Futures Contract

FuturesContract represents a dated, exchange-traded futures contract with a defined underlying, activation time, expiration time, currency, multiplier, and lot size.

Examples include equity index futures, commodity futures, interest-rate futures, and currency futures.

Fields

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required	Stored as `id` in Rust.
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`asset_class`	`AssetClass`	Required	Asset class of the underlying.
`exchange`	`Option<Ustr>`	`None`	Exchange MIC or venue code when known.
`underlying`	`Ustr`	Required	Underlying asset, index, or product.
`activation_ns`	`UnixNanos`	Required	Contract activation timestamp.
`expiration_ns`	`UnixNanos`	Required	Contract expiration timestamp.
`currency`	`Currency`	Required	Quote and settlement currency.
`price_precision`	`u8`	Required	Decimal places allowed for prices.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_precision`	`u8`	`0`	Futures trade in whole contracts.
`size_increment`	`Quantity`	`1`	Minimum contract size step.
`multiplier`	`Quantity`	Required	Contract multiplier.
`lot_size`	`Quantity`	Required	Rounded lot or contract lot size.
`margin_init`	`Option<Decimal>`	`0`	Initial margin rate.
`margin_maint`	`Option<Decimal>`	`0`	Maintenance margin rate.
`maker_fee`	`Option<Decimal>`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Option<Decimal>`	`0`	Taker fee rate. Negative values rebate.
`max_quantity`	`Option<Quantity>`	`None`	Maximum order quantity.
`min_quantity`	`Option<Quantity>`	`1`	Minimum order quantity.
`max_price`	`Option<Price>`	`None`	Maximum valid quote or order price.
`min_price`	`Option<Price>`	`None`	Minimum valid quote or order price.
`tick_scheme`	`Option<Ustr>`	`None`	Registered variable tick scheme name.
`info`	`Option<Params>`	`None`	Adapter metadata.
`ts_event`	`UnixNanos`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	Required	Initialization timestamp in nanoseconds.

</Tab> <Tab value="Python">

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`asset_class`	`AssetClass`	Required	Asset class of the underlying.
`exchange`	`str \| None`	`None`	Exchange MIC or venue code when known.
`underlying`	`str`	Required	Underlying asset, index, or product.
`activation_ns`	`int`	Required	Contract activation timestamp.
`expiration_ns`	`int`	Required	Contract expiration timestamp.
`currency`	`Currency`	Required	Quote and settlement currency.
`price_precision`	`int`	Required	Decimal places allowed for prices.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_precision`	`int`	`0`	Futures trade in whole contracts.
`size_increment`	`Quantity`	`1`	Minimum contract size step.
`multiplier`	`Quantity`	Required	Contract multiplier.
`lot_size`	`Quantity`	Required	Rounded lot or contract lot size.
`margin_init`	`Decimal \| None`	`0`	Initial margin rate.
`margin_maint`	`Decimal \| None`	`0`	Maintenance margin rate.
`maker_fee`	`Decimal \| None`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Decimal \| None`	`0`	Taker fee rate. Negative values rebate.
`max_quantity`	`Quantity \| None`	`None`	Maximum order quantity.
`min_quantity`	`Quantity \| None`	`1`	Minimum order quantity.
`max_price`	`Price \| None`	`None`	Maximum valid quote or order price.
`min_price`	`Price \| None`	`None`	Minimum valid quote or order price.
`tick_scheme`	`str \| None`	`None`	Registered variable tick scheme name.
`info`	`dict \| None`	`None`	Adapter metadata.
`ts_event`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`int`	Required	Initialization timestamp in nanoseconds.

</Tab> </Tabs>

Note: Python constructors use instrument_id; Rust stores the same value as id.

Behavior

FuturesContract has instrument class Future.
It is never inverse. Cost, settlement, and quote currency use currency.
It trades in whole contracts with size precision 0 and size increment 1.
Use CryptoFuture for dated crypto futures where the underlying and settlement currencies can differ.

Example

rust

use chrono::{TimeZone, Utc};
use nautilus_core::UnixNanos;
use nautilus_model::{
    enums::AssetClass,
    identifiers::{InstrumentId, Symbol},
    instruments::FuturesContract,
    types::{Currency, Price, Quantity},
};
use ustr::Ustr;

let activation = Utc.with_ymd_and_hms(2021, 9, 10, 0, 0, 0).unwrap();
let expiration = Utc.with_ymd_and_hms(2021, 12, 17, 0, 0, 0).unwrap();

let esz21 = FuturesContract::builder()
    .instrument_id(InstrumentId::from("ESZ21.GLBX"))
    .raw_symbol(Symbol::from("ESZ21"))
    .asset_class(AssetClass::Index)
    .exchange(Ustr::from("XCME"))
    .underlying(Ustr::from("ES"))
    .activation_ns(UnixNanos::from(activation.timestamp_nanos_opt().unwrap() as u64))
    .expiration_ns(UnixNanos::from(expiration.timestamp_nanos_opt().unwrap() as u64))
    .currency(Currency::from("USD"))
    .price_precision(2)
    .price_increment(Price::from("0.25"))
    .multiplier(Quantity::from("1"))
    .lot_size(Quantity::from("1"))
    .ts_event(UnixNanos::default())
    .ts_init(UnixNanos::default())
    .build()
    .unwrap();

python

import pandas as pd

from nautilus_trader.model import AssetClass
from nautilus_trader.model import Currency
from nautilus_trader.model import FuturesContract
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model import Symbol

esz21 = FuturesContract(
    instrument_id=InstrumentId.from_str("ESZ21.GLBX"),
    raw_symbol=Symbol("ESZ21"),
    asset_class=AssetClass.INDEX,
    underlying="ES",
    activation_ns=pd.Timestamp("2021-09-10", tz="UTC").value,
    expiration_ns=pd.Timestamp("2021-12-17", tz="UTC").value,
    currency=Currency.from_str("USD"),
    price_precision=2,
    price_increment=Price.from_str("0.25"),
    multiplier=Quantity.from_int(1),
    lot_size=Quantity.from_int(1),
    ts_event=0,
    ts_init=0,
    exchange="XCME",
)

Adapters

Representative adapters that create or consume FuturesContract instruments include:

Databento for futures reference data and market data.
Interactive Brokers for listed futures contracts.

Continuous Futures covers roll-adjusted futures series.
Crypto Future covers dated crypto futures contracts.

Futures Contract

Futures Contract

Fields

Behavior

Example

Adapters

Related guides