From 36bc4e146a061daa4ced5224f6158381bfcfeb4e Mon Sep 17 00:00:00 2001 From: Gavin Brennan Date: Thu, 8 Apr 2021 15:26:44 +0200 Subject: [PATCH] Futures update --- data/futuresettings.json | 366 ++++++++++++++++++++++++++++++++++++++- 1 file changed, 360 insertions(+), 6 deletions(-) diff --git a/data/futuresettings.json b/data/futuresettings.json index f980d486..7159c433 100644 --- a/data/futuresettings.json +++ b/data/futuresettings.json @@ -9465,7 +9465,8 @@ "LotSize": 125000.0, "PriceMultiplier": 1.0, "TickSize": 0.0001 - }, { + }, + { "Names": ["GBP", "British Pound - CME"], "CodeConversions": { "IB": { @@ -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": { @@ -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": { @@ -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": {