Futures markets (CME, ICE, EUREX) are the preferred venue for professional quantitative traders. They offer deep liquidity, 23-hour trading sessions, and extreme capital efficiency. However, they also require a high degree of precision; because a single "Tick" has a specific dollar value, execution errors that are minor in the equity world can be devastating in futures.
AlgoLift replays CME's full order data for the E-mini S&P 500 (ES) and E-mini Nasdaq 100 (NQ): every print, with the order book behind it.
Understanding Tick-Based Logic
In futures, price does not move in "pennies"—it moves in Ticks.
- Contract Specs: An ES (S&P 500) tick is 0.25 points, worth $12.50. An NQ (Nasdaq) tick is 0.25 points, worth $5.00.
- AlgoLift Precision: Our engine doesn't just calculate percentage moves; it calculates Tick Distance. When you set a stop loss or profit target in the Builder, you can define it in ticks, ensuring your risk management aligns perfectly with the exchange's price ladder.
Session Management: RTH vs. ETH
Futures trade nearly 24 hours a day, but the "Regime" changes drastically between sessions.
- RTH (Regular Trading Hours): High volume, tight spreads, and aggressive institutional participation (09:30 to 16:00 New York time).
- ETH (Extended Trading Hours): Lower volume and "thinner" books, where price action can be more erratic.
- AlgoLift Implementation: Use a Time Window node to restrict your strategy to specific sessions, on New York time (ET). Its presets cover RTH (09:30 to 16:00) and, for futures, the Overnight, Asia and London sessions. Many robust futures systems only trade the "Morning Drive" (09:30 to 11:00 ET, the first 90 minutes of RTH) to ensure they are filled in the highest liquidity window.
Contract Rollover & Continuous Data
Futures contracts expire every quarter. Trading an expired contract results in zero liquidity.
AlgoLift provides Back-Adjusted Continuous Contracts. Our data engine automatically handles the "Rollover" between contract months, ensuring your historical indicators remain smooth and your backtest isn't skewed by the artificial price gaps that occur during contract expiration.
Micro-Futures
Micro E-mini contracts (MES, MNQ) trade the same indexes at a tenth of the size, which suits smaller accounts. AlgoLift doesn't hold micro data yet: a strategy tested on ES or NQ shows the same moves in points, at ten times the dollars per contract.