Dataframe: hw2:fed_funds_futures - 30-Day Fed Funds Futures

Contents

Dataframe: `hw2:fed_funds_futures` - 30-Day Fed Funds Futures#

Daily OHLCV bars for CME 30-Day Fed Funds futures, pulled from the GLBX.MDP3 dataset with parent symbology. Prices are in index points (100 minus the implied average monthly EFFR); the parent symbol also returns calendar spreads, which should be excluded when analyzing outright monthly contracts.

DataFrame Glimpse#

Rows: 11751
Columns: 7
$ date   <datetime[ns]> 2026-10-25 00:00:00
$ symbol          <str> 'ZQG7-ZQJ7'
$ open            <f64> 15.5
$ high            <f64> 16.0
$ low             <f64> 15.5
$ close           <f64> 16.0
$ volume          <u64> 333

Dataframe Manifest#

Dataframe Name	30-Day Fed Funds Futures
Dataframe ID	fed_funds_futures
Sources	CME Group
Providers	Databento
Provider Links	https://databento.com/
Tags	Federal Funds, Futures, Monetary Policy
Access Types
How is data pulled?	Databento Historical API
Data available up to (min)	2026-10-25 00:00:00
Data available up to (max)	2026-10-25 00:00:00
Dataframe Path	/Users/aarbitman/Desktop/Data Pipelines for Quantitative Research/hw2-aarbitman1228/_data/fed_funds_futures.parquet

Linked Charts:

hw2:fedwatch_latest_forecast

Pipeline Manifest#

Pipeline Name	HW 2: The Yield Curve and the Policy Path
Pipeline ID	hw2
Maintainer	Jeremiah Bejarano
Contributors	Jeremiah Bejarano
Repository	hw-finm-32800/hw2
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-10-26 12:51:03
OS Compatibility	Windows, Linux, macOS
Linked Dataframes	hw2:crsp_treasury_consolidated hw2:fed_yield_curve hw2:fed_funds_futures

Build Commands:

doit