csi_futures_data_validate.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "cs224 \n",
      "last updated: 2020-12-29 \n",
      "\n",
      "CPython 3.6.12\n",
      "IPython 7.16.1\n",
      "\n",
      "numpy 1.19.1\n",
      "pandas 0.22.0\n",
      "matplotlib 3.3.1\n",
      "sklearn 0.23.2\n",
      "h5py 2.10.0\n",
      "zipline 1.4.1\n"
     ]
    }
   ],
   "source": [
    "%load_ext watermark\n",
    "%watermark -a 'cs224' -u -d -v -p numpy,pandas,matplotlib,sklearn,h5py,zipline"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "%matplotlib inline\n",
    "import numpy as np, scipy, scipy.stats as stats, pandas as pd, matplotlib.pyplot as plt, seaborn as sns\n",
    "import sklearn, sklearn.pipeline, sklearn.model_selection, sklearn.preprocessing, sklearn.linear_model\n",
    "import re, fnmatch\n",
    "\n",
    "pd.set_option('display.max_columns', 500)\n",
    "pd.set_option('display.width', 1000)\n",
    "# pd.set_option('display.float_format', lambda x: '%.2f' % x)\n",
    "np.set_printoptions(edgeitems=10)\n",
    "np.set_printoptions(linewidth=1000)\n",
    "np.set_printoptions(suppress=True)\n",
    "np.core.arrayprint._line_width = 180\n",
    "\n",
    "SEED = 42\n",
    "np.random.seed(SEED)\n",
    "\n",
    "sns.set()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<style>.container { width:60% !important; }</style>"
      ],
      "text/plain": [
       "<IPython.core.display.HTML object>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "from IPython.core.display import display, HTML\n",
    "display(HTML(\"<style>.container { width:60% !important; }</style>\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "import os,sys\n",
    "path = os.path.realpath(os.path.abspath('') + '/csi_futures_data')\n",
    "sys.path.append(path)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "%load_ext autoreload\n",
    "%autoreload 1\n",
    "%aimport csi_futures_data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<style>.container { width:70% !important; }</style>"
      ],
      "text/plain": [
       "<IPython.core.display.HTML object>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "from IPython.display import display, HTML\n",
    "\n",
    "from IPython.display import display_html\n",
    "def display_side_by_side(*args):\n",
    "    html_str=''\n",
    "    for df in args:\n",
    "        if type(df) == np.ndarray:\n",
    "            df = pd.DataFrame(df)\n",
    "        html_str+=df.to_html()\n",
    "    html_str = html_str.replace('table','table style=\"display:inline\"')\n",
    "    # print(html_str)\n",
    "    display_html(html_str,raw=True)\n",
    "\n",
    "CSS = \"\"\"\n",
    ".output {\n",
    "    flex-direction: row;\n",
    "}\n",
    "\"\"\"\n",
    "\n",
    "def display_graphs_side_by_side(*args):\n",
    "    html_str='<table><tr>'\n",
    "    for g in args:\n",
    "        html_str += '<td>'\n",
    "        html_str += g._repr_svg_()\n",
    "        html_str += '</td>'\n",
    "    html_str += '</tr></table>'\n",
    "    display_html(html_str,raw=True)\n",
    "    \n",
    "\n",
    "display(HTML(\"<style>.container { width:70% !important; }</style>\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>C2</td>\n",
       "      <td>CN</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>LC</td>\n",
       "      <td>LC</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Live Cattle</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>LB</td>\n",
       "      <td>LB</td>\n",
       "      <td>110.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Lumber</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>O2</td>\n",
       "      <td>_O</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>O2</td>\n",
       "      <td>OA</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>OJ2</td>\n",
       "      <td>OJ</td>\n",
       "      <td>15000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Orange Juice</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>RR2</td>\n",
       "      <td>RR</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Rice(Rough)</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>S2</td>\n",
       "      <td>_S</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>S2</td>\n",
       "      <td>SY</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>LSU</td>\n",
       "      <td>LS</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Sugar  #5(White)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>W2</td>\n",
       "      <td>_W</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>W2</td>\n",
       "      <td>WC</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>KW2</td>\n",
       "      <td>KW</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Kansas City</td>\n",
       "      <td>KCBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>MW2</td>\n",
       "      <td>MW</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Spring</td>\n",
       "      <td>MGE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>FC</td>\n",
       "      <td>FC</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cattle-Feeder</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>LRC</td>\n",
       "      <td>LR</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Robusta Coffee New (LCE)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>BO2</td>\n",
       "      <td>BO</td>\n",
       "      <td>60000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>SM2</td>\n",
       "      <td>SM</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Soybean Meal</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>CC2</td>\n",
       "      <td>CC</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>SB2</td>\n",
       "      <td>SB</td>\n",
       "      <td>112000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>XC2</td>\n",
       "      <td>CM</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn E-Mini</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>XS2</td>\n",
       "      <td>MS</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybeans E-Mini</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>CL2</td>\n",
       "      <td>CL</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Crude Oil-Light</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>LCO</td>\n",
       "      <td>LO</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>HO2</td>\n",
       "      <td>HO</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Heating Oil</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>53</th>\n",
       "      <td>NE</td>\n",
       "      <td>NZ</td>\n",
       "      <td>100000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>NZD/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>54</th>\n",
       "      <td>SF</td>\n",
       "      <td>SF</td>\n",
       "      <td>125000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>CHF/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>55</th>\n",
       "      <td>DX2</td>\n",
       "      <td>DX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>USD Index</td>\n",
       "      <td>FINEX</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>56</th>\n",
       "      <td>MP</td>\n",
       "      <td>MP</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>57</th>\n",
       "      <td>MP</td>\n",
       "      <td>ME</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>58</th>\n",
       "      <td>EX</td>\n",
       "      <td>EE</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Euro FX E-mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>59</th>\n",
       "      <td>M6E</td>\n",
       "      <td>EU</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>E-micro EUR/USD Futures</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>60</th>\n",
       "      <td>JT</td>\n",
       "      <td>JE</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Japanese Yen E-mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>61</th>\n",
       "      <td>ES</td>\n",
       "      <td>ES</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 500 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>62</th>\n",
       "      <td>NQ</td>\n",
       "      <td>NQ</td>\n",
       "      <td>20.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nasdaq (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>63</th>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>64</th>\n",
       "      <td>ER2</td>\n",
       "      <td>ER</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>65</th>\n",
       "      <td>VX</td>\n",
       "      <td>VX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Volatility Index</td>\n",
       "      <td>CFE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>66</th>\n",
       "      <td>YM</td>\n",
       "      <td>YM</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Dow e mini</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>67</th>\n",
       "      <td>NK</td>\n",
       "      <td>NK</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nikkei 225</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>68</th>\n",
       "      <td>STW</td>\n",
       "      <td>TW</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Taiwan</td>\n",
       "      <td>SGX</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>69</th>\n",
       "      <td>MEM</td>\n",
       "      <td>EI</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Emerging Markets Mini</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>70</th>\n",
       "      <td>MFS</td>\n",
       "      <td>MG</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI EAFE Mini (Europe, Australasia and Far East)</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>EMD</td>\n",
       "      <td>MI</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 400 MidCap E-Mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>72</th>\n",
       "      <td>RS1</td>\n",
       "      <td>RM</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russell 1000 Mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>73</th>\n",
       "      <td>SP2</td>\n",
       "      <td>SP</td>\n",
       "      <td>250.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 500 Futures</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>74</th>\n",
       "      <td>FV</td>\n",
       "      <td>FV</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 5yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>75</th>\n",
       "      <td>ED</td>\n",
       "      <td>ED</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Eurodollar 3m</td>\n",
       "      <td>CME</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>76</th>\n",
       "      <td>US</td>\n",
       "      <td>US</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Long Bond 30yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>77</th>\n",
       "      <td>TU</td>\n",
       "      <td>TU</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 2yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>78</th>\n",
       "      <td>TY</td>\n",
       "      <td>TY</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 10y</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>79</th>\n",
       "      <td>FF</td>\n",
       "      <td>FF</td>\n",
       "      <td>4167.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>30-Day Federal Funds</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80</th>\n",
       "      <td>F1U</td>\n",
       "      <td>FI</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>5-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>N1U</td>\n",
       "      <td>TN</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>10-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>82</th>\n",
       "      <td>UL2</td>\n",
       "      <td>UB</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Ultra Tbond</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>83 rows × 7 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier  minor_fx_adj                                        description  exchange            sector\n",
       "0         KC2          KC     37500.0          0.01                                             Coffee      CSCE      Agricultural\n",
       "1          C2          _C      5000.0          0.01                                               Corn       CBT      Agricultural\n",
       "2          C2          CN      5000.0          0.01                                               Corn       CBT      Agricultural\n",
       "3         CT2          CT     50000.0          0.01                                          Cotton #2      NYCE      Agricultural\n",
       "4          LH          LH     40000.0          0.01                                          Lean Hogs       CME      Agricultural\n",
       "5          LC          LC     40000.0          0.01                                        Live Cattle       CME      Agricultural\n",
       "6          LB          LB       110.0          1.00                                             Lumber       CME      Agricultural\n",
       "7          O2          _O      5000.0          0.01                                           Oats-CBT       CBT      Agricultural\n",
       "8          O2          OA      5000.0          0.01                                           Oats-CBT       CBT      Agricultural\n",
       "9         OJ2          OJ     15000.0          0.01                                       Orange Juice      NYCE      Agricultural\n",
       "10        RR2          RR      2000.0          1.00                                        Rice(Rough)       CBT      Agricultural\n",
       "11         S2          _S      5000.0          0.01                                            Soybean       CBT      Agricultural\n",
       "12         S2          SY      5000.0          0.01                                            Soybean       CBT      Agricultural\n",
       "13        LSU          LS        50.0          1.00                                   Sugar  #5(White)  EURONEXT      Agricultural\n",
       "14         W2          _W      5000.0          0.01                                              Wheat       CBT      Agricultural\n",
       "15         W2          WC      5000.0          0.01                                              Wheat       CBT      Agricultural\n",
       "16        KW2          KW      5000.0          0.01                                  Wheat-Kansas City      KCBT      Agricultural\n",
       "17        MW2          MW      5000.0          0.01                                       Wheat-Spring       MGE      Agricultural\n",
       "18         DA          DA    200000.0          0.01                                     Class III Milk       CME      Agricultural\n",
       "19         FC          FC     50000.0          0.01                                      Cattle-Feeder       CME      Agricultural\n",
       "20        LRC          LR        10.0          1.00                           Robusta Coffee New (LCE)  EURONEXT      Agricultural\n",
       "21        BO2          BO     60000.0          0.01                                        Soybean Oil       CBT      Agricultural\n",
       "22        SM2          SM       100.0          1.00                                       Soybean Meal       CBT      Agricultural\n",
       "23        CC2          CC        10.0          1.00                                              Cocoa      NYCE      Agricultural\n",
       "24        SB2          SB    112000.0          0.01                                          Sugar #11      NYCE      Agricultural\n",
       "25        XC2          CM      1000.0          0.01                                        Corn E-Mini      CBOT      Agricultural\n",
       "26        XS2          MS      1000.0          0.01                                    Soybeans E-Mini      CBOT      Agricultural\n",
       "27        CL2          CL      1000.0          1.00                                    Crude Oil-Light     NYMEX  Non-Agricultural\n",
       "28        LCO          LO      1000.0          1.00                                        Brent Crude       ICE  Non-Agricultural\n",
       "29        HO2          HO     42000.0          1.00                                        Heating Oil     NYMEX  Non-Agricultural\n",
       "..        ...         ...         ...           ...                                                ...       ...               ...\n",
       "53         NE          NZ    100000.0          1.00                                            NZD/USD       CME          Currency\n",
       "54         SF          SF    125000.0          1.00                                            CHF/USD       CME          Currency\n",
       "55        DX2          DX      1000.0          1.00                                          USD Index     FINEX          Currency\n",
       "56         MP          MP    500000.0          1.00                                            MEP/USD       CME          Currency\n",
       "57         MP          ME    500000.0          1.00                                            MEP/USD       CME          Currency\n",
       "58         EX          EE     62500.0          1.00                                     Euro FX E-mini       CME          Currency\n",
       "59        M6E          EU     12500.0          1.00                            E-micro EUR/USD Futures       CME          Currency\n",
       "60         JT          JE     62500.0          1.00                                Japanese Yen E-mini       CME          Currency\n",
       "61         ES          ES        50.0          1.00                                   S&P 500 (E-mini)       CME          Equities\n",
       "62         NQ          NQ        20.0          1.00                                    Nasdaq (E-mini)       CME          Equities\n",
       "63        ER2          TF        50.0          1.00                               Russel 2000 (E-mini)       CME          Equities\n",
       "64        ER2          ER        50.0          1.00                               Russel 2000 (E-mini)       CME          Equities\n",
       "65         VX          VX      1000.0          1.00                                   Volatility Index       CFE          Equities\n",
       "66         YM          YM         5.0          1.00                                         Dow e mini       CBT          Equities\n",
       "67         NK          NK         5.0          1.00                                         Nikkei 225       CME          Equities\n",
       "68        STW          TW       100.0          1.00                                        MSCI Taiwan       SGX          Equities\n",
       "69        MEM          EI        50.0          1.00                         MSCI Emerging Markets Mini       ICE          Equities\n",
       "70        MFS          MG        50.0          1.00  MSCI EAFE Mini (Europe, Australasia and Far East)       ICE          Equities\n",
       "71        EMD          MI       100.0          1.00                              S&P 400 MidCap E-Mini       CME          Equities\n",
       "72        RS1          RM        50.0          1.00                                  Russell 1000 Mini       CME          Equities\n",
       "73        SP2          SP       250.0          1.00                                    S&P 500 Futures       CME          Equities\n",
       "74         FV          FV      1000.0          1.00                               US Treasury Note 5yr       CBT             Rates\n",
       "75         ED          ED      2500.0          1.00                                      Eurodollar 3m       CME             Rates\n",
       "76         US          US      1000.0          1.00                         US Treasury Long Bond 30yr       CBT             Rates\n",
       "77         TU          TU      2000.0          1.00                               US Treasury Note 2yr       CBT             Rates\n",
       "78         TY          TY      1000.0          1.00                               US Treasury Note 10y       CBT             Rates\n",
       "79         FF          FF      4167.0          1.00                               30-Day Federal Funds      CBOT             Rates\n",
       "80        F1U          FI      1000.0          1.00      5-Year Deliverable Interest Rate Swap Futures      CBOT             Rates\n",
       "81        N1U          TN      1000.0          1.00     10-Year Deliverable Interest Rate Swap Futures      CBOT             Rates\n",
       "82        UL2          UB      1000.0          1.00                                        Ultra Tbond      CBOT             Rates\n",
       "\n",
       "[83 rows x 7 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# the following list is a hand curated list of futures as a combination of data from:\n",
    "# - Following the Trend\n",
    "# - Trading Evolved\n",
    "# - zipline.finance.constants.ROOT_SYMBOL_TO_ETA\n",
    "# - zipline.finance.constants.FUTURE_EXCHANGE_FEES_BY_SYMBOL\n",
    "csi_futures_data_df = csi_futures_data.futures_lookup_.copy()\n",
    "csi_futures_data_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>AD</td>\n",
       "      <td>100000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>AUD/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>BO</td>\n",
       "      <td>600</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>BP</td>\n",
       "      <td>62500</td>\n",
       "      <td>1.00</td>\n",
       "      <td>GBP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>_C</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>CC</td>\n",
       "      <td>10</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>CD</td>\n",
       "      <td>100000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>CAD/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>CL</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Crude Oil</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>CT</td>\n",
       "      <td>50000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>CU</td>\n",
       "      <td>125000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>EUR/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>DA</td>\n",
       "      <td>200000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>DX</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>USD Index</td>\n",
       "      <td>FINEX</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>ED</td>\n",
       "      <td>2500</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Eurodollar 3m</td>\n",
       "      <td>CME</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>ES</td>\n",
       "      <td>50</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 500 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>FC</td>\n",
       "      <td>50000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cattle-Feeder</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>FV</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 5yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>GC</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Gold</td>\n",
       "      <td>COMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>HG</td>\n",
       "      <td>25000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Copper</td>\n",
       "      <td>COMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>HO</td>\n",
       "      <td>42000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Heating Oil</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>JY</td>\n",
       "      <td>125000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>JPY/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>KC</td>\n",
       "      <td>37500</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee Arabica</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>KW</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Kansas City</td>\n",
       "      <td>KCBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>LB</td>\n",
       "      <td>110</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Lumber</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>LC</td>\n",
       "      <td>40000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Live Cattle</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>LO</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>LG</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Petroleum Gas Oil</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>LH</td>\n",
       "      <td>40000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>LR</td>\n",
       "      <td>10</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Coffee Robusta</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>30</th>\n",
       "      <td>LS</td>\n",
       "      <td>50</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Sugar  #5(White)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31</th>\n",
       "      <td>MP</td>\n",
       "      <td>500000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>32</th>\n",
       "      <td>MW</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Spring</td>\n",
       "      <td>MGE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>33</th>\n",
       "      <td>NE</td>\n",
       "      <td>100000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>NZD/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>NG</td>\n",
       "      <td>10000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Natural Gas</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>35</th>\n",
       "      <td>NK</td>\n",
       "      <td>5</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nikkei 225</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>NQ</td>\n",
       "      <td>20</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nasdaq (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>37</th>\n",
       "      <td>_O</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>38</th>\n",
       "      <td>OJ</td>\n",
       "      <td>15000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Orange Juice</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>PA</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Palladium</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>40</th>\n",
       "      <td>PL</td>\n",
       "      <td>50</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Platinum</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>41</th>\n",
       "      <td>RB</td>\n",
       "      <td>42000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Petroleum Gasoline</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>42</th>\n",
       "      <td>RR</td>\n",
       "      <td>2000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Rice(Rough)</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>_S</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>44</th>\n",
       "      <td>SB</td>\n",
       "      <td>120000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45</th>\n",
       "      <td>SF</td>\n",
       "      <td>125000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>CHF/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>46</th>\n",
       "      <td>SI</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Silver</td>\n",
       "      <td>COMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>48</th>\n",
       "      <td>SM</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Soybean Meal</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>50</th>\n",
       "      <td>TW</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Taiwan</td>\n",
       "      <td>SGX</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>51</th>\n",
       "      <td>TF</td>\n",
       "      <td>100</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>NYFE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>53</th>\n",
       "      <td>TU</td>\n",
       "      <td>2000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 2yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>54</th>\n",
       "      <td>TY</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 10y</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>55</th>\n",
       "      <td>US</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Long Bond 30yr</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rates</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>56</th>\n",
       "      <td>VX</td>\n",
       "      <td>1000</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Volatility Index</td>\n",
       "      <td>CFE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>57</th>\n",
       "      <td>_W</td>\n",
       "      <td>5000</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>59</th>\n",
       "      <td>YM</td>\n",
       "      <td>5</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Dow e mini</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   root_symbol  multiplier  minor_fx_adj                 description  exchange            sector\n",
       "0           AD      100000          1.00                     AUD/USD       CME          Currency\n",
       "1           BO         600          0.01                 Soybean Oil       CBT      Agricultural\n",
       "2           BP       62500          1.00                     GBP/USD       CME          Currency\n",
       "3           _C        5000          0.01                        Corn       CBT      Agricultural\n",
       "4           CC          10          1.00                       Cocoa      NYCE      Agricultural\n",
       "5           CD      100000          1.00                     CAD/USD       CME          Currency\n",
       "6           CL        1000          1.00                   Crude Oil     NYMEX  Non-Agricultural\n",
       "7           CT       50000          0.01                   Cotton #2      NYCE      Agricultural\n",
       "8           CU      125000          1.00                     EUR/USD       CME          Currency\n",
       "9           DA      200000          1.00              Class III Milk       CME      Agricultural\n",
       "10          DX        1000          1.00                   USD Index     FINEX          Currency\n",
       "11          ED        2500          1.00               Eurodollar 3m       CME             Rates\n",
       "13          ES          50          1.00            S&P 500 (E-mini)       CME          Equities\n",
       "14          FC       50000          0.01               Cattle-Feeder       CME      Agricultural\n",
       "15          FV        1000          1.00        US Treasury Note 5yr       CBT             Rates\n",
       "16          GC         100          1.00                        Gold     COMEX  Non-Agricultural\n",
       "17          HG       25000          0.01                      Copper     COMEX  Non-Agricultural\n",
       "18          HO       42000          1.00                 Heating Oil     NYMEX  Non-Agricultural\n",
       "20          JY      125000          1.00                     JPY/USD       CME          Currency\n",
       "21          KC       37500          0.01              Coffee Arabica      NYCE      Agricultural\n",
       "22          KW        5000          0.01           Wheat-Kansas City      KCBT      Agricultural\n",
       "23          LB         110          1.00                      Lumber       CME      Agricultural\n",
       "24          LC       40000          0.01                 Live Cattle       CME      Agricultural\n",
       "25          LO        1000          1.00                 Brent Crude       ICE  Non-Agricultural\n",
       "26          LG         100          1.00           Petroleum Gas Oil       ICE  Non-Agricultural\n",
       "27          LH       40000          0.01                   Lean Hogs       CME      Agricultural\n",
       "29          LR          10          1.00              Coffee Robusta  EURONEXT      Agricultural\n",
       "30          LS          50          1.00            Sugar  #5(White)  EURONEXT      Agricultural\n",
       "31          MP      500000          0.01                     MEP/USD       CME          Currency\n",
       "32          MW        5000          0.01                Wheat-Spring       MGE      Agricultural\n",
       "33          NE      100000          1.00                     NZD/USD       CME          Currency\n",
       "34          NG       10000          1.00                 Natural Gas     NYMEX  Non-Agricultural\n",
       "35          NK           5          1.00                  Nikkei 225       CME          Equities\n",
       "36          NQ          20          1.00             Nasdaq (E-mini)       CME          Equities\n",
       "37          _O        5000          0.01                    Oats-CBT       CBT      Agricultural\n",
       "38          OJ       15000          0.01                Orange Juice      NYCE      Agricultural\n",
       "39          PA         100          1.00                   Palladium     NYMEX  Non-Agricultural\n",
       "40          PL          50          1.00                    Platinum     NYMEX  Non-Agricultural\n",
       "41          RB       42000          1.00          Petroleum Gasoline     NYMEX  Non-Agricultural\n",
       "42          RR        2000          1.00                 Rice(Rough)       CBT      Agricultural\n",
       "43          _S        5000          0.01                     Soybean       CBT      Agricultural\n",
       "44          SB      120000          0.01                   Sugar #11      NYCE      Agricultural\n",
       "45          SF      125000          1.00                     CHF/USD       CME          Currency\n",
       "46          SI        5000          0.01                      Silver     COMEX  Non-Agricultural\n",
       "48          SM         100          1.00                Soybean Meal       CBT      Agricultural\n",
       "50          TW         100          1.00                 MSCI Taiwan       SGX          Equities\n",
       "51          TF         100          1.00        Russel 2000 (E-mini)      NYFE          Equities\n",
       "53          TU        2000          1.00        US Treasury Note 2yr       CBT             Rates\n",
       "54          TY        1000          1.00        US Treasury Note 10y       CBT             Rates\n",
       "55          US        1000          1.00  US Treasury Long Bond 30yr       CBT             Rates\n",
       "56          VX        1000          1.00            Volatility Index       CFE          Equities\n",
       "57          _W        5000          0.01                       Wheat       CBT      Agricultural\n",
       "59          YM           5          1.00                  Dow e mini       CBT          Equities"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# the meta.csv is from the package that Andreas Clenow provides for his random_futures_data: https://www.dropbox.com/s/etocgt9zgeedo22/data.zip?dl=0\n",
    "futures_meta_df = pd.read_csv('meta.csv', index_col=0)\n",
    "futures_meta_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [],
   "source": [
    "# outdated: http://www.csidata.com/factsheets/factsheet-futures.html\n",
    "# csidata_futures_fact_sheet_df = pd.read_excel('~/2020-10-13-csidata-futures-fact-sheet.xlsx')\n",
    "# csidata_futures_fact_sheet_df.drop(csidata_futures_fact_sheet_df.columns[1], axis=1, inplace=True)\n",
    "# csidata_futures_fact_sheet_df.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1</td>\n",
       "      <td>IB</td>\n",
       "      <td>NaN</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Broilers-Iced</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>3.0</td>\n",
       "      <td>300.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>30000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>1.0</td>\n",
       "      <td>3.0</td>\n",
       "      <td>1969-08-19</td>\n",
       "      <td>1981-01-22</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2</td>\n",
       "      <td>LC</td>\n",
       "      <td>LC</td>\n",
       "      <td>CME</td>\n",
       "      <td>Live Cattle</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>4.0</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>2.5</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1964-11-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>57781.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>3</td>\n",
       "      <td>CC</td>\n",
       "      <td>CC</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>RTH</td>\n",
       "      <td>1</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>10 tonnes</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1965-12-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>CC2 starts at 1965-12-30</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>31624.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>4</td>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>CME</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>4.0</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>2.5</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1966-02-28</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>30958.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>5</td>\n",
       "      <td>PB</td>\n",
       "      <td>PB</td>\n",
       "      <td>CME</td>\n",
       "      <td>Pork Bellies</td>\n",
       "      <td>RTH</td>\n",
       "      <td>0</td>\n",
       "      <td>4.0</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>2.5</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1961-09-18</td>\n",
       "      <td>2011-07-15</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   UACsiNumber SymbolUA ExchangeSymbol Exchange           Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency ContractSize      Units  MinimumTick  TickValue  StartDate    EndDate                LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume\n",
       "0            1       IB            NaN      CBT  Broilers-Iced         NaN         0                 3.0           300.0      USD    30000 lbs   cents/lb          1.0        3.0 1969-08-19 1981-01-22                       NaN                     2                    0                          0                        0              NaN\n",
       "1            2       LC             LC      CME    Live Cattle    Combined         1                 4.0           400.0      USD    40000 lbs   cents/lb          2.5       10.0 1964-11-30 2020-10-28                       NaN                     2                    0                          0                        1          57781.0\n",
       "2            3       CC             CC    ICEUS          Cocoa         RTH         1                10.0            10.0      USD    10 tonnes  USD/tonne          1.0       10.0 1965-12-30 2020-10-28  CC2 starts at 1965-12-30                     0                    0                          0                        1          31624.0\n",
       "3            4       LH             LH      CME      Lean Hogs    Combined         1                 4.0           400.0      USD    40000 lbs   cents/lb          2.5       10.0 1966-02-28 2020-10-28                       NaN                     2                    0                          0                        1          30958.0\n",
       "4            5       PB             PB      CME   Pork Bellies         RTH         0                 4.0           400.0      USD    40000 lbs   cents/lb          2.5       10.0 1961-09-18 2011-07-15                       NaN                     2                    0                          0                        0              NaN"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# New, up to date: http://www.csidata.com/factsheets.php?type=commodity&format=htmltable&exchangeid=\n",
    "csidata_futures_fact_sheet_df = pd.read_csv('./2020-10-29-commodityfactsheet.csv', parse_dates=['StartDate', 'EndDate'])\n",
    "csidata_futures_fact_sheet_df = csidata_futures_fact_sheet_df[['UACsiNumber', 'SymbolUA', 'ExchangeSymbol', 'Exchange', 'Name', 'SessionType', 'IsActive', 'TerminalPointValue', 'FullPointValue', 'Currency', 'ContractSize', 'Units', 'MinimumTick', 'TickValue', 'StartDate', 'EndDate',\\\n",
    "                                                               'LinkSymbol', 'ConversionFactorCode', 'HasCurrentDayVolume', 'HasCurrentDayOpenInterest', 'HasKnownExpirationDates', 'LastTotalVolume']]\n",
    "csidata_futures_fact_sheet_df.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "s1 = set(csi_futures_data_df.root_symbol)\n",
    "s2 = set(futures_meta_df.root_symbol)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "set()"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# verify that all symbols that are present in the meta.csv are present in csi_futures_data_df\n",
    "s2 - s1"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Verify the multipliers and minor_fx_adj between meta.csv and what the CSI data factsheet says\n",
    "\n",
    "My understanding is that the values in `csi_futures_data_df` are correct and the values in `meta.csv` are incorrect."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "    }\n",
       "\n",
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       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier_x</th>\n",
       "      <th>minor_fx_adj_x</th>\n",
       "      <th>description_x</th>\n",
       "      <th>exchange_x</th>\n",
       "      <th>sector_x</th>\n",
       "      <th>multiplier_y</th>\n",
       "      <th>minor_fx_adj_y</th>\n",
       "      <th>description_y</th>\n",
       "      <th>exchange_y</th>\n",
       "      <th>sector_y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee Arabica</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>C2</td>\n",
       "      <td>CN</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "  csi_symbol root_symbol  multiplier_x  minor_fx_adj_x description_x exchange_x      sector_x  multiplier_y  minor_fx_adj_y   description_y exchange_y      sector_y\n",
       "0        KC2          KC       37500.0            0.01        Coffee       CSCE  Agricultural       37500.0            0.01  Coffee Arabica       NYCE  Agricultural\n",
       "1         C2          _C        5000.0            0.01          Corn        CBT  Agricultural        5000.0            0.01            Corn        CBT  Agricultural\n",
       "2         C2          CN        5000.0            0.01          Corn        CBT  Agricultural           NaN             NaN             NaN        NaN           NaN\n",
       "3        CT2          CT       50000.0            0.01     Cotton #2       NYCE  Agricultural       50000.0            0.01       Cotton #2       NYCE  Agricultural\n",
       "4         LH          LH       40000.0            0.01     Lean Hogs        CME  Agricultural       40000.0            0.01       Lean Hogs        CME  Agricultural"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf = pd.merge(csi_futures_data_df, futures_meta_df, how='left', on=['root_symbol'])\n",
    "ldf.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier_x</th>\n",
       "      <th>minor_fx_adj_x</th>\n",
       "      <th>description_x</th>\n",
       "      <th>exchange_x</th>\n",
       "      <th>sector_x</th>\n",
       "      <th>multiplier_y</th>\n",
       "      <th>minor_fx_adj_y</th>\n",
       "      <th>description_y</th>\n",
       "      <th>exchange_y</th>\n",
       "      <th>sector_y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>BO2</td>\n",
       "      <td>BO</td>\n",
       "      <td>60000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>600.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>SB2</td>\n",
       "      <td>SB</td>\n",
       "      <td>112000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>120000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>63</th>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>NYFE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier_x  minor_fx_adj_x         description_x exchange_x      sector_x  multiplier_y  minor_fx_adj_y         description_y exchange_y      sector_y\n",
       "21        BO2          BO       60000.0            0.01           Soybean Oil        CBT  Agricultural         600.0            0.01           Soybean Oil        CBT  Agricultural\n",
       "24        SB2          SB      112000.0            0.01             Sugar #11       NYCE  Agricultural      120000.0            0.01             Sugar #11       NYCE  Agricultural\n",
       "63        ER2          TF          50.0            1.00  Russel 2000 (E-mini)        CME      Equities         100.0            1.00  Russel 2000 (E-mini)       NYFE      Equities"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf[(ldf['multiplier_x'] != ldf['multiplier_y']) & ldf['root_symbol'].isin(futures_meta_df['root_symbol'])]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier_x</th>\n",
       "      <th>minor_fx_adj_x</th>\n",
       "      <th>description_x</th>\n",
       "      <th>exchange_x</th>\n",
       "      <th>sector_x</th>\n",
       "      <th>multiplier_y</th>\n",
       "      <th>minor_fx_adj_y</th>\n",
       "      <th>description_y</th>\n",
       "      <th>exchange_y</th>\n",
       "      <th>sector_y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>56</th>\n",
       "      <td>MP</td>\n",
       "      <td>MP</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier_x  minor_fx_adj_x   description_x exchange_x      sector_x  multiplier_y  minor_fx_adj_y   description_y exchange_y      sector_y\n",
       "18         DA          DA      200000.0            0.01  Class III Milk        CME  Agricultural      200000.0            1.00  Class III Milk        CME  Agricultural\n",
       "56         MP          MP      500000.0            1.00         MEP/USD        CME      Currency      500000.0            0.01         MEP/USD        CME      Currency"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf[(ldf['minor_fx_adj_x'] != ldf['minor_fx_adj_y']) & ldf['root_symbol'].isin(futures_meta_df['root_symbol'])]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
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       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier_x</th>\n",
       "      <th>minor_fx_adj_x</th>\n",
       "      <th>description_x</th>\n",
       "      <th>exchange_x</th>\n",
       "      <th>sector_x</th>\n",
       "      <th>multiplier_y</th>\n",
       "      <th>minor_fx_adj_y</th>\n",
       "      <th>description_y</th>\n",
       "      <th>exchange_y</th>\n",
       "      <th>sector_y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee Arabica</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>63</th>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>NYFE</td>\n",
       "      <td>Equities</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier_x  minor_fx_adj_x         description_x exchange_x      sector_x  multiplier_y  minor_fx_adj_y         description_y exchange_y      sector_y\n",
       "0         KC2          KC       37500.0            0.01                Coffee       CSCE  Agricultural       37500.0            0.01        Coffee Arabica       NYCE  Agricultural\n",
       "63        ER2          TF          50.0            1.00  Russel 2000 (E-mini)        CME      Equities         100.0            1.00  Russel 2000 (E-mini)       NYFE      Equities"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf[(ldf['exchange_x'] != ldf['exchange_y']) & ldf['root_symbol'].isin(futures_meta_df['root_symbol'])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Verify the FullPointValue as given by CSI data's factsheet with the value in csi_futures_data_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>1146</td>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>3.75</td>\n",
       "      <td>375.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>37500 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>5.0</td>\n",
       "      <td>18.75</td>\n",
       "      <td>1972-08-16</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>KC starts at 1972-08-16</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>31867.0</td>\n",
       "      <td>375.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>412</td>\n",
       "      <td>C2</td>\n",
       "      <td>C</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>6.25</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>2.0</td>\n",
       "      <td>12.50</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>C starts at 1946-01-02</td>\n",
       "      <td>-1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>426691.0</td>\n",
       "      <td>50.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>C2</td>\n",
       "      <td>CN</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>412</td>\n",
       "      <td>C2</td>\n",
       "      <td>C</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>6.25</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>2.0</td>\n",
       "      <td>12.50</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>C starts at 1946-01-02</td>\n",
       "      <td>-1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>426691.0</td>\n",
       "      <td>50.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>1144</td>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>5.00</td>\n",
       "      <td>500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>50000 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>1.0</td>\n",
       "      <td>5.00</td>\n",
       "      <td>1967-03-22</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>CT starts at 1967-03-22</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>35749.0</td>\n",
       "      <td>500.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>4</td>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>CME</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>4.00</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>2.5</td>\n",
       "      <td>10.00</td>\n",
       "      <td>1966-02-28</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>30958.0</td>\n",
       "      <td>400.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "  csi_symbol root_symbol  multiplier  minor_fx_adj description exchange        sector  UACsiNumber SymbolUA ExchangeSymbol Exchange       Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency ContractSize        Units  MinimumTick  TickValue  StartDate    EndDate               LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume  calc_poin_value\n",
       "0        KC2          KC     37500.0          0.01      Coffee     CSCE  Agricultural         1146      KC2             KC    ICEUS     Coffee    Combined         1                3.75           375.0      USD    37500 lbs  cents/pound          5.0      18.75 1972-08-16 2020-10-28  KC starts at 1972-08-16                     2                    0                          0                        1          31867.0            375.0\n",
       "1         C2          _C      5000.0          0.01        Corn      CBT  Agricultural          412       C2              C      CBT       Corn    Combined         1                6.25            50.0      USD      5000 bu     cents/bu          2.0      12.50 1949-01-03 2020-10-28   C starts at 1946-01-02                    -1                    0                          0                        1         426691.0             50.0\n",
       "2         C2          CN      5000.0          0.01        Corn      CBT  Agricultural          412       C2              C      CBT       Corn    Combined         1                6.25            50.0      USD      5000 bu     cents/bu          2.0      12.50 1949-01-03 2020-10-28   C starts at 1946-01-02                    -1                    0                          0                        1         426691.0             50.0\n",
       "3        CT2          CT     50000.0          0.01   Cotton #2     NYCE  Agricultural         1144      CT2             CT    ICEUS  Cotton #2    Combined         1                5.00           500.0      USD    50000 lbs  cents/pound          1.0       5.00 1967-03-22 2020-10-28  CT starts at 1967-03-22                     2                    0                          0                        1          35749.0            500.0\n",
       "4         LH          LH     40000.0          0.01   Lean Hogs      CME  Agricultural            4       LH             LH      CME  Lean Hogs    Combined         1                4.00           400.0      USD    40000 lbs     cents/lb          2.5      10.00 1966-02-28 2020-10-28                      NaN                     2                    0                          0                        1          30958.0            400.0"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf_ = pd.merge(csi_futures_data_df, csidata_futures_fact_sheet_df, how='left', left_on=['csi_symbol'], right_on=['SymbolUA'])\n",
    "#ldf_ = ldf_[['csi_symbol', 'root_symbol', 'multiplier', 'minor_fx_adj', 'description', 'exchange', 'sector', 'EXCHANGE', 'EXCHANGE SYMBOL', 'NAME', 'ACTIVE', 'CONTRACT SIZE', 'UNIT OF MEASURE', 'CURRENCY', 'FULL POINT VALUE']]\n",
    "#ldf_['numeric_full_point_value'] = ldf_['FULL POINT VALUE'].str.extract(r'^(\\d+).*$').astype(np.int)\n",
    "ldf_['calc_poin_value'] = (ldf_['multiplier'] * ldf_['minor_fx_adj'])#.astype(np.int)\n",
    "ldf_.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
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       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, UACsiNumber, SymbolUA, ExchangeSymbol, Exchange, Name, SessionType, IsActive, TerminalPointValue, FullPointValue, Currency, ContractSize, Units, MinimumTick, TickValue, StartDate, EndDate, LinkSymbol, ConversionFactorCode, HasCurrentDayVolume, HasCurrentDayOpenInterest, HasKnownExpirationDates, LastTotalVolume, calc_poin_value]\n",
       "Index: []"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# This here is the most important as this makes sure that we agree on the point value\n",
    "# The expected result is that the dataframe has 0 entries\n",
    "ldf_[ldf_['FullPointValue'] != ldf_['calc_poin_value']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, UACsiNumber, SymbolUA, ExchangeSymbol, Exchange, Name, SessionType, IsActive, TerminalPointValue, FullPointValue, Currency, ContractSize, Units, MinimumTick, TickValue, StartDate, EndDate, LinkSymbol, ConversionFactorCode, HasCurrentDayVolume, HasCurrentDayOpenInterest, HasKnownExpirationDates, LastTotalVolume, calc_poin_value]\n",
       "Index: []"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# In general I tried to use the symbols that represent the combined floor and electronic session\n",
    "ldf_[~ldf_['SessionType'].str.contains(r'Combined').astype(np.bool)]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[]"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "list(ldf_[~ldf_['SessionType'].str.contains(r'Combined').astype(np.bool)].loc[:,'csi_symbol'].values)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>sector</th>\n",
       "      <th>exchange</th>\n",
       "      <th>Exchange</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>OJ2</td>\n",
       "      <td>OJ</td>\n",
       "      <td>15000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Orange Juice</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>LSU</td>\n",
       "      <td>LS</td>\n",
       "      <td>50.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Sugar  #5(White)</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>LCE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>LRC</td>\n",
       "      <td>LR</td>\n",
       "      <td>10.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Robusta Coffee New (LCE)</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>LCE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>CC2</td>\n",
       "      <td>CC</td>\n",
       "      <td>10.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>SB2</td>\n",
       "      <td>SB</td>\n",
       "      <td>112000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>XC2</td>\n",
       "      <td>CM</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn E-Mini</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>XS2</td>\n",
       "      <td>MS</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybeans E-Mini</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>LCO</td>\n",
       "      <td>LO</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEEUROPE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>38</th>\n",
       "      <td>LGO</td>\n",
       "      <td>LG</td>\n",
       "      <td>100.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Petroleum Gas Oil</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEEUROPE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>ER</td>\n",
       "      <td>AI</td>\n",
       "      <td>100.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Bloomberg Commodity Index Futures</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>CME</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>IRB</td>\n",
       "      <td>XB</td>\n",
       "      <td>42000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>RBOB Gasoline Futures</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>ICEEUROPE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>44</th>\n",
       "      <td>YG</td>\n",
       "      <td>XG</td>\n",
       "      <td>32.15</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Gold mini-sized</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45</th>\n",
       "      <td>YI</td>\n",
       "      <td>YS</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Silver mini-sized</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>55</th>\n",
       "      <td>DX2</td>\n",
       "      <td>DX</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>USD Index</td>\n",
       "      <td>Currency</td>\n",
       "      <td>FINEX</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>69</th>\n",
       "      <td>MEM</td>\n",
       "      <td>EI</td>\n",
       "      <td>50.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Emerging Markets Mini</td>\n",
       "      <td>Equities</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>70</th>\n",
       "      <td>MFS</td>\n",
       "      <td>MG</td>\n",
       "      <td>50.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI EAFE Mini (Europe, Australasia and Far East)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>ICE</td>\n",
       "      <td>ICEUS</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>79</th>\n",
       "      <td>FF</td>\n",
       "      <td>FF</td>\n",
       "      <td>4167.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>30-Day Federal Funds</td>\n",
       "      <td>Rates</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80</th>\n",
       "      <td>F1U</td>\n",
       "      <td>FI</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>5-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>Rates</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>N1U</td>\n",
       "      <td>TN</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>10-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>Rates</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>82</th>\n",
       "      <td>UL2</td>\n",
       "      <td>UB</td>\n",
       "      <td>1000.00</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Ultra Tbond</td>\n",
       "      <td>Rates</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>CBT</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier  minor_fx_adj                                        description            sector  exchange   Exchange\n",
       "0         KC2          KC    37500.00          0.01                                             Coffee      Agricultural      CSCE      ICEUS\n",
       "3         CT2          CT    50000.00          0.01                                          Cotton #2      Agricultural      NYCE      ICEUS\n",
       "9         OJ2          OJ    15000.00          0.01                                       Orange Juice      Agricultural      NYCE      ICEUS\n",
       "13        LSU          LS       50.00          1.00                                   Sugar  #5(White)      Agricultural  EURONEXT        LCE\n",
       "20        LRC          LR       10.00          1.00                           Robusta Coffee New (LCE)      Agricultural  EURONEXT        LCE\n",
       "23        CC2          CC       10.00          1.00                                              Cocoa      Agricultural      NYCE      ICEUS\n",
       "24        SB2          SB   112000.00          0.01                                          Sugar #11      Agricultural      NYCE      ICEUS\n",
       "25        XC2          CM     1000.00          0.01                                        Corn E-Mini      Agricultural      CBOT        CBT\n",
       "26        XS2          MS     1000.00          0.01                                    Soybeans E-Mini      Agricultural      CBOT        CBT\n",
       "28        LCO          LO     1000.00          1.00                                        Brent Crude  Non-Agricultural       ICE  ICEEUROPE\n",
       "38        LGO          LG      100.00          1.00                                  Petroleum Gas Oil  Non-Agricultural       ICE  ICEEUROPE\n",
       "39         ER          AI      100.00          1.00                  Bloomberg Commodity Index Futures  Non-Agricultural       CME        CBT\n",
       "43        IRB          XB    42000.00          1.00                              RBOB Gasoline Futures  Non-Agricultural     NYMEX  ICEEUROPE\n",
       "44         YG          XG       32.15          1.00                                    Gold mini-sized  Non-Agricultural       ICE      ICEUS\n",
       "45         YI          YS     1000.00          0.01                                  Silver mini-sized  Non-Agricultural       ICE      ICEUS\n",
       "55        DX2          DX     1000.00          1.00                                          USD Index          Currency     FINEX      ICEUS\n",
       "69        MEM          EI       50.00          1.00                         MSCI Emerging Markets Mini          Equities       ICE      ICEUS\n",
       "70        MFS          MG       50.00          1.00  MSCI EAFE Mini (Europe, Australasia and Far East)          Equities       ICE      ICEUS\n",
       "79         FF          FF     4167.00          1.00                               30-Day Federal Funds             Rates      CBOT        CBT\n",
       "80        F1U          FI     1000.00          1.00      5-Year Deliverable Interest Rate Swap Futures             Rates      CBOT        CBT\n",
       "81        N1U          TN     1000.00          1.00     10-Year Deliverable Interest Rate Swap Futures             Rates      CBOT        CBT\n",
       "82        UL2          UB     1000.00          1.00                                        Ultra Tbond             Rates      CBOT        CBT"
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# The name of the exchange is irrelevant, but just for the sake of showing the differences\n",
    "ldf_[ldf_['exchange'] != ldf_['Exchange']].loc[:,['csi_symbol', 'root_symbol', 'multiplier', 'minor_fx_adj', 'description', 'sector', 'exchange', 'Exchange']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
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       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, UACsiNumber, SymbolUA, ExchangeSymbol, Exchange, Name, SessionType, IsActive, TerminalPointValue, FullPointValue, Currency, ContractSize, Units, MinimumTick, TickValue, StartDate, EndDate, LinkSymbol, ConversionFactorCode, HasCurrentDayVolume, HasCurrentDayOpenInterest, HasKnownExpirationDates, LastTotalVolume, calc_poin_value]\n",
       "Index: []"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# All futures trade in USD\n",
    "ldf_[ldf_['Currency'] != 'USD']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
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       "      <th>SessionType</th>\n",
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       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "      <th>factsheet_minor_fx_adj</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>404</td>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>CME</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>20.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>200000 lbs.</td>\n",
       "      <td>USD/CWT</td>\n",
       "      <td>1.0</td>\n",
       "      <td>20.0</td>\n",
       "      <td>1996-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>2095.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier  minor_fx_adj     description exchange        sector  UACsiNumber SymbolUA ExchangeSymbol Exchange            Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency ContractSize    Units  MinimumTick  TickValue  StartDate    EndDate LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume  calc_poin_value  factsheet_minor_fx_adj\n",
       "18         DA          DA    200000.0          0.01  Class III Milk      CME  Agricultural          404       DA             DA      CME  Class III Milk    Combined         1                20.0          2000.0      USD  200000 lbs.  USD/CWT          1.0       20.0 1996-01-11 2020-10-28        NaN                     2                    0                          0                        1           2095.0           2000.0                     1.0"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# XXX This here is also very important as this makes sure that we agree on the minor_fx_adj\n",
    "#     Only for \"Class III Milk\" the pattern is a bit different, but this USD/CWT should also mean that minor_fx_adj is 0.01, e.g. this should be correct.\n",
    "ldf_['factsheet_minor_fx_adj'] = -1.0\n",
    "selector = ldf_['Units'].str.startswith('cents').astype(np.bool)\n",
    "ldf_.loc[selector, 'factsheet_minor_fx_adj'] = 0.01\n",
    "ldf_.loc[~selector, 'factsheet_minor_fx_adj'] = 1.0\n",
    "ldf_[ldf_['factsheet_minor_fx_adj'] != ldf_['minor_fx_adj']]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Verify that all contracts are still traded"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "  <thead>\n",
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       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, UACsiNumber, SymbolUA, ExchangeSymbol, Exchange, Name, SessionType, IsActive, TerminalPointValue, FullPointValue, Currency, ContractSize, Units, MinimumTick, TickValue, StartDate, EndDate, LinkSymbol, ConversionFactorCode, HasCurrentDayVolume, HasCurrentDayOpenInterest, HasKnownExpirationDates, LastTotalVolume, calc_poin_value, factsheet_minor_fx_adj]\n",
       "Index: []"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# make sure that all contracts are still trading\n",
    "ldf_[ldf_['LastTotalVolume'] < 1.0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
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      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, UACsiNumber, SymbolUA, ExchangeSymbol, Exchange, Name, SessionType, IsActive, TerminalPointValue, FullPointValue, Currency, ContractSize, Units, MinimumTick, TickValue, StartDate, EndDate, LinkSymbol, ConversionFactorCode, HasCurrentDayVolume, HasCurrentDayOpenInterest, HasKnownExpirationDates, LastTotalVolume, calc_poin_value, factsheet_minor_fx_adj]\n",
       "Index: []"
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# make sure that all contracts are still trading\n",
    "ldf_[ldf_['EndDate'] != pd.Timestamp('2020-10-28')]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "      <th>factsheet_minor_fx_adj</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>LRC</td>\n",
       "      <td>LR</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Robusta Coffee New (LCE)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>816</td>\n",
       "      <td>LRC</td>\n",
       "      <td>RC</td>\n",
       "      <td>LCE</td>\n",
       "      <td>Robusta Coffee</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>10.000</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>10 tonne</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1.0</td>\n",
       "      <td>10.000</td>\n",
       "      <td>2008-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>LKD starts at 1991-03-01</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>14463.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>XC2</td>\n",
       "      <td>CM</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn E-Mini</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>1192</td>\n",
       "      <td>XC2</td>\n",
       "      <td>YC</td>\n",
       "      <td>CBT</td>\n",
       "      <td>mini Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>1.250</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>1.0</td>\n",
       "      <td>1.250</td>\n",
       "      <td>2007-05-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>2589.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>0.01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>XS2</td>\n",
       "      <td>MS</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybeans E-Mini</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>1194</td>\n",
       "      <td>XS2</td>\n",
       "      <td>YK</td>\n",
       "      <td>CBT</td>\n",
       "      <td>mini Soybeans</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>1.250</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>1.0</td>\n",
       "      <td>1.250</td>\n",
       "      <td>2007-05-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>3510.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>0.01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31</th>\n",
       "      <td>RB2</td>\n",
       "      <td>RB</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Gasoline-Reformulated Blendstock</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>976</td>\n",
       "      <td>RB2</td>\n",
       "      <td>RB</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Gasoline-Reformulated Blendstock</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>4.200</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gallon</td>\n",
       "      <td>1.0</td>\n",
       "      <td>4.200</td>\n",
       "      <td>2005-10-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>HU2 starts at 1984-12-03</td>\n",
       "      <td>4</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>126660.0</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>ER</td>\n",
       "      <td>AI</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Bloomberg Commodity Index Futures</td>\n",
       "      <td>CME</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>1081</td>\n",
       "      <td>ER</td>\n",
       "      <td>AW</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Bloomberg Commodity Index (DJ UBS Commodity In...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>10.000</td>\n",
       "      <td>100.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 100 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1.0</td>\n",
       "      <td>10.000</td>\n",
       "      <td>2006-10-13</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>755.0</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>40</th>\n",
       "      <td>AC</td>\n",
       "      <td>ET</td>\n",
       "      <td>29000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Ethanol</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>962</td>\n",
       "      <td>AC</td>\n",
       "      <td>ACF</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Ethanol</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>29.000</td>\n",
       "      <td>29000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>29000 gallons</td>\n",
       "      <td>USD/gallon</td>\n",
       "      <td>1.0</td>\n",
       "      <td>29.000</td>\n",
       "      <td>2005-03-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>14.0</td>\n",
       "      <td>29000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>41</th>\n",
       "      <td>QG</td>\n",
       "      <td>QG</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Natural Gas E-mini</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>724</td>\n",
       "      <td>QG</td>\n",
       "      <td>QG</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>e-mini Henry Hub Natural Gas</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>2.500</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>2500 mmBtu</td>\n",
       "      <td>$/mmBtu</td>\n",
       "      <td>5.0</td>\n",
       "      <td>12.500</td>\n",
       "      <td>2002-06-17</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>8516.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>42</th>\n",
       "      <td>QM</td>\n",
       "      <td>QM</td>\n",
       "      <td>500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Crude Oil E-Mini</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>725</td>\n",
       "      <td>QM</td>\n",
       "      <td>QM</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>e-mini Crude Oil</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0.500</td>\n",
       "      <td>500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>500 barrels</td>\n",
       "      <td>$/barrels</td>\n",
       "      <td>25.0</td>\n",
       "      <td>12.500</td>\n",
       "      <td>2002-06-17</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>14565.0</td>\n",
       "      <td>500.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>IRB</td>\n",
       "      <td>XB</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>RBOB Gasoline Futures</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>772</td>\n",
       "      <td>IRB</td>\n",
       "      <td>N</td>\n",
       "      <td>ICEEUROPE</td>\n",
       "      <td>RBOB Gasoline</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>4.200</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gallons</td>\n",
       "      <td>1.0</td>\n",
       "      <td>4.200</td>\n",
       "      <td>2006-04-24</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>4</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>64543.0</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>59</th>\n",
       "      <td>M6E</td>\n",
       "      <td>EU</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>E-micro EUR/USD Futures</td>\n",
       "      <td>CME</td>\n",
       "      <td>Currency</td>\n",
       "      <td>1415</td>\n",
       "      <td>M6E</td>\n",
       "      <td>M6E</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-micro EUR/USD</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0.125</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>EUR 12500</td>\n",
       "      <td>USD / EUR</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.250</td>\n",
       "      <td>2009-03-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>5</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>15432.0</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>63</th>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>677</td>\n",
       "      <td>ER2</td>\n",
       "      <td>RTY</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 2000 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>0.500</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>10.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2001-10-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>143923.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>64</th>\n",
       "      <td>ER2</td>\n",
       "      <td>ER</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>677</td>\n",
       "      <td>ER2</td>\n",
       "      <td>RTY</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 2000 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>0.500</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>10.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2001-10-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>143923.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>65</th>\n",
       "      <td>VX</td>\n",
       "      <td>VX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Volatility Index</td>\n",
       "      <td>CFE</td>\n",
       "      <td>Equities</td>\n",
       "      <td>919</td>\n",
       "      <td>VX</td>\n",
       "      <td>VX</td>\n",
       "      <td>CFE</td>\n",
       "      <td>CBOE Volatility Index (VIX)</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>1.000</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$1000 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.000</td>\n",
       "      <td>2004-03-26</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>155378.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>66</th>\n",
       "      <td>YM</td>\n",
       "      <td>YM</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Dow e mini</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Equities</td>\n",
       "      <td>699</td>\n",
       "      <td>YM</td>\n",
       "      <td>YM</td>\n",
       "      <td>CBT</td>\n",
       "      <td>e-mini Dow ($5)</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>5.000</td>\n",
       "      <td>5.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$5 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2002-04-05</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>DJ starts at 1997-10-06</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>177242.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>69</th>\n",
       "      <td>MEM</td>\n",
       "      <td>EI</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Emerging Markets Mini</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Equities</td>\n",
       "      <td>1552</td>\n",
       "      <td>MEM</td>\n",
       "      <td>MME</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>mini MSCI Emerging Markets Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>100.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2010-09-24</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>EMI starts at 2008-05-27</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>70951.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>70</th>\n",
       "      <td>MFS</td>\n",
       "      <td>MG</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI EAFE Mini (Europe, Australasia and Far East)</td>\n",
       "      <td>ICE</td>\n",
       "      <td>Equities</td>\n",
       "      <td>1570</td>\n",
       "      <td>MFS</td>\n",
       "      <td>MFS</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>mini MSCI EAFE Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>100.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2010-09-24</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>25781.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>EMD</td>\n",
       "      <td>MI</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 400 MidCap E-Mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>684</td>\n",
       "      <td>EMD</td>\n",
       "      <td>EMD</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini S&amp;P Midcap 400 Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>1.000</td>\n",
       "      <td>100.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100 x index</td>\n",
       "      <td>points</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.000</td>\n",
       "      <td>2002-01-28</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>MD starts at 1992-02-13</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>9728.0</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>72</th>\n",
       "      <td>RS1</td>\n",
       "      <td>RM</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russell 1000 Mini</td>\n",
       "      <td>CME</td>\n",
       "      <td>Equities</td>\n",
       "      <td>1032</td>\n",
       "      <td>RS1</td>\n",
       "      <td>RS1</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 1000 Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0.500</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x index</td>\n",
       "      <td>points</td>\n",
       "      <td>10.0</td>\n",
       "      <td>5.000</td>\n",
       "      <td>2006-06-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>76.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80</th>\n",
       "      <td>F1U</td>\n",
       "      <td>FI</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>5-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "      <td>1839</td>\n",
       "      <td>F1U</td>\n",
       "      <td>F1U</td>\n",
       "      <td>CBT</td>\n",
       "      <td>5yr Deliverable Interest Rate Swap</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>3.125</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>5.0</td>\n",
       "      <td>15.625</td>\n",
       "      <td>2012-12-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-8</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>264.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>N1U</td>\n",
       "      <td>TN</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>10-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "      <td>1836</td>\n",
       "      <td>N1U</td>\n",
       "      <td>N1U</td>\n",
       "      <td>CBT</td>\n",
       "      <td>10yr Deliverable Interest Rate Swap</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>3.125</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>5.0</td>\n",
       "      <td>15.625</td>\n",
       "      <td>2012-12-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-7</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>1046.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>82</th>\n",
       "      <td>UL2</td>\n",
       "      <td>UB</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Ultra Tbond</td>\n",
       "      <td>CBOT</td>\n",
       "      <td>Rates</td>\n",
       "      <td>1507</td>\n",
       "      <td>UL2</td>\n",
       "      <td>UL</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Ultra T-Bonds</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>31.250</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 100000</td>\n",
       "      <td>points</td>\n",
       "      <td>1.0</td>\n",
       "      <td>31.250</td>\n",
       "      <td>2010-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-3</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>125777.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier  minor_fx_adj                                        description  exchange            sector  UACsiNumber SymbolUA ExchangeSymbol   Exchange                                               Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency     ContractSize         Units  MinimumTick  TickValue  StartDate    EndDate                LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume  calc_poin_value  factsheet_minor_fx_adj\n",
       "20        LRC          LR        10.0          1.00                           Robusta Coffee New (LCE)  EURONEXT      Agricultural          816      LRC             RC        LCE                                     Robusta Coffee         NaN         1              10.000            10.0      USD         10 tonne     USD/tonne          1.0     10.000 2008-01-11 2020-10-28  LKD starts at 1991-03-01                     0                    1                          0                        1          14463.0             10.0                    1.00\n",
       "25        XC2          CM      1000.0          0.01                                        Corn E-Mini      CBOT      Agricultural         1192      XC2             YC        CBT                                          mini Corn    Combined         1               1.250            10.0      USD     1000 bushels  cents/bushel          1.0      1.250 2007-05-15 2020-10-28                       NaN                    -1                    0                          0                        1           2589.0             10.0                    0.01\n",
       "26        XS2          MS      1000.0          0.01                                    Soybeans E-Mini      CBOT      Agricultural         1194      XS2             YK        CBT                                      mini Soybeans    Combined         1               1.250            10.0      USD     1000 bushels  cents/bushel          1.0      1.250 2007-05-15 2020-10-28                       NaN                    -1                    0                          0                        1           3510.0             10.0                    0.01\n",
       "31        RB2          RB     42000.0          1.00                   Gasoline-Reformulated Blendstock     NYMEX  Non-Agricultural          976      RB2             RB      NYMEX                   Gasoline-Reformulated Blendstock    Combined         1               4.200         42000.0      USD    42000 gallons    USD/gallon          1.0      4.200 2005-10-03 2020-10-28  HU2 starts at 1984-12-03                     4                    0                          0                        1         126660.0          42000.0                    1.00\n",
       "39         ER          AI       100.0          1.00                  Bloomberg Commodity Index Futures       CME  Non-Agricultural         1081       ER             AW        CBT  Bloomberg Commodity Index (DJ UBS Commodity In...         NaN         1              10.000           100.0      USD  USD 100 x Index        points          1.0     10.000 2006-10-13 2020-10-28                       NaN                     1                    0                          0                        1            755.0            100.0                    1.00\n",
       "40         AC          ET     29000.0          1.00                                            Ethanol       CBT  Non-Agricultural          962       AC            ACF        CBT                                            Ethanol         NaN         1              29.000         29000.0      USD    29000 gallons    USD/gallon          1.0     29.000 2005-03-23 2020-10-28                       NaN                     3                    0                          0                        1             14.0          29000.0                    1.00\n",
       "41         QG          QG      2500.0          1.00                                 Natural Gas E-mini     NYMEX  Non-Agricultural          724       QG             QG      NYMEX                       e-mini Henry Hub Natural Gas         NaN         1               2.500          2500.0      USD       2500 mmBtu       $/mmBtu          5.0     12.500 2002-06-17 2020-10-28                       NaN                     3                    0                          0                        1           8516.0           2500.0                    1.00\n",
       "42         QM          QM       500.0          1.00                                   Crude Oil E-Mini     NYMEX  Non-Agricultural          725       QM             QM      NYMEX                                   e-mini Crude Oil         NaN         1               0.500           500.0      USD      500 barrels     $/barrels         25.0     12.500 2002-06-17 2020-10-28                       NaN                     3                    0                          0                        1          14565.0            500.0                    1.00\n",
       "43        IRB          XB     42000.0          1.00                              RBOB Gasoline Futures     NYMEX  Non-Agricultural          772      IRB              N  ICEEUROPE                                      RBOB Gasoline         NaN         1               4.200         42000.0      USD    42000 gallons   USD/gallons          1.0      4.200 2006-04-24 2020-10-28                       NaN                     4                    0                          0                        1          64543.0          42000.0                    1.00\n",
       "59        M6E          EU     12500.0          1.00                            E-micro EUR/USD Futures       CME          Currency         1415      M6E            M6E        CME                                    e-micro EUR/USD         NaN         1               0.125         12500.0      USD        EUR 12500     USD / EUR         10.0      1.250 2009-03-23 2020-10-28                       NaN                     5                    0                          0                        1          15432.0          12500.0                    1.00\n",
       "63        ER2          TF        50.0          1.00                               Russel 2000 (E-mini)       CME          Equities          677      ER2            RTY        CME                          e-mini Russell 2000 Index    Combined         1               0.500            50.0      USD      $50 x Index        points         10.0      5.000 2001-10-23 2020-10-28                       NaN                     2                    0                          0                        1         143923.0             50.0                    1.00\n",
       "64        ER2          ER        50.0          1.00                               Russel 2000 (E-mini)       CME          Equities          677      ER2            RTY        CME                          e-mini Russell 2000 Index    Combined         1               0.500            50.0      USD      $50 x Index        points         10.0      5.000 2001-10-23 2020-10-28                       NaN                     2                    0                          0                        1         143923.0             50.0                    1.00\n",
       "65         VX          VX      1000.0          1.00                                   Volatility Index       CFE          Equities          919       VX             VX        CFE                        CBOE Volatility Index (VIX)    Combined         1               1.000          1000.0      USD    $1000 x Index        points         10.0     10.000 2004-03-26 2020-10-28                       NaN                     3                    0                          0                        1         155378.0           1000.0                    1.00\n",
       "66         YM          YM         5.0          1.00                                         Dow e mini       CBT          Equities          699       YM             YM        CBT                                    e-mini Dow ($5)    Combined         1               5.000             5.0      USD       $5 x Index        points          1.0      5.000 2002-04-05 2020-10-28   DJ starts at 1997-10-06                     0                    0                          0                        1         177242.0              5.0                    1.00\n",
       "69        MEM          EI        50.0          1.00                         MSCI Emerging Markets Mini       ICE          Equities         1552      MEM            MME      ICEUS                   mini MSCI Emerging Markets Index         NaN         1               0.050            50.0      USD   USD 50 x Index        points        100.0      5.000 2010-09-24 2020-10-28  EMI starts at 2008-05-27                     3                    0                          0                        1          70951.0             50.0                    1.00\n",
       "70        MFS          MG        50.0          1.00  MSCI EAFE Mini (Europe, Australasia and Far East)       ICE          Equities         1570      MFS            MFS      ICEUS                               mini MSCI EAFE Index         NaN         1               0.050            50.0      USD   USD 50 x Index        points        100.0      5.000 2010-09-24 2020-10-28                       NaN                     3                    0                          0                        1          25781.0             50.0                    1.00\n",
       "71        EMD          MI       100.0          1.00                              S&P 400 MidCap E-Mini       CME          Equities          684      EMD            EMD        CME                        e-mini S&P Midcap 400 Index         NaN         1               1.000           100.0      USD     $100 x index        points         10.0     10.000 2002-01-28 2020-10-28   MD starts at 1992-02-13                     2                    0                          0                        1           9728.0            100.0                    1.00\n",
       "72        RS1          RM        50.0          1.00                                  Russell 1000 Mini       CME          Equities         1032      RS1            RS1        CME                          e-mini Russell 1000 Index         NaN         1               0.500            50.0      USD      $50 x index        points         10.0      5.000 2006-06-15 2020-10-28                       NaN                     2                    0                          0                        1             76.0             50.0                    1.00\n",
       "80        F1U          FI      1000.0          1.00      5-Year Deliverable Interest Rate Swap Futures      CBOT             Rates         1839      F1U            F1U        CBT                 5yr Deliverable Interest Rate Swap    Combined         1               3.125          1000.0      USD          $100000        points          5.0     15.625 2012-12-03 2020-10-28                       NaN                    -8                    0                          0                        1            264.0           1000.0                    1.00\n",
       "81        N1U          TN      1000.0          1.00     10-Year Deliverable Interest Rate Swap Futures      CBOT             Rates         1836      N1U            N1U        CBT                10yr Deliverable Interest Rate Swap    Combined         1               3.125          1000.0      USD          $100000        points          5.0     15.625 2012-12-03 2020-10-28                       NaN                    -7                    0                          0                        1           1046.0           1000.0                    1.00\n",
       "82        UL2          UB      1000.0          1.00                                        Ultra Tbond      CBOT             Rates         1507      UL2             UL        CBT                                      Ultra T-Bonds    Combined         1              31.250          1000.0      USD       USD 100000        points          1.0     31.250 2010-01-11 2020-10-28                       NaN                    -3                    0                          0                        1         125777.0           1000.0                    1.00"
      ]
     },
     "execution_count": 26,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# not all contracts existed at the beginning of the time winow\n",
    "ldf_[ldf_['StartDate'] > pd.Timestamp('2000-12-31')]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "\n",
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       "        vertical-align: top;\n",
       "    }\n",
       "\n",
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       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>97</th>\n",
       "      <td>50</td>\n",
       "      <td>LKR</td>\n",
       "      <td>NaN</td>\n",
       "      <td>LCE</td>\n",
       "      <td>Coffee-Robusta</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>0.5</td>\n",
       "      <td>5.0</td>\n",
       "      <td>GBP</td>\n",
       "      <td>5 tonnes</td>\n",
       "      <td>GBP/tonne</td>\n",
       "      <td>1.0</td>\n",
       "      <td>0.5</td>\n",
       "      <td>1968-01-02</td>\n",
       "      <td>1992-03-31</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>217</th>\n",
       "      <td>148</td>\n",
       "      <td>LKD</td>\n",
       "      <td>NaN</td>\n",
       "      <td>LCE</td>\n",
       "      <td>Coffee-Robusta</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5 tonnes</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1991-03-01</td>\n",
       "      <td>2009-01-30</td>\n",
       "      <td>LKR starts at 1968-01-02</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>901</th>\n",
       "      <td>816</td>\n",
       "      <td>LRC</td>\n",
       "      <td>RC</td>\n",
       "      <td>LCE</td>\n",
       "      <td>Robusta Coffee</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>10 tonne</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>2008-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>LKD starts at 1991-03-01</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>14463.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "     UACsiNumber SymbolUA ExchangeSymbol Exchange            Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency ContractSize      Units  MinimumTick  TickValue  StartDate    EndDate                LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume\n",
       "97            50      LKR            NaN      LCE  Coffee-Robusta         NaN         0                 0.5             5.0      GBP     5 tonnes  GBP/tonne          1.0        0.5 1968-01-02 1992-03-31                       NaN                     1                    0                          0                        1              NaN\n",
       "217          148      LKD            NaN      LCE  Coffee-Robusta         NaN         0                 5.0             5.0      USD     5 tonnes  USD/tonne          1.0        5.0 1991-03-01 2009-01-30  LKR starts at 1968-01-02                     0                    1                          0                        1              NaN\n",
       "901          816      LRC             RC      LCE  Robusta Coffee         NaN         1                10.0            10.0      USD     10 tonne  USD/tonne          1.0       10.0 2008-01-11 2020-10-28  LKD starts at 1991-03-01                     0                    1                          0                        1          14463.0"
      ]
     },
     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Some indices are the continuation of others\n",
    "csidata_futures_fact_sheet_df[csidata_futures_fact_sheet_df['SymbolUA'].isin(['LRC', 'LKD', 'LKR'])]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>282</th>\n",
       "      <td>224</td>\n",
       "      <td>HU</td>\n",
       "      <td>RBOB</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Gasoline Unleaded</td>\n",
       "      <td>RTH</td>\n",
       "      <td>0</td>\n",
       "      <td>4.2</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gal</td>\n",
       "      <td>1.0</td>\n",
       "      <td>4.2</td>\n",
       "      <td>1984-12-03</td>\n",
       "      <td>2006-12-29</td>\n",
       "      <td>NaN</td>\n",
       "      <td>4</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>926</th>\n",
       "      <td>858</td>\n",
       "      <td>HU2</td>\n",
       "      <td>YQ</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Unleaded Gasoline</td>\n",
       "      <td>Combined</td>\n",
       "      <td>0</td>\n",
       "      <td>4.2</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gallon</td>\n",
       "      <td>1.0</td>\n",
       "      <td>4.2</td>\n",
       "      <td>1984-12-03</td>\n",
       "      <td>2006-12-29</td>\n",
       "      <td>HU starts at 1984-12-03</td>\n",
       "      <td>4</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1043</th>\n",
       "      <td>976</td>\n",
       "      <td>RB2</td>\n",
       "      <td>RB</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Gasoline-Reformulated Blendstock</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>4.2</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gallon</td>\n",
       "      <td>1.0</td>\n",
       "      <td>4.2</td>\n",
       "      <td>2005-10-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>HU2 starts at 1984-12-03</td>\n",
       "      <td>4</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>126660.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      UACsiNumber SymbolUA ExchangeSymbol Exchange                              Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency   ContractSize       Units  MinimumTick  TickValue  StartDate    EndDate                LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume\n",
       "282           224       HU           RBOB    NYMEX                 Gasoline Unleaded         RTH         0                 4.2         42000.0      USD  42000 gallons     USD/gal          1.0        4.2 1984-12-03 2006-12-29                       NaN                     4                    0                          0                        1              NaN\n",
       "926           858      HU2             YQ    NYMEX                 Unleaded Gasoline    Combined         0                 4.2         42000.0      USD  42000 gallons  USD/gallon          1.0        4.2 1984-12-03 2006-12-29   HU starts at 1984-12-03                     4                    0                          0                        0              NaN\n",
       "1043          976      RB2             RB    NYMEX  Gasoline-Reformulated Blendstock    Combined         1                 4.2         42000.0      USD  42000 gallons  USD/gallon          1.0        4.2 2005-10-03 2020-10-28  HU2 starts at 1984-12-03                     4                    0                          0                        1         126660.0"
      ]
     },
     "execution_count": 28,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Some indices are the continuation of others\n",
    "csidata_futures_fact_sheet_df[csidata_futures_fact_sheet_df['SymbolUA'].isin(['RB2', 'HU2', 'HU'])]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>UACsiNumber</th>\n",
       "      <th>SymbolUA</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>IsActive</th>\n",
       "      <th>TerminalPointValue</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>MinimumTick</th>\n",
       "      <th>TickValue</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LinkSymbol</th>\n",
       "      <th>ConversionFactorCode</th>\n",
       "      <th>HasCurrentDayVolume</th>\n",
       "      <th>HasCurrentDayOpenInterest</th>\n",
       "      <th>HasKnownExpirationDates</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>543</th>\n",
       "      <td>496</td>\n",
       "      <td>DJ</td>\n",
       "      <td>ZD</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Dow Jones Industrial Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$10 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1997-10-06</td>\n",
       "      <td>2015-06-19</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>748</th>\n",
       "      <td>699</td>\n",
       "      <td>YM</td>\n",
       "      <td>YM</td>\n",
       "      <td>CBT</td>\n",
       "      <td>e-mini Dow ($5)</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1</td>\n",
       "      <td>5.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$5 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>2002-04-05</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>DJ starts at 1997-10-06</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>177242.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "     UACsiNumber SymbolUA ExchangeSymbol Exchange                        Name SessionType  IsActive  TerminalPointValue  FullPointValue Currency ContractSize   Units  MinimumTick  TickValue  StartDate    EndDate               LinkSymbol  ConversionFactorCode  HasCurrentDayVolume  HasCurrentDayOpenInterest  HasKnownExpirationDates  LastTotalVolume\n",
       "543          496       DJ             ZD      CBT  Dow Jones Industrial Index    Combined         0                10.0            10.0      USD  $10 x Index  points          1.0       10.0 1997-10-06 2015-06-19                      NaN                     0                    0                          0                        1              NaN\n",
       "748          699       YM             YM      CBT             e-mini Dow ($5)    Combined         1                 5.0             5.0      USD   $5 x Index  points          1.0        5.0 2002-04-05 2020-10-28  DJ starts at 1997-10-06                     0                    0                          0                        1         177242.0"
      ]
     },
     "execution_count": 29,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Some indices are the continuation of others\n",
    "csidata_futures_fact_sheet_df[csidata_futures_fact_sheet_df['SymbolUA'].isin(['YM', 'DJ'])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Verify that for all mentioned contracts the files are downloaded and available"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Verify that all the data files are available\n",
    "ldf['cash_file_available'] = False\n",
    "ldf['first_future_year'] = ''\n",
    "ldf['first_future_month'] = ''\n",
    "ldf['last_future_year'] = ''\n",
    "ldf['last_future_month'] = ''\n",
    "\n",
    "for idx, row in ldf_.iterrows():\n",
    "    csi_symbol = row['csi_symbol']\n",
    "    csi_file_symbol = csi_symbol.ljust(3, '_')\n",
    "    dir_path = csi_futures_data.data_path3 + '/' + csi_symbol\n",
    "    file_name_list = sorted(fnmatch.filter(os.listdir(dir_path), '*.CSV'))\n",
    "    cash_file_name = file_name_list[0]\n",
    "    \n",
    "    r = re.match(r'^{}(\\d\\d\\d\\d)(.).*$'.format(csi_file_symbol), cash_file_name)\n",
    "    if not r:\n",
    "        raise RuntimeError('cash_file_name does not match file pattern')\n",
    "    cash_file_available = r.group(2) == '$'\n",
    "    ldf_.loc[idx, 'cash_file_available'] = cash_file_available\n",
    "    if cash_file_available:\n",
    "        futures_file_name_list_start = 1\n",
    "    else:\n",
    "        futures_file_name_list_start = 0\n",
    "    \n",
    "    futures_file_name_list = file_name_list[futures_file_name_list_start:]\n",
    "    \n",
    "    first_future = futures_file_name_list[0]\n",
    "    r = re.match(r'^{}(\\d\\d\\d\\d)(.).*$'.format(csi_file_symbol), first_future)\n",
    "    if not r:\n",
    "        raise RuntimeError('first_future does not match file pattern')\n",
    "    first_future_year  = r.group(1)\n",
    "    first_future_month = r.group(2)\n",
    "    \n",
    "    last_future = futures_file_name_list[-1]\n",
    "    r = re.match(r'^{}(\\d\\d\\d\\d)(.).*$'.format(csi_file_symbol), last_future)\n",
    "    if not r:\n",
    "        raise RuntimeError('last_future does not match file pattern')\n",
    "    last_future_year  = r.group(1)\n",
    "    last_future_month = r.group(2)\n",
    "    ldf_.loc[idx, 'first_future_year'] = first_future_year\n",
    "    ldf_.loc[idx, 'first_future_month'] = first_future_month\n",
    "    ldf_.loc[idx, 'last_future_year'] = last_future_year\n",
    "    ldf_.loc[idx, 'last_future_month'] = last_future_month"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
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       "\n",
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       "        text-align: right;\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>sector</th>\n",
       "      <th>ExchangeSymbol</th>\n",
       "      <th>Exchange</th>\n",
       "      <th>Name</th>\n",
       "      <th>SessionType</th>\n",
       "      <th>FullPointValue</th>\n",
       "      <th>Currency</th>\n",
       "      <th>ContractSize</th>\n",
       "      <th>Units</th>\n",
       "      <th>StartDate</th>\n",
       "      <th>EndDate</th>\n",
       "      <th>LastTotalVolume</th>\n",
       "      <th>calc_poin_value</th>\n",
       "      <th>factsheet_minor_fx_adj</th>\n",
       "      <th>cash_file_available</th>\n",
       "      <th>first_future_year</th>\n",
       "      <th>first_future_month</th>\n",
       "      <th>last_future_year</th>\n",
       "      <th>last_future_month</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>KC</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>Combined</td>\n",
       "      <td>375.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>37500 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>1972-08-16</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>31867.0</td>\n",
       "      <td>375.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>C</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>426691.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2023</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>C2</td>\n",
       "      <td>CN</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>C</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>426691.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2023</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>CT</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>Combined</td>\n",
       "      <td>500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>50000 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>1967-03-22</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>35749.0</td>\n",
       "      <td>500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2023</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>LH</td>\n",
       "      <td>CME</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>Combined</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>1966-02-28</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>30958.0</td>\n",
       "      <td>400.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2022</td>\n",
       "      <td>J</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>LC</td>\n",
       "      <td>LC</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Live Cattle</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>LC</td>\n",
       "      <td>CME</td>\n",
       "      <td>Live Cattle</td>\n",
       "      <td>Combined</td>\n",
       "      <td>400.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>40000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>1964-11-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>57781.0</td>\n",
       "      <td>400.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2022</td>\n",
       "      <td>G</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>LB</td>\n",
       "      <td>LB</td>\n",
       "      <td>110.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Lumber</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>LB</td>\n",
       "      <td>CME</td>\n",
       "      <td>Lumber</td>\n",
       "      <td>Combined</td>\n",
       "      <td>110.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>110000 board ft</td>\n",
       "      <td>USD/1000 board ft</td>\n",
       "      <td>1969-10-01</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>465.0</td>\n",
       "      <td>110.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2021</td>\n",
       "      <td>X</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>O2</td>\n",
       "      <td>_O</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>O</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Oats</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>534.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>O2</td>\n",
       "      <td>OA</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>O</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Oats</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>534.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>OJ2</td>\n",
       "      <td>OJ</td>\n",
       "      <td>15000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Orange Juice</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>OJ</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Frozen Orange Juice</td>\n",
       "      <td>Combined</td>\n",
       "      <td>150.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>15000 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>1966-10-26</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>768.0</td>\n",
       "      <td>150.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>RR2</td>\n",
       "      <td>RR</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Rice(Rough)</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>RRF</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Rough Rice</td>\n",
       "      <td>Combined</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>2000CWT</td>\n",
       "      <td>USD/CWT</td>\n",
       "      <td>1986-08-20</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>1722.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2021</td>\n",
       "      <td>X</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>S2</td>\n",
       "      <td>_S</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>S</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Soybeans</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>342446.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2023</td>\n",
       "      <td>X</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>S2</td>\n",
       "      <td>SY</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>S</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Soybeans</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1949-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>342446.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2023</td>\n",
       "      <td>X</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>LSU</td>\n",
       "      <td>LS</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Sugar  #5(White)</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>W</td>\n",
       "      <td>LCE</td>\n",
       "      <td>White Sugar (#5)</td>\n",
       "      <td>NaN</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>50 tonnes</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1987-07-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>11840.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2022</td>\n",
       "      <td>K</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>W2</td>\n",
       "      <td>_W</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>W</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1996-03-01</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>105855.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>W2</td>\n",
       "      <td>WC</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>W</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bu</td>\n",
       "      <td>cents/bu</td>\n",
       "      <td>1996-03-01</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>105855.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>KW2</td>\n",
       "      <td>KW</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Kansas City</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>KE</td>\n",
       "      <td>KCBT</td>\n",
       "      <td>Kansas City HRW Wheat</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>1966-05-16</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>45300.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>MW2</td>\n",
       "      <td>MW</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Spring</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>MWE</td>\n",
       "      <td>MGE</td>\n",
       "      <td>Spring Wheat</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>5000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>1967-01-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>8613.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2022</td>\n",
       "      <td>K</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>DA</td>\n",
       "      <td>CME</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>Combined</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>200000 lbs.</td>\n",
       "      <td>USD/CWT</td>\n",
       "      <td>1996-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>2095.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2022</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>FC</td>\n",
       "      <td>FC</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cattle-Feeder</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>FC</td>\n",
       "      <td>CME</td>\n",
       "      <td>Feeder Cattle</td>\n",
       "      <td>Combined</td>\n",
       "      <td>500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>50000 lbs</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>1971-11-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>10759.0</td>\n",
       "      <td>500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2021</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>LRC</td>\n",
       "      <td>LR</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Robusta Coffee New (LCE)</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>RC</td>\n",
       "      <td>LCE</td>\n",
       "      <td>Robusta Coffee</td>\n",
       "      <td>NaN</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>10 tonne</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>2008-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>14463.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2022</td>\n",
       "      <td>K</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>BO2</td>\n",
       "      <td>BO</td>\n",
       "      <td>60000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>BO</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Soybean Oil</td>\n",
       "      <td>Combined</td>\n",
       "      <td>600.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>60000lb</td>\n",
       "      <td>cents/lb</td>\n",
       "      <td>1996-03-01</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>109035.0</td>\n",
       "      <td>600.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2023</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>SM2</td>\n",
       "      <td>SM</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Soybean Meal</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>SM</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Soybean Meal</td>\n",
       "      <td>Combined</td>\n",
       "      <td>100.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>100 short tons</td>\n",
       "      <td>USD/short ton</td>\n",
       "      <td>1951-08-29</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>108217.0</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2023</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>CC2</td>\n",
       "      <td>CC</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>CC</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>Combined</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>10 tonnes</td>\n",
       "      <td>USD/tonne</td>\n",
       "      <td>1965-12-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>31624.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2022</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>SB2</td>\n",
       "      <td>SB</td>\n",
       "      <td>112000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>SB</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>Sugar #11</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1120.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>112000 lbs</td>\n",
       "      <td>cents/pound</td>\n",
       "      <td>1965-12-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>124605.0</td>\n",
       "      <td>1120.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2001</td>\n",
       "      <td>H</td>\n",
       "      <td>2023</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>XC2</td>\n",
       "      <td>CM</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn E-Mini</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>YC</td>\n",
       "      <td>CBT</td>\n",
       "      <td>mini Corn</td>\n",
       "      <td>Combined</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>2007-05-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>2589.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>True</td>\n",
       "      <td>2007</td>\n",
       "      <td>N</td>\n",
       "      <td>2023</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>XS2</td>\n",
       "      <td>MS</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybeans E-Mini</td>\n",
       "      <td>Agricultural</td>\n",
       "      <td>YK</td>\n",
       "      <td>CBT</td>\n",
       "      <td>mini Soybeans</td>\n",
       "      <td>Combined</td>\n",
       "      <td>10.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 bushels</td>\n",
       "      <td>cents/bushel</td>\n",
       "      <td>2007-05-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>3510.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>False</td>\n",
       "      <td>2007</td>\n",
       "      <td>N</td>\n",
       "      <td>2023</td>\n",
       "      <td>X</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>CL2</td>\n",
       "      <td>CL</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Crude Oil-Light</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>CL</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>Crude Oil</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 barrels</td>\n",
       "      <td>USD/barrel</td>\n",
       "      <td>1983-03-30</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>567900.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2031</td>\n",
       "      <td>G</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>LCO</td>\n",
       "      <td>LO</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>B</td>\n",
       "      <td>ICEEUROPE</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>1000 barrels</td>\n",
       "      <td>USD/barrel</td>\n",
       "      <td>1988-06-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>781133.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2029</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>HO2</td>\n",
       "      <td>HO</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Heating Oil</td>\n",
       "      <td>Non-Agricultural</td>\n",
       "      <td>HO</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>NY Harbor ULSD</td>\n",
       "      <td>Combined</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>42000 gallons</td>\n",
       "      <td>USD/gallon</td>\n",
       "      <td>1978-11-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>184195.0</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2024</td>\n",
       "      <td>F</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>53</th>\n",
       "      <td>NE</td>\n",
       "      <td>NZ</td>\n",
       "      <td>100000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>NZD/USD</td>\n",
       "      <td>Currency</td>\n",
       "      <td>NE</td>\n",
       "      <td>CME</td>\n",
       "      <td>New Zealand Dollar</td>\n",
       "      <td>Combined</td>\n",
       "      <td>100000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>100000 NZD</td>\n",
       "      <td>$/NZD</td>\n",
       "      <td>1997-05-07</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>17026.0</td>\n",
       "      <td>100000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2022</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>54</th>\n",
       "      <td>SF</td>\n",
       "      <td>SF</td>\n",
       "      <td>125000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>CHF/USD</td>\n",
       "      <td>Currency</td>\n",
       "      <td>SF</td>\n",
       "      <td>CME</td>\n",
       "      <td>Swiss Franc</td>\n",
       "      <td>Combined</td>\n",
       "      <td>125000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>CHF 125000</td>\n",
       "      <td>USD/CHF</td>\n",
       "      <td>1972-05-16</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>16511.0</td>\n",
       "      <td>125000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2025</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>55</th>\n",
       "      <td>DX2</td>\n",
       "      <td>DX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>USD Index</td>\n",
       "      <td>Currency</td>\n",
       "      <td>DX</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>U.S. Dollar Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$1000 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1985-11-20</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>14066.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>56</th>\n",
       "      <td>MP</td>\n",
       "      <td>MP</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>Currency</td>\n",
       "      <td>MP</td>\n",
       "      <td>CME</td>\n",
       "      <td>Mexican Peso</td>\n",
       "      <td>Combined</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>MXN 500000</td>\n",
       "      <td>USD/MXN</td>\n",
       "      <td>1995-04-25</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>41927.0</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2022</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>57</th>\n",
       "      <td>MP</td>\n",
       "      <td>ME</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>Currency</td>\n",
       "      <td>MP</td>\n",
       "      <td>CME</td>\n",
       "      <td>Mexican Peso</td>\n",
       "      <td>Combined</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>MXN 500000</td>\n",
       "      <td>USD/MXN</td>\n",
       "      <td>1995-04-25</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>41927.0</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>X</td>\n",
       "      <td>2022</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>58</th>\n",
       "      <td>EX</td>\n",
       "      <td>EE</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Euro FX E-mini</td>\n",
       "      <td>Currency</td>\n",
       "      <td>E7</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Euro</td>\n",
       "      <td>NaN</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>EUR 62500</td>\n",
       "      <td>USD/EUR</td>\n",
       "      <td>1999-10-08</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>4125.0</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>59</th>\n",
       "      <td>M6E</td>\n",
       "      <td>EU</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>E-micro EUR/USD Futures</td>\n",
       "      <td>Currency</td>\n",
       "      <td>M6E</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-micro EUR/USD</td>\n",
       "      <td>NaN</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>EUR 12500</td>\n",
       "      <td>USD / EUR</td>\n",
       "      <td>2009-03-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>15432.0</td>\n",
       "      <td>12500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2009</td>\n",
       "      <td>M</td>\n",
       "      <td>2021</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>60</th>\n",
       "      <td>JT</td>\n",
       "      <td>JE</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Japanese Yen E-mini</td>\n",
       "      <td>Currency</td>\n",
       "      <td>J7</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Japanese Yen</td>\n",
       "      <td>NaN</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>JPY 6250000</td>\n",
       "      <td>USD/JPY 100</td>\n",
       "      <td>1999-10-08</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>427.0</td>\n",
       "      <td>62500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>61</th>\n",
       "      <td>ES</td>\n",
       "      <td>ES</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 500 (E-mini)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>ES</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini S&amp;P 500 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1997-09-09</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>1567010.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>62</th>\n",
       "      <td>NQ</td>\n",
       "      <td>NQ</td>\n",
       "      <td>20.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nasdaq (E-mini)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>NQ</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Nasdaq 100 Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>20.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$20 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1999-06-21</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>552143.0</td>\n",
       "      <td>20.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>63</th>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>RTY</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 2000 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2001-10-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>143923.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2001</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>64</th>\n",
       "      <td>ER2</td>\n",
       "      <td>ER</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>RTY</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 2000 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2001-10-23</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>143923.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2001</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>65</th>\n",
       "      <td>VX</td>\n",
       "      <td>VX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Volatility Index</td>\n",
       "      <td>Equities</td>\n",
       "      <td>VX</td>\n",
       "      <td>CFE</td>\n",
       "      <td>CBOE Volatility Index (VIX)</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$1000 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2004-03-26</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>155378.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2004</td>\n",
       "      <td>K</td>\n",
       "      <td>2021</td>\n",
       "      <td>N</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>66</th>\n",
       "      <td>YM</td>\n",
       "      <td>YM</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Dow e mini</td>\n",
       "      <td>Equities</td>\n",
       "      <td>YM</td>\n",
       "      <td>CBT</td>\n",
       "      <td>e-mini Dow ($5)</td>\n",
       "      <td>Combined</td>\n",
       "      <td>5.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$5 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2002-04-05</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>177242.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>67</th>\n",
       "      <td>NK</td>\n",
       "      <td>NK</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Nikkei 225</td>\n",
       "      <td>Equities</td>\n",
       "      <td>NK</td>\n",
       "      <td>CME</td>\n",
       "      <td>Nikkei 225 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>5.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$5.00 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1990-09-25</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>3969.0</td>\n",
       "      <td>5.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2025</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>68</th>\n",
       "      <td>STW</td>\n",
       "      <td>TW</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Taiwan</td>\n",
       "      <td>Equities</td>\n",
       "      <td>TW</td>\n",
       "      <td>SGX</td>\n",
       "      <td>MSCI Taiwan Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>100.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1997-01-09</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>64596.0</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>69</th>\n",
       "      <td>MEM</td>\n",
       "      <td>EI</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Emerging Markets Mini</td>\n",
       "      <td>Equities</td>\n",
       "      <td>MME</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>mini MSCI Emerging Markets Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2010-09-24</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>70951.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2010</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>70</th>\n",
       "      <td>MFS</td>\n",
       "      <td>MG</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI EAFE Mini (Europe, Australasia and Far East)</td>\n",
       "      <td>Equities</td>\n",
       "      <td>MFS</td>\n",
       "      <td>ICEUS</td>\n",
       "      <td>mini MSCI EAFE Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 50 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>2010-09-24</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>25781.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2010</td>\n",
       "      <td>Z</td>\n",
       "      <td>2023</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>EMD</td>\n",
       "      <td>MI</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 400 MidCap E-Mini</td>\n",
       "      <td>Equities</td>\n",
       "      <td>EMD</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini S&amp;P Midcap 400 Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>100.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100 x index</td>\n",
       "      <td>points</td>\n",
       "      <td>2002-01-28</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>9728.0</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>72</th>\n",
       "      <td>RS1</td>\n",
       "      <td>RM</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russell 1000 Mini</td>\n",
       "      <td>Equities</td>\n",
       "      <td>RS1</td>\n",
       "      <td>CME</td>\n",
       "      <td>e-mini Russell 1000 Index</td>\n",
       "      <td>NaN</td>\n",
       "      <td>50.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$50 x index</td>\n",
       "      <td>points</td>\n",
       "      <td>2006-06-15</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>76.0</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2006</td>\n",
       "      <td>M</td>\n",
       "      <td>2021</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>73</th>\n",
       "      <td>SP2</td>\n",
       "      <td>SP</td>\n",
       "      <td>250.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>S&amp;P 500 Futures</td>\n",
       "      <td>Equities</td>\n",
       "      <td>SP</td>\n",
       "      <td>CME</td>\n",
       "      <td>S&amp;P 500 Index</td>\n",
       "      <td>Combined</td>\n",
       "      <td>250.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$250 x Index</td>\n",
       "      <td>points</td>\n",
       "      <td>1982-04-21</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>1237.0</td>\n",
       "      <td>250.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2024</td>\n",
       "      <td>Z</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>74</th>\n",
       "      <td>FV</td>\n",
       "      <td>FV</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 5yr</td>\n",
       "      <td>Rates</td>\n",
       "      <td>FV</td>\n",
       "      <td>CBT</td>\n",
       "      <td>5-Year U.S. T-Note</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>1988-05-20</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>475624.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>M</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>75</th>\n",
       "      <td>ED</td>\n",
       "      <td>ED</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Eurodollar 3m</td>\n",
       "      <td>Rates</td>\n",
       "      <td>ED</td>\n",
       "      <td>CME</td>\n",
       "      <td>Eurodollar</td>\n",
       "      <td>Combined</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$1000000</td>\n",
       "      <td>USD/bas pt</td>\n",
       "      <td>1981-12-09</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>964628.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2030</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>76</th>\n",
       "      <td>US</td>\n",
       "      <td>US</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Long Bond 30yr</td>\n",
       "      <td>Rates</td>\n",
       "      <td>US</td>\n",
       "      <td>CBT</td>\n",
       "      <td>U.S. T-Bond</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>1977-08-22</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>275204.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>M</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>77</th>\n",
       "      <td>TU</td>\n",
       "      <td>TU</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 2yr</td>\n",
       "      <td>Rates</td>\n",
       "      <td>TU</td>\n",
       "      <td>CBT</td>\n",
       "      <td>2-Year U.S. T-Note</td>\n",
       "      <td>Combined</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$200000</td>\n",
       "      <td>points</td>\n",
       "      <td>1990-06-22</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>152282.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>M</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>78</th>\n",
       "      <td>TY</td>\n",
       "      <td>TY</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>US Treasury Note 10y</td>\n",
       "      <td>Rates</td>\n",
       "      <td>TYF</td>\n",
       "      <td>CBT</td>\n",
       "      <td>10-Year U.S. T-Note</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>1982-05-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>970079.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2000</td>\n",
       "      <td>Z</td>\n",
       "      <td>2021</td>\n",
       "      <td>M</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>79</th>\n",
       "      <td>FF</td>\n",
       "      <td>FF</td>\n",
       "      <td>4167.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>30-Day Federal Funds</td>\n",
       "      <td>Rates</td>\n",
       "      <td>FF</td>\n",
       "      <td>CBT</td>\n",
       "      <td>30 Day Federal Funds</td>\n",
       "      <td>Combined</td>\n",
       "      <td>4167.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$5000000</td>\n",
       "      <td>USD/bas pt</td>\n",
       "      <td>1988-10-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>35066.0</td>\n",
       "      <td>4167.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2000</td>\n",
       "      <td>V</td>\n",
       "      <td>2025</td>\n",
       "      <td>U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80</th>\n",
       "      <td>F1U</td>\n",
       "      <td>FI</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>5-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>Rates</td>\n",
       "      <td>F1U</td>\n",
       "      <td>CBT</td>\n",
       "      <td>5yr Deliverable Interest Rate Swap</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>2012-12-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>264.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2013</td>\n",
       "      <td>H</td>\n",
       "      <td>2021</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>N1U</td>\n",
       "      <td>TN</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>10-Year Deliverable Interest Rate Swap Futures</td>\n",
       "      <td>Rates</td>\n",
       "      <td>N1U</td>\n",
       "      <td>CBT</td>\n",
       "      <td>10yr Deliverable Interest Rate Swap</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>$100000</td>\n",
       "      <td>points</td>\n",
       "      <td>2012-12-03</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>1046.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>True</td>\n",
       "      <td>2013</td>\n",
       "      <td>H</td>\n",
       "      <td>2021</td>\n",
       "      <td>H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>82</th>\n",
       "      <td>UL2</td>\n",
       "      <td>UB</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Ultra Tbond</td>\n",
       "      <td>Rates</td>\n",
       "      <td>UL</td>\n",
       "      <td>CBT</td>\n",
       "      <td>Ultra T-Bonds</td>\n",
       "      <td>Combined</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USD</td>\n",
       "      <td>USD 100000</td>\n",
       "      <td>points</td>\n",
       "      <td>2010-01-11</td>\n",
       "      <td>2020-10-28</td>\n",
       "      <td>125777.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>False</td>\n",
       "      <td>2010</td>\n",
       "      <td>H</td>\n",
       "      <td>2021</td>\n",
       "      <td>M</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>83 rows × 24 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "   csi_symbol root_symbol  multiplier  minor_fx_adj                                        description            sector ExchangeSymbol   Exchange                                 Name SessionType  FullPointValue Currency     ContractSize              Units  StartDate    EndDate  LastTotalVolume  calc_poin_value  factsheet_minor_fx_adj  cash_file_available first_future_year first_future_month last_future_year last_future_month\n",
       "0         KC2          KC     37500.0          0.01                                             Coffee      Agricultural             KC      ICEUS                               Coffee    Combined           375.0      USD        37500 lbs        cents/pound 1972-08-16 2020-10-28          31867.0            375.0                    0.01                 True              2000                  Z             2023                 U\n",
       "1          C2          _C      5000.0          0.01                                               Corn      Agricultural              C        CBT                                 Corn    Combined            50.0      USD          5000 bu           cents/bu 1949-01-03 2020-10-28         426691.0             50.0                    0.01                 True              2000                  X             2023                 Z\n",
       "2          C2          CN      5000.0          0.01                                               Corn      Agricultural              C        CBT                                 Corn    Combined            50.0      USD          5000 bu           cents/bu 1949-01-03 2020-10-28         426691.0             50.0                    0.01                 True              2000                  X             2023                 Z\n",
       "3         CT2          CT     50000.0          0.01                                          Cotton #2      Agricultural             CT      ICEUS                            Cotton #2    Combined           500.0      USD        50000 lbs        cents/pound 1967-03-22 2020-10-28          35749.0            500.0                    0.01                 True              2000                  V             2023                 N\n",
       "4          LH          LH     40000.0          0.01                                          Lean Hogs      Agricultural             LH        CME                            Lean Hogs    Combined           400.0      USD        40000 lbs           cents/lb 1966-02-28 2020-10-28          30958.0            400.0                    0.01                 True              2000                  V             2022                 J\n",
       "5          LC          LC     40000.0          0.01                                        Live Cattle      Agricultural             LC        CME                          Live Cattle    Combined           400.0      USD        40000 lbs           cents/lb 1964-11-30 2020-10-28          57781.0            400.0                    0.01                 True              2000                  V             2022                 G\n",
       "6          LB          LB       110.0          1.00                                             Lumber      Agricultural             LB        CME                               Lumber    Combined           110.0      USD  110000 board ft  USD/1000 board ft 1969-10-01 2020-10-28            465.0            110.0                    1.00                 True              2000                  X             2021                 X\n",
       "7          O2          _O      5000.0          0.01                                           Oats-CBT      Agricultural              O        CBT                                 Oats    Combined            50.0      USD          5000 bu           cents/bu 1949-01-03 2020-10-28            534.0             50.0                    0.01                 True              2000                  Z             2023                 U\n",
       "8          O2          OA      5000.0          0.01                                           Oats-CBT      Agricultural              O        CBT                                 Oats    Combined            50.0      USD          5000 bu           cents/bu 1949-01-03 2020-10-28            534.0             50.0                    0.01                 True              2000                  Z             2023                 U\n",
       "9         OJ2          OJ     15000.0          0.01                                       Orange Juice      Agricultural             OJ      ICEUS                  Frozen Orange Juice    Combined           150.0      USD        15000 lbs        cents/pound 1966-10-26 2020-10-28            768.0            150.0                    0.01                False              2000                  X             2023                 U\n",
       "10        RR2          RR      2000.0          1.00                                        Rice(Rough)      Agricultural            RRF        CBT                           Rough Rice    Combined          2000.0      USD          2000CWT            USD/CWT 1986-08-20 2020-10-28           1722.0           2000.0                    1.00                 True              2000                  X             2021                 X\n",
       "11         S2          _S      5000.0          0.01                                            Soybean      Agricultural              S        CBT                             Soybeans    Combined            50.0      USD           5000bu           cents/bu 1949-01-03 2020-10-28         342446.0             50.0                    0.01                 True              2000                  X             2023                 X\n",
       "12         S2          SY      5000.0          0.01                                            Soybean      Agricultural              S        CBT                             Soybeans    Combined            50.0      USD           5000bu           cents/bu 1949-01-03 2020-10-28         342446.0             50.0                    0.01                 True              2000                  X             2023                 X\n",
       "13        LSU          LS        50.0          1.00                                   Sugar  #5(White)      Agricultural              W        LCE                     White Sugar (#5)         NaN            50.0      USD        50 tonnes          USD/tonne 1987-07-30 2020-10-28          11840.0             50.0                    1.00                 True              2000                  Z             2022                 K\n",
       "14         W2          _W      5000.0          0.01                                              Wheat      Agricultural              W        CBT                                Wheat    Combined            50.0      USD          5000 bu           cents/bu 1996-03-01 2020-10-28         105855.0             50.0                    0.01                 True              2000                  Z             2023                 N\n",
       "15         W2          WC      5000.0          0.01                                              Wheat      Agricultural              W        CBT                                Wheat    Combined            50.0      USD          5000 bu           cents/bu 1996-03-01 2020-10-28         105855.0             50.0                    0.01                 True              2000                  Z             2023                 N\n",
       "16        KW2          KW      5000.0          0.01                                  Wheat-Kansas City      Agricultural             KE       KCBT                Kansas City HRW Wheat    Combined            50.0      USD     5000 bushels       cents/bushel 1966-05-16 2020-10-28          45300.0             50.0                    0.01                 True              2000                  Z             2023                 N\n",
       "17        MW2          MW      5000.0          0.01                                       Wheat-Spring      Agricultural            MWE        MGE                         Spring Wheat    Combined            50.0      USD     5000 bushels       cents/bushel 1967-01-03 2020-10-28           8613.0             50.0                    0.01                 True              2000                  Z             2022                 K\n",
       "18         DA          DA    200000.0          0.01                                     Class III Milk      Agricultural             DA        CME                       Class III Milk    Combined          2000.0      USD      200000 lbs.            USD/CWT 1996-01-11 2020-10-28           2095.0           2000.0                    1.00                 True              2000                  V             2022                 U\n",
       "19         FC          FC     50000.0          0.01                                      Cattle-Feeder      Agricultural             FC        CME                        Feeder Cattle    Combined           500.0      USD        50000 lbs           cents/lb 1971-11-30 2020-10-28          10759.0            500.0                    0.01                 True              2000                  V             2021                 U\n",
       "20        LRC          LR        10.0          1.00                           Robusta Coffee New (LCE)      Agricultural             RC        LCE                       Robusta Coffee         NaN            10.0      USD         10 tonne          USD/tonne 2008-01-11 2020-10-28          14463.0             10.0                    1.00                 True              2000                  X             2022                 K\n",
       "21        BO2          BO     60000.0          0.01                                        Soybean Oil      Agricultural             BO        CBT                          Soybean Oil    Combined           600.0      USD          60000lb           cents/lb 1996-03-01 2020-10-28         109035.0            600.0                    0.01                 True              2000                  V             2023                 Z\n",
       "22        SM2          SM       100.0          1.00                                       Soybean Meal      Agricultural             SM        CBT                         Soybean Meal    Combined           100.0      USD   100 short tons      USD/short ton 1951-08-29 2020-10-28         108217.0            100.0                    1.00                 True              2000                  V             2023                 Z\n",
       "23        CC2          CC        10.0          1.00                                              Cocoa      Agricultural             CC      ICEUS                                Cocoa    Combined            10.0      USD        10 tonnes          USD/tonne 1965-12-30 2020-10-28          31624.0             10.0                    1.00                 True              2000                  Z             2022                 U\n",
       "24        SB2          SB    112000.0          0.01                                          Sugar #11      Agricultural             SB      ICEUS                            Sugar #11    Combined          1120.0      USD       112000 lbs        cents/pound 1965-12-30 2020-10-28         124605.0           1120.0                    0.01                 True              2001                  H             2023                 N\n",
       "25        XC2          CM      1000.0          0.01                                        Corn E-Mini      Agricultural             YC        CBT                            mini Corn    Combined            10.0      USD     1000 bushels       cents/bushel 2007-05-15 2020-10-28           2589.0             10.0                    0.01                 True              2007                  N             2023                 Z\n",
       "26        XS2          MS      1000.0          0.01                                    Soybeans E-Mini      Agricultural             YK        CBT                        mini Soybeans    Combined            10.0      USD     1000 bushels       cents/bushel 2007-05-15 2020-10-28           3510.0             10.0                    0.01                False              2007                  N             2023                 X\n",
       "27        CL2          CL      1000.0          1.00                                    Crude Oil-Light  Non-Agricultural             CL      NYMEX                            Crude Oil    Combined          1000.0      USD     1000 barrels         USD/barrel 1983-03-30 2020-10-28         567900.0           1000.0                    1.00                 True              2000                  X             2031                 G\n",
       "28        LCO          LO      1000.0          1.00                                        Brent Crude  Non-Agricultural              B  ICEEUROPE                          Brent Crude    Combined          1000.0      USD     1000 barrels         USD/barrel 1988-06-23 2020-10-28         781133.0           1000.0                    1.00                 True              2000                  X             2029                 H\n",
       "29        HO2          HO     42000.0          1.00                                        Heating Oil  Non-Agricultural             HO      NYMEX                       NY Harbor ULSD    Combined         42000.0      USD    42000 gallons         USD/gallon 1978-11-15 2020-10-28         184195.0          42000.0                    1.00                 True              2000                  X             2024                 F\n",
       "..        ...         ...         ...           ...                                                ...               ...            ...        ...                                  ...         ...             ...      ...              ...                ...        ...        ...              ...              ...                     ...                  ...               ...                ...              ...               ...\n",
       "53         NE          NZ    100000.0          1.00                                            NZD/USD          Currency             NE        CME                   New Zealand Dollar    Combined        100000.0      USD       100000 NZD              $/NZD 1997-05-07 2020-10-28          17026.0         100000.0                    1.00                 True              2000                  Z             2022                 H\n",
       "54         SF          SF    125000.0          1.00                                            CHF/USD          Currency             SF        CME                          Swiss Franc    Combined        125000.0      USD       CHF 125000            USD/CHF 1972-05-16 2020-10-28          16511.0         125000.0                    1.00                 True              2000                  Z             2025                 U\n",
       "55        DX2          DX      1000.0          1.00                                          USD Index          Currency             DX      ICEUS                    U.S. Dollar Index    Combined          1000.0      USD    $1000 x Index             points 1985-11-20 2020-10-28          14066.0           1000.0                    1.00                 True              2000                  Z             2021                 U\n",
       "56         MP          MP    500000.0          1.00                                            MEP/USD          Currency             MP        CME                         Mexican Peso    Combined        500000.0      USD       MXN 500000            USD/MXN 1995-04-25 2020-10-28          41927.0         500000.0                    1.00                 True              2000                  X             2022                 H\n",
       "57         MP          ME    500000.0          1.00                                            MEP/USD          Currency             MP        CME                         Mexican Peso    Combined        500000.0      USD       MXN 500000            USD/MXN 1995-04-25 2020-10-28          41927.0         500000.0                    1.00                 True              2000                  X             2022                 H\n",
       "58         EX          EE     62500.0          1.00                                     Euro FX E-mini          Currency             E7        CME                          e-mini Euro         NaN         62500.0      USD        EUR 62500            USD/EUR 1999-10-08 2020-10-28           4125.0          62500.0                    1.00                False              2000                  Z             2021                 H\n",
       "59        M6E          EU     12500.0          1.00                            E-micro EUR/USD Futures          Currency            M6E        CME                      e-micro EUR/USD         NaN         12500.0      USD        EUR 12500          USD / EUR 2009-03-23 2020-10-28          15432.0          12500.0                    1.00                 True              2009                  M             2021                 H\n",
       "60         JT          JE     62500.0          1.00                                Japanese Yen E-mini          Currency             J7        CME                  e-mini Japanese Yen         NaN         62500.0      USD      JPY 6250000        USD/JPY 100 1999-10-08 2020-10-28            427.0          62500.0                    1.00                False              2000                  Z             2021                 H\n",
       "61         ES          ES        50.0          1.00                                   S&P 500 (E-mini)          Equities             ES        CME                 e-mini S&P 500 Index    Combined            50.0      USD      $50 x Index             points 1997-09-09 2020-10-28        1567010.0             50.0                    1.00                 True              2000                  Z             2021                 Z\n",
       "62         NQ          NQ        20.0          1.00                                    Nasdaq (E-mini)          Equities             NQ        CME              e-mini Nasdaq 100 Index         NaN            20.0      USD      $20 x Index             points 1999-06-21 2020-10-28         552143.0             20.0                    1.00                 True              2000                  Z             2021                 Z\n",
       "63        ER2          TF        50.0          1.00                               Russel 2000 (E-mini)          Equities            RTY        CME            e-mini Russell 2000 Index    Combined            50.0      USD      $50 x Index             points 2001-10-23 2020-10-28         143923.0             50.0                    1.00                 True              2001                  Z             2021                 Z\n",
       "64        ER2          ER        50.0          1.00                               Russel 2000 (E-mini)          Equities            RTY        CME            e-mini Russell 2000 Index    Combined            50.0      USD      $50 x Index             points 2001-10-23 2020-10-28         143923.0             50.0                    1.00                 True              2001                  Z             2021                 Z\n",
       "65         VX          VX      1000.0          1.00                                   Volatility Index          Equities             VX        CFE          CBOE Volatility Index (VIX)    Combined          1000.0      USD    $1000 x Index             points 2004-03-26 2020-10-28         155378.0           1000.0                    1.00                 True              2004                  K             2021                 N\n",
       "66         YM          YM         5.0          1.00                                         Dow e mini          Equities             YM        CBT                      e-mini Dow ($5)    Combined             5.0      USD       $5 x Index             points 2002-04-05 2020-10-28         177242.0              5.0                    1.00                 True              2000                  Z             2021                 U\n",
       "67         NK          NK         5.0          1.00                                         Nikkei 225          Equities             NK        CME                     Nikkei 225 Index    Combined             5.0      USD    $5.00 x Index             points 1990-09-25 2020-10-28           3969.0              5.0                    1.00                 True              2000                  Z             2025                 Z\n",
       "68        STW          TW       100.0          1.00                                        MSCI Taiwan          Equities             TW        SGX                    MSCI Taiwan Index    Combined           100.0      USD     $100 x Index             points 1997-01-09 2020-10-28          64596.0            100.0                    1.00                 True              2000                  V             2023                 U\n",
       "69        MEM          EI        50.0          1.00                         MSCI Emerging Markets Mini          Equities            MME      ICEUS     mini MSCI Emerging Markets Index         NaN            50.0      USD   USD 50 x Index             points 2010-09-24 2020-10-28          70951.0             50.0                    1.00                 True              2010                  Z             2023                 U\n",
       "70        MFS          MG        50.0          1.00  MSCI EAFE Mini (Europe, Australasia and Far East)          Equities            MFS      ICEUS                 mini MSCI EAFE Index         NaN            50.0      USD   USD 50 x Index             points 2010-09-24 2020-10-28          25781.0             50.0                    1.00                 True              2010                  Z             2023                 U\n",
       "71        EMD          MI       100.0          1.00                              S&P 400 MidCap E-Mini          Equities            EMD        CME          e-mini S&P Midcap 400 Index         NaN           100.0      USD     $100 x index             points 2002-01-28 2020-10-28           9728.0            100.0                    1.00                False              2000                  Z             2021                 Z\n",
       "72        RS1          RM        50.0          1.00                                  Russell 1000 Mini          Equities            RS1        CME            e-mini Russell 1000 Index         NaN            50.0      USD      $50 x index             points 2006-06-15 2020-10-28             76.0             50.0                    1.00                False              2006                  M             2021                 Z\n",
       "73        SP2          SP       250.0          1.00                                    S&P 500 Futures          Equities             SP        CME                        S&P 500 Index    Combined           250.0      USD     $250 x Index             points 1982-04-21 2020-10-28           1237.0            250.0                    1.00                False              2000                  Z             2024                 Z\n",
       "74         FV          FV      1000.0          1.00                               US Treasury Note 5yr             Rates             FV        CBT                   5-Year U.S. T-Note    Combined          1000.0      USD          $100000             points 1988-05-20 2020-10-28         475624.0           1000.0                    1.00                 True              2000                  Z             2021                 M\n",
       "75         ED          ED      2500.0          1.00                                      Eurodollar 3m             Rates             ED        CME                           Eurodollar    Combined          2500.0      USD         $1000000         USD/bas pt 1981-12-09 2020-10-28         964628.0           2500.0                    1.00                 True              2000                  V             2030                 U\n",
       "76         US          US      1000.0          1.00                         US Treasury Long Bond 30yr             Rates             US        CBT                          U.S. T-Bond    Combined          1000.0      USD          $100000             points 1977-08-22 2020-10-28         275204.0           1000.0                    1.00                 True              2000                  Z             2021                 M\n",
       "77         TU          TU      2000.0          1.00                               US Treasury Note 2yr             Rates             TU        CBT                   2-Year U.S. T-Note    Combined          2000.0      USD          $200000             points 1990-06-22 2020-10-28         152282.0           2000.0                    1.00                 True              2000                  Z             2021                 M\n",
       "78         TY          TY      1000.0          1.00                               US Treasury Note 10y             Rates            TYF        CBT                  10-Year U.S. T-Note    Combined          1000.0      USD          $100000             points 1982-05-03 2020-10-28         970079.0           1000.0                    1.00                 True              2000                  Z             2021                 M\n",
       "79         FF          FF      4167.0          1.00                               30-Day Federal Funds             Rates             FF        CBT                 30 Day Federal Funds    Combined          4167.0      USD         $5000000         USD/bas pt 1988-10-03 2020-10-28          35066.0           4167.0                    1.00                False              2000                  V             2025                 U\n",
       "80        F1U          FI      1000.0          1.00      5-Year Deliverable Interest Rate Swap Futures             Rates            F1U        CBT   5yr Deliverable Interest Rate Swap    Combined          1000.0      USD          $100000             points 2012-12-03 2020-10-28            264.0           1000.0                    1.00                 True              2013                  H             2021                 H\n",
       "81        N1U          TN      1000.0          1.00     10-Year Deliverable Interest Rate Swap Futures             Rates            N1U        CBT  10yr Deliverable Interest Rate Swap    Combined          1000.0      USD          $100000             points 2012-12-03 2020-10-28           1046.0           1000.0                    1.00                 True              2013                  H             2021                 H\n",
       "82        UL2          UB      1000.0          1.00                                        Ultra Tbond             Rates             UL        CBT                        Ultra T-Bonds    Combined          1000.0      USD       USD 100000             points 2010-01-11 2020-10-28         125777.0           1000.0                    1.00                False              2010                  H             2021                 M\n",
       "\n",
       "[83 rows x 24 columns]"
      ]
     },
     "execution_count": 31,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf2 = ldf_[['csi_symbol','root_symbol','multiplier','minor_fx_adj','description','sector', 'ExchangeSymbol','Exchange','Name','SessionType','FullPointValue','Currency','ContractSize','Units','StartDate','EndDate','LastTotalVolume','calc_poin_value',\n",
    " 'factsheet_minor_fx_adj', 'cash_file_available','first_future_year','first_future_month','last_future_year','last_future_month']]\n",
    "ldf2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "metadata": {},
   "outputs": [],
   "source": [
    "# See above: not all contracts started at the beginning of the time window at 2000\n",
    "# ldf2[ldf2['first_future_year'] > '2000']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [],
   "source": [
    "# ldf2[ldf2['last_future_year'] < '2020']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [],
   "source": [
    "# ldf2[ldf2['StartDate'] > pd.Timestamp('2000-12-31')]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [],
   "source": [
    "#ldf_.to_excel('futures_portfolio_overview.xlsx')"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Get an overview of all contracts plus information about their usage in the different trading strategies described by Andreas"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>index</th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>is_in_bundle</th>\n",
       "      <th>ROOT_SYMBOL_TO_ETA</th>\n",
       "      <th>FUTURE_EXCHANGE_FEES_BY_SYMBOL</th>\n",
       "      <th>trend_following_markets</th>\n",
       "      <th>time_return_markets</th>\n",
       "      <th>counter_trend_markets</th>\n",
       "      <th>curve_trading_markets</th>\n",
       "      <th>any_market</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>root_symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>KC</th>\n",
       "      <td>0.0</td>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>_C</th>\n",
       "      <td>1.0</td>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CN</th>\n",
       "      <td>2.0</td>\n",
       "      <td>C2</td>\n",
       "      <td>CN</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CT</th>\n",
       "      <td>3.0</td>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LH</th>\n",
       "      <td>4.0</td>\n",
       "      <td>LH</td>\n",
       "      <td>LH</td>\n",
       "      <td>40000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Lean Hogs</td>\n",
       "      <td>CME</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             index csi_symbol root_symbol  multiplier  minor_fx_adj description exchange        sector  is_in_bundle  ROOT_SYMBOL_TO_ETA  FUTURE_EXCHANGE_FEES_BY_SYMBOL  trend_following_markets  time_return_markets  counter_trend_markets  curve_trading_markets  any_market\n",
       "root_symbol                                                                                                                                                                                                                                                                     \n",
       "KC             0.0        KC2          KC     37500.0          0.01      Coffee     CSCE  agricultural          True               False                           False                     True                 True                   True                   True        True\n",
       "_C             1.0         C2          _C      5000.0          0.01        Corn      CBT  agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "CN             2.0         C2          CN      5000.0          0.01        Corn      CBT  agricultural          True                True                            True                     True                 True                  False                   True        True\n",
       "CT             3.0        CT2          CT     50000.0          0.01   Cotton #2     NYCE  agricultural          True               False                           False                     True                 True                   True                   True        True\n",
       "LH             4.0         LH          LH     40000.0          0.01   Lean Hogs      CME  agricultural          True                True                            True                    False                False                  False                  False       False"
      ]
     },
     "execution_count": 36,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ldf = csi_futures_data.futures_markets_lookup.copy()\n",
    "ldf['any_market'] = ldf['trend_following_markets'] | ldf['time_return_markets'] | ldf['counter_trend_markets'] | ldf['curve_trading_markets']\n",
    "ldf.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {},
   "outputs": [],
   "source": [
    "# ldf.to_excel('futures_markets_lookup.xlsx')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
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      ],
      "text/plain": [
       "             index csi_symbol root_symbol  multiplier  minor_fx_adj description exchange sector  is_in_bundle  ROOT_SYMBOL_TO_ETA  FUTURE_EXCHANGE_FEES_BY_SYMBOL  trend_following_markets  time_return_markets  counter_trend_markets  curve_trading_markets  any_market\n",
       "root_symbol                                                                                                                                                                                                                                                              \n",
       "BD             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "DJ             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "EL             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "FS             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "HU             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "MB             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "MD             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "ND             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
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       "BL             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False               False                           False                     True                 True                   True                  False        True"
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# I checked manually: the following are all not traded any more. They were part of the Quantopian futures offering in 2018.\n",
    "ldf[~ldf['is_in_bundle']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "Empty DataFrame\n",
       "Columns: [index, csi_symbol, root_symbol, multiplier, minor_fx_adj, description, exchange, sector, is_in_bundle, ROOT_SYMBOL_TO_ETA, FUTURE_EXCHANGE_FEES_BY_SYMBOL, trend_following_markets, time_return_markets, counter_trend_markets, curve_trading_markets, any_market]\n",
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     },
     "execution_count": 39,
     "metadata": {},
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    "# The zipline.finance.constants.ROOT_SYMBOL_TO_ETA and zipline.finance.constants.FUTURE_EXCHANGE_FEES_BY_SYMBOL variables agree with each other\n",
    "ldf[ldf['ROOT_SYMBOL_TO_ETA'] != ldf['FUTURE_EXCHANGE_FEES_BY_SYMBOL']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [
    {
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       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MB</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MD</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ND</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PB</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>TB</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>TS</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>BL</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             index csi_symbol root_symbol  multiplier  minor_fx_adj description exchange sector  is_in_bundle  ROOT_SYMBOL_TO_ETA  FUTURE_EXCHANGE_FEES_BY_SYMBOL  trend_following_markets  time_return_markets  counter_trend_markets  curve_trading_markets  any_market\n",
       "root_symbol                                                                                                                                                                                                                                                              \n",
       "BD             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "DJ             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "EL             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "FS             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "HU             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "MB             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "MD             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "ND             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "PB             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "TB             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "TS             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False                True                            True                    False                False                  False                  False       False\n",
       "BL             NaN        NaN         NaN         NaN           NaN         NaN      NaN    NaN         False               False                           False                     True                 True                   True                  False        True"
      ]
     },
     "execution_count": 40,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# See above: these are the contracts that are not traded any longer\n",
    "ldf[pd.isnull(ldf['root_symbol'])]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>index</th>\n",
       "      <th>csi_symbol</th>\n",
       "      <th>root_symbol</th>\n",
       "      <th>multiplier</th>\n",
       "      <th>minor_fx_adj</th>\n",
       "      <th>description</th>\n",
       "      <th>exchange</th>\n",
       "      <th>sector</th>\n",
       "      <th>is_in_bundle</th>\n",
       "      <th>ROOT_SYMBOL_TO_ETA</th>\n",
       "      <th>FUTURE_EXCHANGE_FEES_BY_SYMBOL</th>\n",
       "      <th>trend_following_markets</th>\n",
       "      <th>time_return_markets</th>\n",
       "      <th>counter_trend_markets</th>\n",
       "      <th>curve_trading_markets</th>\n",
       "      <th>any_market</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>root_symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>KC</th>\n",
       "      <td>0.0</td>\n",
       "      <td>KC2</td>\n",
       "      <td>KC</td>\n",
       "      <td>37500.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Coffee</td>\n",
       "      <td>CSCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>_C</th>\n",
       "      <td>1.0</td>\n",
       "      <td>C2</td>\n",
       "      <td>_C</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Corn</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CT</th>\n",
       "      <td>3.0</td>\n",
       "      <td>CT2</td>\n",
       "      <td>CT</td>\n",
       "      <td>50000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Cotton #2</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>_O</th>\n",
       "      <td>7.0</td>\n",
       "      <td>O2</td>\n",
       "      <td>_O</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Oats-CBT</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>OJ</th>\n",
       "      <td>9.0</td>\n",
       "      <td>OJ2</td>\n",
       "      <td>OJ</td>\n",
       "      <td>15000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Orange Juice</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>_S</th>\n",
       "      <td>11.0</td>\n",
       "      <td>S2</td>\n",
       "      <td>_S</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Soybean</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LS</th>\n",
       "      <td>13.0</td>\n",
       "      <td>LSU</td>\n",
       "      <td>LS</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Sugar  #5(White)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>_W</th>\n",
       "      <td>14.0</td>\n",
       "      <td>W2</td>\n",
       "      <td>_W</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat</td>\n",
       "      <td>CBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>KW</th>\n",
       "      <td>16.0</td>\n",
       "      <td>KW2</td>\n",
       "      <td>KW</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Wheat-Kansas City</td>\n",
       "      <td>KCBT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>DA</th>\n",
       "      <td>18.0</td>\n",
       "      <td>DA</td>\n",
       "      <td>DA</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Class III Milk</td>\n",
       "      <td>CME</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LR</th>\n",
       "      <td>20.0</td>\n",
       "      <td>LRC</td>\n",
       "      <td>LR</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Robusta Coffee New (LCE)</td>\n",
       "      <td>EURONEXT</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CC</th>\n",
       "      <td>23.0</td>\n",
       "      <td>CC2</td>\n",
       "      <td>CC</td>\n",
       "      <td>10.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Cocoa</td>\n",
       "      <td>NYCE</td>\n",
       "      <td>agricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LO</th>\n",
       "      <td>28.0</td>\n",
       "      <td>LCO</td>\n",
       "      <td>LO</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Brent Crude</td>\n",
       "      <td>ICE</td>\n",
       "      <td>nonagricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>RB</th>\n",
       "      <td>31.0</td>\n",
       "      <td>RB2</td>\n",
       "      <td>RB</td>\n",
       "      <td>42000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Gasoline-Reformulated Blendstock</td>\n",
       "      <td>NYMEX</td>\n",
       "      <td>nonagricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SI</th>\n",
       "      <td>36.0</td>\n",
       "      <td>SI2</td>\n",
       "      <td>SI</td>\n",
       "      <td>5000.0</td>\n",
       "      <td>0.01</td>\n",
       "      <td>Silver</td>\n",
       "      <td>COMEX</td>\n",
       "      <td>nonagricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LG</th>\n",
       "      <td>38.0</td>\n",
       "      <td>LGO</td>\n",
       "      <td>LG</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Petroleum Gas Oil</td>\n",
       "      <td>ICE</td>\n",
       "      <td>nonagricultural</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CU</th>\n",
       "      <td>48.0</td>\n",
       "      <td>CU</td>\n",
       "      <td>CU</td>\n",
       "      <td>125000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>EUR/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>currencies</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>NE</th>\n",
       "      <td>52.0</td>\n",
       "      <td>NE</td>\n",
       "      <td>NE</td>\n",
       "      <td>100000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>NZD/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>currencies</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>DX</th>\n",
       "      <td>55.0</td>\n",
       "      <td>DX2</td>\n",
       "      <td>DX</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>USD Index</td>\n",
       "      <td>FINEX</td>\n",
       "      <td>currencies</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MP</th>\n",
       "      <td>56.0</td>\n",
       "      <td>MP</td>\n",
       "      <td>MP</td>\n",
       "      <td>500000.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MEP/USD</td>\n",
       "      <td>CME</td>\n",
       "      <td>currencies</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>TF</th>\n",
       "      <td>63.0</td>\n",
       "      <td>ER2</td>\n",
       "      <td>TF</td>\n",
       "      <td>50.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>Russel 2000 (E-mini)</td>\n",
       "      <td>CME</td>\n",
       "      <td>equities</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>TW</th>\n",
       "      <td>68.0</td>\n",
       "      <td>STW</td>\n",
       "      <td>TW</td>\n",
       "      <td>100.0</td>\n",
       "      <td>1.00</td>\n",
       "      <td>MSCI Taiwan</td>\n",
       "      <td>SGX</td>\n",
       "      <td>equities</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             index csi_symbol root_symbol  multiplier  minor_fx_adj                       description  exchange           sector  is_in_bundle  ROOT_SYMBOL_TO_ETA  FUTURE_EXCHANGE_FEES_BY_SYMBOL  trend_following_markets  time_return_markets  counter_trend_markets  curve_trading_markets  any_market\n",
       "root_symbol                                                                                                                                                                                                                                                                                               \n",
       "KC             0.0        KC2          KC     37500.0          0.01                            Coffee      CSCE     agricultural          True               False                           False                     True                 True                   True                   True        True\n",
       "_C             1.0         C2          _C      5000.0          0.01                              Corn       CBT     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "CT             3.0        CT2          CT     50000.0          0.01                         Cotton #2      NYCE     agricultural          True               False                           False                     True                 True                   True                   True        True\n",
       "_O             7.0         O2          _O      5000.0          0.01                          Oats-CBT       CBT     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "OJ             9.0        OJ2          OJ     15000.0          0.01                      Orange Juice      NYCE     agricultural          True               False                           False                    False                False                   True                  False        True\n",
       "_S            11.0         S2          _S      5000.0          0.01                           Soybean       CBT     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "LS            13.0        LSU          LS        50.0          1.00                  Sugar  #5(White)  EURONEXT     agricultural          True               False                           False                     True                 True                   True                  False        True\n",
       "_W            14.0         W2          _W      5000.0          0.01                             Wheat       CBT     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "KW            16.0        KW2          KW      5000.0          0.01                 Wheat-Kansas City      KCBT     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "DA            18.0         DA          DA    200000.0          0.01                    Class III Milk       CME     agricultural          True               False                           False                    False                False                  False                  False       False\n",
       "LR            20.0        LRC          LR        10.0          1.00          Robusta Coffee New (LCE)  EURONEXT     agricultural          True               False                           False                     True                 True                   True                  False        True\n",
       "CC            23.0        CC2          CC        10.0          1.00                             Cocoa      NYCE     agricultural          True               False                           False                    False                 True                   True                  False        True\n",
       "LO            28.0        LCO          LO      1000.0          1.00                       Brent Crude       ICE  nonagricultural          True               False                           False                    False                False                   True                  False        True\n",
       "RB            31.0        RB2          RB     42000.0          1.00  Gasoline-Reformulated Blendstock     NYMEX  nonagricultural          True               False                           False                     True                 True                   True                   True        True\n",
       "SI            36.0        SI2          SI      5000.0          0.01                            Silver     COMEX  nonagricultural          True               False                           False                    False                False                  False                  False       False\n",
       "LG            38.0        LGO          LG       100.0          1.00                 Petroleum Gas Oil       ICE  nonagricultural          True               False                           False                     True                 True                   True                  False        True\n",
       "CU            48.0         CU          CU    125000.0          1.00                           EUR/USD       CME       currencies          True               False                           False                    False                False                  False                  False       False\n",
       "NE            52.0         NE          NE    100000.0          1.00                           NZD/USD       CME       currencies          True               False                           False                    False                False                  False                  False       False\n",
       "DX            55.0        DX2          DX      1000.0          1.00                         USD Index     FINEX       currencies          True               False                           False                     True                 True                   True                  False        True\n",
       "MP            56.0         MP          MP    500000.0          1.00                           MEP/USD       CME       currencies          True               False                           False                    False                False                  False                  False       False\n",
       "TF            63.0        ER2          TF        50.0          1.00              Russel 2000 (E-mini)       CME         equities          True               False                           False                    False                False                  False                  False       False\n",
       "TW            68.0        STW          TW       100.0          1.00                       MSCI Taiwan       SGX         equities          True               False                           False                     True                 True                  False                  False        True"
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# The following are the contracts that are mentioned in Andreas' books, but were not part of the Quantopian futures offering\n",
    "ldf[~pd.isnull(ldf['root_symbol']) & ~ldf['ROOT_SYMBOL_TO_ETA']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['KC',\n",
       " 'CN',\n",
       " 'CT',\n",
       " 'OA',\n",
       " 'SY',\n",
       " 'LS',\n",
       " 'WC',\n",
       " 'FC',\n",
       " 'LR',\n",
       " 'SM',\n",
       " 'SB',\n",
       " 'CL',\n",
       " 'HO',\n",
       " 'NG',\n",
       " 'RB',\n",
       " 'GC',\n",
       " 'HG',\n",
       " 'PA',\n",
       " 'PL',\n",
       " 'SV',\n",
       " 'LG',\n",
       " 'AD',\n",
       " 'BP',\n",
       " 'EC',\n",
       " 'CD',\n",
       " 'JY',\n",
       " 'NZ',\n",
       " 'SF',\n",
       " 'DX',\n",
       " 'ES',\n",
       " 'NQ',\n",
       " 'VX',\n",
       " 'YM',\n",
       " 'NK',\n",
       " 'TW',\n",
       " 'FV',\n",
       " 'ED',\n",
       " 'US',\n",
       " 'TU',\n",
       " 'TY']"
      ]
     },
     "execution_count": 42,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Get all the symbols that Andreas used in his trend_following_markets strategy\n",
    "tfm1 = csi_futures_data.get_bundle_market_symbols('trend_following_markets')\n",
    "tfm1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['AD',\n",
       " 'BP',\n",
       " 'CD',\n",
       " 'EC',\n",
       " 'DX',\n",
       " 'JY',\n",
       " 'NZ',\n",
       " 'SF',\n",
       " 'CN',\n",
       " 'CT',\n",
       " 'FC',\n",
       " 'KC',\n",
       " 'LR',\n",
       " 'LS',\n",
       " 'OA',\n",
       " 'SY',\n",
       " 'SB',\n",
       " 'SM',\n",
       " 'WC',\n",
       " 'BL',\n",
       " 'CL',\n",
       " 'GC',\n",
       " 'HG',\n",
       " 'HO',\n",
       " 'LG',\n",
       " 'NG',\n",
       " 'PA',\n",
       " 'PL',\n",
       " 'RB',\n",
       " 'SV',\n",
       " 'ES',\n",
       " 'NK',\n",
       " 'NQ',\n",
       " 'TW',\n",
       " 'VX',\n",
       " 'YM',\n",
       " 'ED',\n",
       " 'FV',\n",
       " 'TU',\n",
       " 'TY',\n",
       " 'US']"
      ]
     },
     "execution_count": 43,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "tfm2 = csi_futures_data.trend_following_markets\n",
    "tfm2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "set()"
      ]
     },
     "execution_count": 44,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "set(tfm1) - set(tfm2)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'BL'}"
      ]
     },
     "execution_count": 45,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "set(tfm2) - set(tfm1)"
   ]
  }
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