Our API newly supports query of combined future chain data. In request parameter 'chain_dated', you can set value '1' to get OHLC for all spot month contracts.
Please refer to the "Future (combined chain)" example at Deverloper API Doc.
Technical details please refer to secion Query Historical Market Data in Web API Doc.
Here is a simple example to implement on the Web IDE.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | from AlgoAPI import AlgoAPIUtil, AlgoAPI_Backtest import pandas as pd class AlgoEvent: def __init__(self): self.data = [] def start(self, mEvt): self.evt = AlgoAPI_Backtest.AlgoEvtHandler(self, mEvt) self.evt.start() def on_marketdatafeed(self, md, ab): if len(self.data)==0: # get last 60 closing price of the Spot month future self.data = self.evt.getHistoricalBar(contract={"instrument":"HSIFUT"}, numOfBar=40, interval="D", chain_dated=1) # make data frame df = pd.DataFrame([self.data[i] for i in self.data]) # print to console self.evt.consoleLog(df) |
From console output, we can see the 2 spot-month future contracts (i.e. expiry date 2021/04/29 and 2021/05/28) are concat in 1 time series.
