browser. Look for an entry on the left-hand side called Futures. This is the Java enumeration that lists all currently available instruments.