Tradovate Futures Broker Setup

Article Lumibot

Summary

The guide explains how to connect Tradovate, a futures broker with access to CME Group markets, to the Lumibot trading framework. It lists the API credentials and environment settings needed for paper or live trading, then shows supported pairings with independent market data providers. A key operational point is that Tradovate does not supply market data, so users must configure and pay for a separate feed.

It also describes using continuous futures assets so the framework can manage contract rolls and expirations, gives examples of commonly traded futures symbols, and outlines a basic strategy workflow. The guide flags practical constraints including futures-only support, API rate limits, margin, trading hours, and Central Time handling. It is an integration and configuration reference, not a trading strategy or performance study; it supplies no evidence about data quality, execution outcomes, or profitability. Users still need to confirm current API requirements and data-provider coverage for their instruments.

Key ideas

Tradovate is presented as a futures broker, while market data must come from a separately configured provider.
The guide lists API credentials and settings for paper and live configurations.
Lumibot continuous futures assets are recommended to handle contract rolls and expirations.
The guide notes requirements involving market data costs, margin, API limits, and futures-only support.
The material explains setup and integration but provides no strategy results or performance evidence.

Tags

Futures Execution Market microstructure

Full text

# brokers.tradovate


Tradovate
===================================

.. meta::
   :description: Tradovate does not provide market data. You must use a separate data source for live trading.

.. important::
   
   **Tradovate does not provide market data.** You must use a separate data source for live trading. Recommended data sources include DataBento, ProjectX, or Interactive Brokers (all support futures data).

Tradovate is a futures broker that provides access to CME Group markets. This guide will help you set up Tradovate with Lumibot for futures trading.

Getting Started
---------------

To get started with Tradovate, you'll need:

1. A Tradovate account (create one at `tradeovate.com <https://www.tradeovate.com/>`_)
2. API credentials from your Tradovate dashboard
3. A separate data source for market data

Obtaining API Credentials
-------------------------

1. Log into your Tradovate account
2. Navigate to the API section in your dashboard
3. Create a new API application to get your credentials
4. Note down your:
   - Username
   - Dedicated Password (for API access)
   - CID (Client ID)
   - Secret

Required Environment Variables
------------------------------

.. list-table:: Required Tradovate Environment Variables
   :header-rows: 1
   :widths: 40 60

   * - Variable
     - Description
   * - ``TRADOVATE_USERNAME``
     - Your Tradovate username
   * - ``TRADOVATE_DEDICATED_PASSWORD``
     - Your dedicated API password (not your login password)
   * - ``TRADOVATE_CID``
     - Your Client ID from Tradovate API dashboard
   * - ``TRADOVATE_SECRET``
     - Your Secret from Tradovate API dashboard

Optional Environment Variables
------------------------------

.. list-table:: Optional Tradovate Environment Variables
   :header-rows: 1
   :widths: 40 60

   * - Variable
     - Description
   * - ``TRADOVATE_IS_PAPER``
     - Set to ``true`` for demo trading, ``false`` for live (default: ``true``)
   * - ``TRADOVATE_APP_ID``
     - Application identifier (default: ``Lumibot``)
   * - ``TRADOVATE_APP_VERSION``
     - Application version (default: ``1.0``)
   * - ``TRADOVATE_MD_URL``
     - Market data URL override (not recommended)

Configuration Examples
----------------------

**Paper Trading Configuration:**

.. code-block:: bash

   # Required credentials
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # Use paper trading (default)
   TRADOVATE_IS_PAPER=true

   # Set Tradovate as broker with separate data source
   TRADING_BROKER=tradovate
   DATA_SOURCE=databento  # or projectx, ibrest, ib

**Live Trading Configuration:**

.. code-block:: bash

   # Required credentials
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # Enable live trading
   TRADOVATE_IS_PAPER=false

   # Set Tradovate as broker with separate data source
   TRADING_BROKER=tradovate
   DATA_SOURCE=databento

Broker + Data Source Combinations
----------------------------------

Since Tradovate doesn't provide market data, you must configure a separate data source. Here are the supported combinations:

**Tradovate + DataBento (Recommended for Futures)**

.. code-block:: bash

   # Tradovate broker
   TRADING_BROKER=tradovate
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # DataBento data source
   DATA_SOURCE=databento
   DATABENTO_API_KEY=your_databento_key

**Tradovate + ProjectX**

.. code-block:: bash

   # Tradovate broker
   TRADING_BROKER=tradovate
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # ProjectX data source
   DATA_SOURCE=projectx
   PROJECTX_TOPONEFUTURES_API_KEY=your_projectx_key
   PROJECTX_TOPONEFUTURES_USERNAME=your_projectx_username
   PROJECTX_FIRM=toponefutures

**Tradovate + Interactive Brokers (REST API)**

.. code-block:: bash

   # Tradovate broker
   TRADING_BROKER=tradovate
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # Interactive Brokers data source (REST API)
   DATA_SOURCE=ibrest
   IB_USERNAME=your_ib_username
   IB_PASSWORD=your_ib_password

**Tradovate + Interactive Brokers (Legacy TWS)**

.. code-block:: bash

   # Tradovate broker
   TRADING_BROKER=tradovate
   TRADOVATE_USERNAME=your_username
   TRADOVATE_DEDICATED_PASSWORD=your_api_password
   TRADOVATE_CID=your_client_id
   TRADOVATE_SECRET=your_secret_key

   # Interactive Brokers data source (Legacy TWS)
   DATA_SOURCE=ib
   INTERACTIVE_BROKERS_IP=127.0.0.1
   INTERACTIVE_BROKERS_PORT=7497
   INTERACTIVE_BROKERS_CLIENT_ID=1

Running Your Strategy
---------------------

**Method 1: Using Environment Variables (Recommended)**

Set your environment variables as shown above, then run your strategy:

.. code-block:: python

   from lumibot.strategies import Strategy
   from lumibot.traders import Trader
   from lumibot.entities import Asset

   class MyFuturesStrategy(Strategy):
       def initialize(self):
           self.sleeptime = "1M"  # Run every minute
           # Use continuous futures contracts (recommended approach)
           self.asset = Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE)

       def on_trading_iteration(self):
           # Your futures trading logic here
           price = self.get_last_price(self.asset)
           self.log_message(f"{self.asset.symbol} price: {price}")

   # Strategy will automatically use Tradovate + DataBento from environment
   strategy = MyFuturesStrategy()
   trader = Trader()
   trader.add_strategy(strategy)
   trader.run_all()

Futures Symbol Format
----------------------

When trading futures with Tradovate, use Lumibot's continuous futures format with Asset objects:

.. code-block:: python

   from lumibot.entities import Asset

   # Recommended approach - continuous futures
   mes_asset = Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE)  # Micro E-mini S&P 500
   es_asset = Asset("ES", asset_type=Asset.AssetType.CONT_FUTURE)    # E-mini S&P 500
   nq_asset = Asset("NQ", asset_type=Asset.AssetType.CONT_FUTURE)    # E-mini NASDAQ
   ym_asset = Asset("YM", asset_type=Asset.AssetType.CONT_FUTURE)    # E-mini Dow

.. list-table:: Common Futures Symbols
   :header-rows: 1
   :widths: 30 70

   * - Symbol
     - Description
   * - ``MES``
     - Micro E-mini S&P 500 futures
   * - ``ES``
     - E-mini S&P 500 futures
   * - ``NQ``
     - E-mini NASDAQ futures  
   * - ``YM``
     - E-mini Dow futures
   * - ``RTY``
     - E-mini Russell 2000 futures
   * - ``CL``
     - Crude Oil futures
   * - ``GC``
     - Gold futures
   * - ``ZN``
     - 10-Year Treasury Note futures

.. note::
   
   Using continuous futures (``CONT_FUTURE``) is recommended as Lumibot automatically handles contract rollover and expiration dates.

Important Notes
---------------

1. **No Market Data**: Tradovate does not provide market data. You must configure a separate data source.

2. **Data Source Pricing**: You'll need to pay for market data through your chosen data source (DataBento, ProjectX, etc.).

3. **Futures Only**: Tradovate specializes in futures contracts. Stocks and options are not supported.

3. **Paper vs Live**: Always start with paper trading (``TRADOVATE_IS_PAPER=true``) to test your strategies.

4. **API Limits**: Be aware of Tradovate's API rate limits. Lumibot handles this automatically, but excessive requests may be throttled.

5. **Account Requirements**: Ensure your Tradovate account has sufficient margin for futures trading.

6. **Timezone**: Tradovate operates in US Central Time. Lumibot handles timezone conversions automatically.

Troubleshooting
---------------

**Authentication Issues**

- Verify your credentials are correct
- Ensure you're using the dedicated API password, not your login password
- Check that your CID and Secret match your API application

**Connection Problems**

- Confirm your internet connection is stable
- Check if Tradovate's API is experiencing downtime
- Verify your account is in good standing

**Data Issues**

- Remember that Tradovate doesn't provide market data
- Ensure your separate data source is properly configured
- Check that your data source supports the symbols you're trading

**Trading Issues**

- Verify your account has sufficient margin
- Check that you're trading during market hours
- Ensure the contract symbols are correctly formatted

For additional support, consult the `Tradovate API documentation <https://api.tradeovate.com/>`_ or contact Tradovate support directly.

Shown in full with attribution under the source's licence. Licence: GPL-3.0

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

Configuring Tradovate as a Futures Broker with Separate Market Data

Summary

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