Python Script to see which contract has the most volume - Matlab, R project and Python | futures io social day trading
futures io futures trading

Python Script to see which contract has the most volume
Updated: Views / Replies:701 / 1
Created: by Aufidius Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools Search this Thread

Python Script to see which contract has the most volume

  #1 (permalink)
Elite Member
Futures Experience: Advanced
Platform: NinjaTrader , Multicharts and my own system
Favorite Futures: Futures
Posts: 294 since Feb 2015
Thanks: 19 given, 458 received

Python Script to see which contract has the most volume

I always forget to rollover contracts so I wrote a simple python script that looks at the front month/following month to see which contract has the most volume and emails me when this shift happens. The CHRIS futures database in Quandl is free so you just have to get your own API key.

import Quandl
from datetime import datetime
from datetime import timedelta

today =
yesterday = - timedelta(hours=72)
authtoken=<your api key here>

contracts = [('CHRIS/CME_RB1','CHRIS/CME_RB2'),('CHRIS/CME_CL1','CHRIS/CME_CL2'),
for contract in contracts:
    frontMonth = Quandl.get(contract[0], trim_start=yesterday.strftime('%Y-%m-%d'),
    nextMonth = Quandl.get(contract[1], trim_start=yesterday.strftime('%Y-%m-%d'),
    if(contract[0].__contains__('VX') == False):
        if(nextMonth['Volume'][-1] > frontMonth['Volume'][-1]):
            print('%s has the most volume' % contract[1])
        if(nextMonth['Total Volume'][-1] > frontMonth['Total Volume'][-1]):
            print('%s has the most volume' % contract[1])

Reply With Quote
The following 7 users say Thank You to Aufidius for this post:
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


futures io > > > > Python Script to see which contract has the most volume

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

Wyckoff Hunting for Great Risk/Reward Ratio w/Gary Fullett

Elite only

Digging into the Details of iSystems w/Stage 5 & iSystems

Jun 5

Similar Threads
Thread Thread Starter Forum Replies Last Post
Python and QuickFIX Branzol Matlab, R project and Python 39 September 12th, 2017 07:48 AM
No one really trades futures contract using daily chart due to changes on contract? Azharr Beginners and Introductions 2 September 29th, 2013 11:14 PM
Needed.Color coded script for ema(changes from red to green with trend)&Volume ind. Rad4633 NinjaTrader 5 October 16th, 2012 02:24 PM
In AutoTrading is a phantom (dummy) contract and a live (replay) contract possible? rpm123 Traders Hideout 7 October 15th, 2012 03:43 PM
Futures Contract Specifications - How long is the life of a contract ? trendisyourfriend Traders Hideout 11 November 14th, 2010 09:34 AM

All times are GMT -4. The time now is 07:22 AM.

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-05-21 in 0.07 seconds with 19 queries on phoenix via your IP