Crypto Futures support

[mortzi]

Hello,

Now that Lean supports Binance, should we expect Binance futures to be supported?

I have no idea how hard it is to support binance futures. Is there a plan to support?

I am also willing to help with the coding

[Martin-Molinero]

Hey @mortzi !

It's not in the immediate plans but we do welcome contributions. We are currently working on continuous future support. Some notes of TODOs (there could be more):

• new symbols

  • add new entries for market hours and symbol properties data base https://github.com/QuantConnect/Lean/tree/master/Data

• new futures

  • update FuturesExpiryFunctions

• new security type

  • does it fit into existing Future security type modelling behavior? are crypto futures different somehow? BuyingPowerModel
  • create new CryptoFuture (probably this one)

• brokerage changes

  • Fee model updates, see BitfinexBrokerageModel BinanceBrokerageModel GDAXBrokerageModel
    • wallet -> GetAccountHoldings
    • orders -> GetOpenOrders
  • History requests
    • At brokerage level for live trading GetHistory
    • Downloader (Toolbox) IDataDownloader
  • Live future chain provider IDataQueueUniverseProvider
    • for a given canonical symbol fetches all the future chain

• Map & factor files for continuous futures

• Example algorithms Py/C#

• QCAlgorithm API layer updates

Nice to check PRs adding support for new assets Adds Indexes and Index Options, Adds Futures Options

[waqarulhaq129]

There is a python library by name of "Python-Binance" It provides Futures Support

[mortzi]

@waqarulhaq129 There are libraries in dotnet too. But I am not sure if it can be imported in.

[namomieshishen]

Anyone actively working on this?

[imcu]

Hi @namomieshishen. Yes, I am working on it. First code push, very much a work in progress is here https://github.com/QuantConnect/Lean/compare/master...imcu:Lean:feature-6002-crypto-futures#diff-eb62a7ea8b8724cd6eba748dbc2ecc137d42f5a12451d2059853a5c134416403R645

[stbbwolficloud]

Hi @imcu, is this still being worked on actively please? Could you please kindly provide a guesstimate of eta? Thanks a lot in advance!

[HeyMrRobot]

Hi @namomieshishen. Yes, I am working on it. First code push, very much a work in progress is here https://github.com/QuantConnect/Lean/compare/master...imcu:Lean:feature-6002-crypto-futures#diff-eb62a7ea8b8724cd6eba748dbc2ecc137d42f5a12451d2059853a5c134416403R645

Seems like you writing for FTX :/

[bgreni]

Also curious for any updates on this? Currently a major blocker for me to be able to use the platform.

[imcu]

Hi guys, this is currently paused. There were a lot more changes that needed to be added for QC to support crypto futures and the initial work was done for FTX, which makes it a bit redundant at the moment.