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Add BTIC on cryptocurrencies futures back #8503

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Jan 6, 2025
Merged

Add BTIC on cryptocurrencies futures back #8503

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afa804e
Add BTIC on cryptocurrencies futures back
jhonabreul Jan 6, 2025
4126836
Minor unit tests fix
jhonabreul Jan 6, 2025
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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 @@ -418,7 +418,7 @@ private static CashAmount EUREXFutureFees(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 }, { "MBT", 2.25m }, { "ETH", 3m }, { "MET", 0.20m },
{ "BTC", 5m }, { "MBT", 2.25m }, { "ETH", 3m }, { "MET", 0.20m }, { "MIB", 2.25m }, { "MRB", 0.20m },
// E-mini FX (currencies) Futures
{ "E7", 0.50m }, { "J7", 0.50m },
// Micro E-mini FX (currencies) Futures
Expand All @@ -441,7 +441,7 @@ private static CashAmount EUREXFutureFees(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 }, { "MBT", 1.25m }, { "ETH", 3m }, { "MET", 0.10m },
{ "BTC", 5m }, { "MBT", 1.25m }, { "ETH", 3m }, { "MET", 0.10m }, { "MIB", 1.25m }, { "MRB", 0.10m }
};

private static readonly Dictionary<string, decimal> _usaFuturesExchangeFees = new()
Expand All @@ -452,7 +452,7 @@ private static CashAmount EUREXFutureFees(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 }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
{ "BTC", 6m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m }, { "MIB", 2.5m }, { "MRB", 0.20m },
// E-mini FX (currencies) Futures
{ "E7", 0.85m }, { "J7", 0.85m },
// Micro E-mini FX (currencies) Futures
Expand All @@ -474,7 +474,7 @@ private static CashAmount EUREXFutureFees(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 }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
{ "BTC", 5m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m }, { "MIB", 2.5m }, { "MRB", 0.20m },
};

/// <summary>
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12 changes: 12 additions & 0 deletions Common/Securities/Future/Futures.cs
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Expand Up @@ -322,6 +322,18 @@ 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>
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57 changes: 57 additions & 0 deletions Common/Securities/Future/FuturesExpiryFunctions.cs
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Expand Up @@ -3698,6 +3698,63 @@ 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, holidays);
}

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, holidays);
}

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