Adds EUREX bond futures definitions

cetusfinance · Jan 9, 2023 · 03fc57c · 03fc57c
1 parent 6f2e54a
commit 03fc57c
Showing 1 changed file with 185 additions and 0 deletions.
diff --git a/data/futuresettings.json b/data/futuresettings.json
@@ -11784,6 +11784,191 @@
     "LotSize": 1000000,
     "PriceMultiplier": 0.0025,
     "TickSize": 2.5E-05
+  },
+   {
+    "Names": [ "10Y Bund - Eurex", "RX", "FGBL", "5Y Bobl - Eurex", "OE", "FGBM", "2Y Schatz - Eurex", "DU", "FGBS" ],
+    "CodeConversions": {
+      "IB": {
+        "RX": "RX",
+		"OE": "OE",
+		"DU": "DU",
+      },
+      "BBG": {
+        "RX": "RX",
+		"OE": "OE",
+		"DU": "DU",
+      }
+    },
+    "ExpiryGen": {
+      "Calendar": "EUR",
+      "MonthModifier": 0,
+      "DayOfMonthToStart": 10,
+      "DayOfMonthToStartOther": null,
+      "DateOffsetModifier": "-2b",
+      "DoMToStartIsNumber": false,
+      "NeverExpires": false,
+      "FixedFuture": null
+    },
+    "RollGen": {
+      "Calendar": "EUR",
+      "MonthModifier": 0,
+      "DayOfMonthToStart": 10,
+      "DayOfMonthToStartOther": null,
+      "DateOffsetModifier": "-3b",
+      "DoMToStartIsNumber": false,
+      "NeverExpires": false,
+      "FixedFuture": null
+    },
+    "Months": [ "H", "M", "U", "Z" ],
+    "TimeZone": {
+      "Id": "Central Standard Time",
+      "DisplayName": "(UTC-06:00) Central Time (US & Canada)",
+      "StandardName": "Central Standard Time",
+      "DaylightName": "Central Daylight Time",
+      "BaseUtcOffset": "-06:00:00",
+      "AdjustmentRules": [
+        {
+          "DateStart": "0001-01-01T00:00:00",
+          "DateEnd": "2006-12-31T00:00:00",
+          "DaylightDelta": "01:00:00",
+          "DaylightTransitionStart": {
+            "TimeOfDay": "0001-01-01T02:00:00",
+            "Month": 4,
+            "Week": 1,
+            "Day": 1,
+            "DayOfWeek": 0,
+            "IsFixedDateRule": false
+          },
+          "DaylightTransitionEnd": {
+            "TimeOfDay": "0001-01-01T02:00:00",
+            "Month": 10,
+            "Week": 5,
+            "Day": 1,
+            "DayOfWeek": 0,
+            "IsFixedDateRule": false
+          },
+          "BaseUtcOffsetDelta": "00:00:00"
+        },
+        {
+          "DateStart": "2007-01-01T00:00:00",
+          "DateEnd": "9999-12-31T00:00:00",
+          "DaylightDelta": "01:00:00",
+          "DaylightTransitionStart": {
+            "TimeOfDay": "0001-01-01T02:00:00",
+            "Month": 3,
+            "Week": 2,
+            "Day": 1,
+            "DayOfWeek": 0,
+            "IsFixedDateRule": false
+          },
+          "DaylightTransitionEnd": {
+            "TimeOfDay": "0001-01-01T02:00:00",
+            "Month": 11,
+            "Week": 1,
+            "Day": 1,
+            "DayOfWeek": 0,
+            "IsFixedDateRule": false
+          },
+          "BaseUtcOffsetDelta": "00:00:00"
+        }
+      ],
+      "SupportsDaylightSavingTime": true
+    },
+    "MarketCloseTime": [ "14:00:00" ],
+    "MarketOpenRulesValidUntil": [ "9999-12-31T23:59:59.9999999" ],
+    "MarketOpenTime": [ "14:00:00" ],
+    "MarketOpenModifier": [ -1 ],
+    "MarketOpenTimeOverride": [],
+    "MarketCloseVWAPLength": [ "00:00:30" ],
+    "MarketCloseValidTo": [ "9999-12-31T23:59:59.9999999" ],
+    "MarketShutRules": [
+      {
+        "ShutWholeDay": [ 6 ],
+        "CloseWhenHolidayFollows": "16:00:00",
+        "OpenOnHolidayWhenNormalDayFollows": "17:00:00",
+        "TimeZone": {
+          "Id": "Central Standard Time",
+          "DisplayName": "(UTC-06:00) Central Time (US & Canada)",
+          "StandardName": "Central Standard Time",
+          "DaylightName": "Central Daylight Time",
+          "BaseUtcOffset": "-06:00:00",
+          "AdjustmentRules": [
+            {
+              "DateStart": "0001-01-01T00:00:00",
+              "DateEnd": "2006-12-31T00:00:00",
+              "DaylightDelta": "01:00:00",
+              "DaylightTransitionStart": {
+                "TimeOfDay": "0001-01-01T02:00:00",
+                "Month": 4,
+                "Week": 1,
+                "Day": 1,
+                "DayOfWeek": 0,
+                "IsFixedDateRule": false
+              },
+              "DaylightTransitionEnd": {
+                "TimeOfDay": "0001-01-01T02:00:00",
+                "Month": 10,
+                "Week": 5,
+                "Day": 1,
+                "DayOfWeek": 0,
+                "IsFixedDateRule": false
+              },
+              "BaseUtcOffsetDelta": "00:00:00"
+            },
+            {
+              "DateStart": "2007-01-01T00:00:00",
+              "DateEnd": "9999-12-31T00:00:00",
+              "DaylightDelta": "01:00:00",
+              "DaylightTransitionStart": {
+                "TimeOfDay": "0001-01-01T02:00:00",
+                "Month": 3,
+                "Week": 2,
+                "Day": 1,
+                "DayOfWeek": 0,
+                "IsFixedDateRule": false
+              },
+              "DaylightTransitionEnd": {
+                "TimeOfDay": "0001-01-01T02:00:00",
+                "Month": 11,
+                "Week": 1,
+                "Day": 1,
+                "DayOfWeek": 0,
+                "IsFixedDateRule": false
+              },
+              "BaseUtcOffsetDelta": "00:00:00"
+            }
+          ],
+          "SupportsDaylightSavingTime": true
+        },
+        "Calendar": "CBOT",
+        "MarketPauses": [
+          {
+            "Start": "16:00:00",
+            "End": "17:00:00"
+          }
+        ]
+      }
+    ],
+    "MarketShutRulesValidUntil": [ "9999-12-31T23:59:59.9999999" ],
+    "Options": {
+      "StrikeRounding": 0.5,
+      "Kind": 1,
+      "StrikeRule": 0,
+      "OffsetSize": null,
+      "Generator": "BONDFUT_OPT",
+      "NumberOfPeriodsToOffset": 0,
+      "PeriodToOffset": null,
+      "Strikes": [
+        {
+          "Key": 50,
+          "Value": 0.5
+        }
+      ],
+      "CBOTRules": null
+    },
+    "LotSize": 1000.0,
+    "PriceMultiplier": 0.01,
+    "TickSize": 0.015625
   },
   {
     "Names": [ "10Y US Note - CBOT", "ZN", "10Y", "US T-BOND - CBOT", "ZB" ],