Calculating Futures Factors from Minute Data in BigQuant

Summary

This forum answer explains a workflow limitation when calculating factors for intraday futures data in BigQuant. It says the platform’s basic feature-extraction module supports stocks, while futures factor calculations require extracting market data through a data-source module and then applying derived-feature extraction.

The answer points readers to an example workflow, but the supplied text does not include its implementation details or the error message that prompted the question. It therefore offers a useful distinction between the stock-focused basic extractor and the suggested futures pipeline, while leaving practical setup, data coverage, and validation steps unspecified.

Key ideas

• The basic feature-extraction module described in the post is limited to stocks.
• For futures factors, the suggested workflow extracts market data with a data-source module.
• Derived-feature extraction is then used to calculate factors from the extracted futures data.
• The referenced example may provide implementation detail, but it is not included in the document.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.