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Add CME Ether futures to symbols database #6884

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merged 6 commits into from
Feb 9, 2023
Merged

Add CME Ether futures to symbols database #6884

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d8bb437
Add Ether futures to symbols database
jhonabreul Jan 20, 2023
b43c126
Change ETH futures exchange time zone to US/Central
jhonabreul Jan 27, 2023
c4cf425
Add new contracts FuturesExpiryFuntions
jhonabreul Feb 9, 2023
bfcb3e2
Remove BTIC Micro BTC and BTIC Micro Ether securities
jhonabreul Feb 9, 2023
7379f28
Add Ether futures IB fees and price multiplier entry
jhonabreul Feb 9, 2023
28464c1
Update Ethereum price multiplier
jhonabreul Feb 9, 2023
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8 changes: 4 additions & 4 deletions Common/Orders/Fees/InteractiveBrokersFeeModel.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -328,7 +328,7 @@ private static CashAmount HongKongFutureFees(Security security)
{ "MYM", 0.25m }, { "M2K", 0.25m }, { "MES", 0.25m }, { "MNQ", 0.25m }, { "2YY", 0.25m }, { "5YY", 0.25m }, { "10Y", 0.25m },
{ "30Y", 0.25m }, { "MCL", 0.25m }, { "MGC", 0.25m }, { "SIL", 0.25m },
// Cryptocurrency Futures
{ "BTC", 5m }, { "MIB", 2.25m }, { "MBT", 2.25m }, { "MET", 0.20m }, { "MRB", 0.20m },
{ "BTC", 5m }, { "MBT", 2.25m }, { "ETH", 3m }, { "MET", 0.20m },
// E-mini FX (currencies) Futures
{ "E7", 0.50m }, { "J7", 0.50m },
// Micro E-mini FX (currencies) Futures
Expand All @@ -342,7 +342,7 @@ private static CashAmount HongKongFutureFees(Security security)
{ "MYM", 0.25m }, { "M2K", 0.25m }, { "MES", 0.25m }, { "MNQ", 0.25m }, { "2YY", 0.25m }, { "5YY", 0.25m }, { "10Y", 0.25m },
{ "30Y", 0.25m }, { "MCL", 0.25m }, { "MGC", 0.25m }, { "SIL", 0.25m },
// Cryptocurrency Future Options
{ "BTC", 5m }, { "MIB", 1.25m }, { "MBT", 1.25m }, { "MET", 0.10m }, { "MRB", 0.10m },
{ "BTC", 5m }, { "MBT", 1.25m }, { "ETH", 3m }, { "MET", 0.10m },
};

private static readonly Dictionary<string, decimal> _usaFuturesExchangeFees = new()
Expand All @@ -353,7 +353,7 @@ private static CashAmount HongKongFutureFees(Security security)
{ "MYM", 0.30m }, { "M2K", 0.30m }, { "MES", 0.30m }, { "MNQ", 0.30m }, { "2YY", 0.30m }, { "5YY", 0.30m }, { "10Y", 0.30m },
{ "30Y", 0.30m }, { "MCL", 0.30m }, { "MGC", 0.30m }, { "SIL", 0.30m },
// Cryptocurrency Futures
{ "BTC", 6m }, { "MIB", 2.5m }, { "MBT", 2.5m }, { "MET", 0.20m }, { "MRB", 0.20m },
{ "BTC", 6m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
// E-mini FX (currencies) Futures
{ "E7", 0.85m }, { "J7", 0.85m },
// Micro E-mini FX (currencies) Futures
Expand All @@ -369,7 +369,7 @@ private static CashAmount HongKongFutureFees(Security security)
{ "MYM", 0.20m }, { "M2K", 0.20m }, { "MES", 0.20m }, { "MNQ", 0.20m }, { "2YY", 0.20m }, { "5YY", 0.20m }, { "10Y", 0.20m },
{ "30Y", 0.20m }, { "MCL", 0.20m }, { "MGC", 0.20m }, { "SIL", 0.20m },
// Cryptocurrency Future Options
{ "BTC", 5m }, { "MIB", 2.5m }, { "MBT", 2.5m }, { "MET", 0.20m }, { "MRB", 0.20m },
{ "BTC", 5m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
};

/// <summary>
Expand Down
18 changes: 6 additions & 12 deletions Common/Securities/Future/Futures.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -188,6 +188,12 @@ public static class Currencies
/// <returns>The symbol</returns>
public const string BTC = "BTC";

/// <summary>
/// Ether Futures
/// </summary>
/// <returns>The symbol</returns>
public const string ETH = "ETH";

/// <summary>
/// Canadian Dollar/Japanese Yen Futures
/// </summary>
Expand Down Expand Up @@ -307,18 +313,6 @@ public static class Currencies
/// </summary>
/// <returns>The symbol</returns>
public const string MicroBTC = "MBT";

/// <summary>
/// BTIC on Micro Ether Futures
/// </summary>
/// <returns>The symbol</returns>
public const string BTICMicroEther = "MRB";

/// <summary>
/// BTIC on Micro Bitcoin Futures
/// </summary>
/// <returns>The symbol</returns>
public const string BTICMicroBTC = "MIB";
}

/// <summary>
Expand Down
81 changes: 22 additions & 59 deletions Common/Securities/Future/FuturesExpiryFunctions.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1202,6 +1202,26 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
return lastFriday.Add(new TimeSpan(15, 0, 0));
})
},
// Ether (ETH): https://www.cmegroup.com/markets/cryptocurrencies/ether/ether.contractSpecs.html
{Symbol.Create(Futures.Currencies.ETH, SecurityType.Future, Market.CME), (time =>
{
// Monthly contracts listed for 6 consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 additional quarters and a second Dec contract if only one is listed.
// Trading terminates at 4:00 p.m. London time on the last Friday of the contract month that is either a London or U.S. business day. If the last Friday of the contract month day is not a business day in both London and the U.S., trading terminates on the prior London or U.S. business day.
var lastFriday = FuturesExpiryUtilityFunctions.LastFriday(time);

var holidays = MarketHoursDatabase.FromDataFolder()
.GetEntry(Market.CME, Futures.Currencies.ETH, SecurityType.Future)
.ExchangeHours
.Holidays;

while (holidays.Contains(lastFriday))
{
lastFriday = FuturesExpiryUtilityFunctions.AddBusinessDays(lastFriday, -1);
}

return lastFriday.Add(new TimeSpan(15, 0, 0));
})
},
// Canadian Dollar/Japanese Yen (CJY): https://www.cmegroup.com/trading/fx/g10/canadian-dollar-japanese-yen_contract_specifications.html
{Symbol.Create(Futures.Currencies.CADJPY, SecurityType.Future, Market.CME), (time =>
{
Expand Down Expand Up @@ -2843,7 +2863,7 @@ Dec listed in June
// Good Friday
FuturesExpiryUtilityFunctions.GetGoodFriday(time.Year)
};

var lastBusinessDay = FuturesExpiryUtilityFunctions.NthLastBusinessDay(time, 3, holidays);

return lastBusinessDay.Add(new TimeSpan(13, 25, 0));
Expand Down Expand Up @@ -3423,7 +3443,7 @@ Dec listed in June
// Micro Ether Futures (MET): https://www.cmegroup.com/markets/cryptocurrencies/ether/micro-ether.contractSpecs.html
{Symbol.Create(Futures.Currencies.MicroEther, SecurityType.Future, Market.CME), (time =>
{
// Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.
// Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.

// Trading terminates at 4:00 p.m. London time on the last Friday of the contract month that
// is either a London or U.S. business day. If the last Friday of the contract month day is
Expand Down Expand Up @@ -3478,63 +3498,6 @@ Dec listed in June

return lastFriday.Add(new TimeSpan(15, 0, 0));
})
},
// BTIC on Micro Ether Futures (MRB): https://www.cmegroup.com/markets/cryptocurrencies/ether/micro-ether.contractSpecs.html
{Symbol.Create(Futures.Currencies.BTICMicroEther, SecurityType.Future, Market.CME), (time =>
{
// Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.

// Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
// If this is not both a London and U.S. business day, trading terminates on the prior
// London and the U.S. business day.

// BTIC: Trading terminates at 4:00 p.m. London time on the last Thursday of the contract
// month.If this is not both a London and U.S. business day, trading terminates on the prior
// London and the U.S. business day.

var lastThursday = FuturesExpiryUtilityFunctions.LastThursday(time);

var holidays = MarketHoursDatabase.FromDataFolder()
.GetEntry(Market.CME, Futures.Currencies.BTICMicroEther, SecurityType.Future)
.ExchangeHours
.Holidays;

while (holidays.Contains(lastThursday))
{
lastThursday = FuturesExpiryUtilityFunctions.AddBusinessDays(lastThursday, -1);
}

return lastThursday.Add(new TimeSpan(15, 0, 0));
})
},
// BTIC on Micro Bitcoin Futures (MIB): https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/micro-bitcoin.contractSpecs.html
{Symbol.Create(Futures.Currencies.BTICMicroBTC, SecurityType.Future, Market.CME), (time =>
{
// Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.
// If the 6 consecutive months includes Dec, list only 1 additional Dec contract month.

// Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
// If this is not both a London and U.S. business day, trading terminates on the prior
// London and the U.S. business day.

// BTIC: Trading terminates at 4:00 p.m. London time on the last Thursday of the contract
// month.If this is not both a London and U.S. business day, trading terminates on the prior
// London and the U.S. business day.

var lastThursday = FuturesExpiryUtilityFunctions.LastThursday(time);

var holidays = MarketHoursDatabase.FromDataFolder()
.GetEntry(Market.CME, Futures.Currencies.BTICMicroBTC, SecurityType.Future)
.ExchangeHours
.Holidays;

while (holidays.Contains(lastThursday))
{
lastThursday = FuturesExpiryUtilityFunctions.AddBusinessDays(lastThursday, -1);
}

return lastThursday.Add(new TimeSpan(15, 0, 0));
})
}
};
}
Expand Down
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