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Futures update
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@gavbrennan
gavbrennan committed Apr 8, 2021
1 parent 210f61c commit 36bc4e1
Showing 1 changed file with 360 additions and 6 deletions.
366 changes: 360 additions & 6 deletions data/futuresettings.json
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Original file line number Diff line number Diff line change
Expand Up @@ -9465,7 +9465,8 @@
"LotSize": 125000.0,
"PriceMultiplier": 1.0,
"TickSize": 0.0001
}, {
},
{
"Names": ["GBP", "British Pound - CME"],
"CodeConversions": {
"IB": {
Expand Down Expand Up @@ -9641,7 +9642,185 @@
"LotSize": 62500.0,
"PriceMultiplier": 1.0,
"TickSize": 0.0001
}, {
},
{
"Names": ["RUB", "Russian Ruble - CME"],
"CodeConversions": {
"IB": {
"RUB": "6R"
},
"BBG": {
"RUB": "RU"
},
},
"ExpiryGen": {
"Calendar": "CME",
"MonthModifier": 0,
"DayOfMonthToStart": 15,
"DayOfMonthToStartOther": null,
"DateOffsetModifier": "-0b",
"DoMToStartIsNumber": true,
"NeverExpires": false,
"FixedFuture": null
},
"RollGen": {
"Calendar": "CME",
"MonthModifier": 0,
"DayOfMonthToStart": 15,
"DayOfMonthToStartOther": null,
"DateOffsetModifier": "-1b",
"DoMToStartIsNumber": true,
"NeverExpires": false,
"FixedFuture": null
},
"Months": ["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "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": "CME",
"MarketPauses": [{
"Start": "16:00:00",
"End": "17:00:00"
}
]
}
],
"MarketShutRulesValidUntil": ["9999-12-31T23:59:59.9999999"],
"Options": {
"StrikeRounding": 0.0001,
"Kind": 1,
"StrikeRule": 0,
"OffsetSize": null,
"Generator": "FX_OPT",
"NumberOfPeriodsToOffset": 0,
"PeriodToOffset": null,
"Strikes": [{
"Key": 20,
"Value": 0.0001
}, {
"Key": 10,
"Value": 0.0001
}
],
"CBOTRules": null
},
"LotSize": 62500.0,
"PriceMultiplier": 1.0,
"TickSize": 0.0001
},
{
"Names": ["3 Month Eurodollar - CME", "3M Eurodollar - CME", "ED"],
"CodeConversions": {
"IB": {
Expand Down Expand Up @@ -10000,13 +10179,15 @@
"PriceMultiplier": 0.0025,
"TickSize": 2.5E-05
}, {
"Names": ["10Y US Note - CBOT", "ZN", "10Y"],
"Names": ["10Y US Note - CBOT", "ZN", "10Y", "US T-BOND - CBOT", "ZB"],
"CodeConversions": {
"IB": {
"ZN": "ZN"
"ZN": "ZN",
"ZB": "ZB"
},
"BBG": {
"ZN": "TY"
"ZN": "TY",
"ZB": "US"
},
},
"ExpiryGen": {
Expand Down Expand Up @@ -11221,7 +11402,180 @@
"LotSize": 20.0,
"PriceMultiplier": 1.0,
"TickSize": 0.25
}, {
},{
"Names": ["SMI", "Swiss Market Index - SOFFEX"],
"CodeConversions": {
"IB": {
"SMI": "SMI"
},
"BBG": {
"SMI": "SM"
},
},
"ExpiryGen": {
"Calendar": "CHF",
"MonthModifier": 0,
"DayOfMonthToStart": 0,
"DayOfMonthToStartOther": "FRI3",
"DateOffsetModifier": "-0b",
"DoMToStartIsNumber": false,
"NeverExpires": false,
"FixedFuture": null
},
"RollGen": {
"Calendar": "CHF",
"MonthModifier": 0,
"DayOfMonthToStart": 0,
"DayOfMonthToStartOther": "FRI3",
"DateOffsetModifier": "-2b",
"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": ["15:15:00"],
"MarketOpenRulesValidUntil": ["9999-12-31T23:59:59.9999999"],
"MarketOpenTime": ["15:15:00"],
"MarketOpenModifier": [-1],
"MarketOpenTimeOverride": [],
"MarketCloseVWAPLength": ["00:00:30"],
"MarketCloseValidTo": ["9999-12-31T23:59:59.9999999"],
"MarketShutRules": [{
"ShutWholeDay": [6],
"CloseWhenHolidayFollows": "16:15:00",
"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": "CME",
"MarketPauses": [{
"Start": "15:15:00",
"End": "15:30:00"
}
]
}
],
"MarketShutRulesValidUntil": ["9999-12-31T23:59:59.9999999"],
"Options": {
"StrikeRounding": 0.25,
"Kind": 1,
"StrikeRule": 0,
"OffsetSize": null,
"Generator": "EQ_QUARTERLY_OPT",
"NumberOfPeriodsToOffset": 0,
"PeriodToOffset": null,
"Strikes": [{
"Key": 1,
"Value": 0.25
}
],
"CBOTRules": null
},
"LotSize": 20.0,
"PriceMultiplier": 1.0,
"TickSize": 0.25
},{
"Names": ["YM", "Dow Jones Emini - CME", "MSCIEM","MSCI Emerging Markets - LIFFE"],
"CodeConversions": {
"IB": {
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