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Merge pull request #1445 from bug-or-feature/issue-1437-changes-from-…
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@bug-or-feature
bug-or-feature authored Nov 4, 2024
2 parents ac9774c + a26c56b commit e0e56a4
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Showing 11 changed files with 430 additions and 7 deletions.
51 changes: 51 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/BTC_SPREAD.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2019-09-20 00:00:00,20190900,20191000,20190800
2019-09-27 00:00:00,20191000,20191100,20190900
2019-11-21 00:00:00,20191100,20191200,20191000
2019-12-20 00:00:00,20191200,20200100,20191100
2019-12-27 02:00:00,20200100,20200200,20191200
2020-01-31 00:00:00,20200200,20200300,20200100
2020-02-27 12:00:00,20200300,20200400,20200200
2020-03-27 00:00:00,20200400,20200500,20200300
2020-04-24 00:00:00,20200500,20200600,20200400
2020-05-29 00:00:00,20200600,20200700,20200500
2020-06-26 00:00:00,20200700,20200800,20200600
2020-07-31 00:00:00,20200800,20200900,20200700
2020-08-28 00:00:00,20200900,20201000,20200800
2020-09-25 00:00:00,20201000,20201100,20200900
2020-10-30 00:00:00,20201100,20201200,20201000
2020-11-27 00:00:00,20201200,20210100,20201100
2020-12-24 00:00:00,20210100,20210200,20201200
2021-01-29 00:00:00,20210200,20210300,20210100
2021-02-26 00:00:00,20210300,20210400,20210200
2021-03-26 00:00:00,20210400,20210500,20210300
2021-04-30 00:00:00,20210500,20210600,20210400
2021-05-28 00:00:00,20210600,20210700,20210500
2021-06-25 00:00:00,20210700,20210800,20210600
2021-07-30 00:00:00,20210800,20210900,20210700
2021-08-27 00:00:00,20210900,20211000,20210800
2021-09-24 00:00:00,20211000,20211100,20210900
2021-10-29 00:00:00,20211100,20211200,20211000
2021-11-26 00:00:00,20211200,20220100,20211100
2021-12-31 00:00:00,20220100,20220200,20211200
2022-01-28 00:00:00,20220200,20220300,20220100
2022-02-25 00:00:00,20220300,20220400,20220200
2022-03-25 00:00:00,20220400,20220500,20220300
2022-04-29 00:00:00,20220500,20220600,20220400
2022-05-27 00:00:00,20220600,20220700,20220500
2022-06-24 00:00:00,20220700,20220800,20220600
2022-07-29 00:00:00,20220800,20220900,20220700
2022-08-26 00:00:00,20220900,20221000,20220800
2022-09-30 00:00:00,20221000,20221100,20220900
2022-10-28 00:00:00,20221100,20221200,20221000
2022-11-25 00:00:00,20221200,20230100,20221100
2022-12-30 00:00:00,20230100,20230200,20221200
2023-01-27 00:00:00,20230200,20230300,20230100
2023-02-24 00:00:00,20230300,20230400,20230200
2023-03-31 00:00:00,20230400,20230500,20230300
2023-04-28 00:00:00,20230500,20230600,20230400
2023-05-26 06:00:00,20230600,20230700,20230500
2023-06-30 02:00:00,20230700,20230800,20230600
2023-07-28 01:00:00,20230800,20230900,20230700
2023-08-25 00:00:00,20230900,20231000,20230800
2023-09-29 00:00:00,20231000,20231100,20230900
51 changes: 51 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/BTC_SPREAD2.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2019-09-02,20190900,20191000,20190800
2019-09-20,20191000,20191100,20190900
2019-10-25,20191100,20191200,20191000
2019-11-29,20191200,20200100,20191100
2019-12-23,20200100,20200200,20191200
2020-01-22,20200200,20200300,20200100
2020-02-20,20200300,20200400,20200200
2020-03-23,20200400,20200500,20200300
2020-04-21,20200500,20200600,20200400
2020-05-22,20200600,20200700,20200500
2020-06-22,20200700,20200800,20200600
2020-07-22,20200800,20200900,20200700
2020-08-21,20200900,20201000,20200800
2020-09-21,20201000,20201100,20200900
2020-10-22,20201100,20201200,20201000
2020-11-20,20201200,20210100,20201100
2020-12-22,20210100,20210200,20201200
2021-01-22,20210200,20210300,20210100
2021-02-19,20210300,20210400,20210200
2021-03-22,20210400,20210500,20210300
2021-04-21,20210500,20210600,20210400
2021-05-21,20210600,20210700,20210500
2021-06-21,20210700,20210800,20210600
2021-07-22,20210800,20210900,20210700
2021-08-23,20210900,20211000,20210800
2021-09-21,20211000,20211100,20210900
2021-10-22,20211100,20211200,20211000
2021-11-22,20211200,20220100,20211100
2021-12-22,20220100,20220200,20211200
2022-01-21,20220200,20220300,20220100
2022-02-18,20220300,20220400,20220200
2022-03-22,20220400,20220500,20220300
2022-04-21,20220500,20220600,20220400
2022-05-23,20220600,20220700,20220500
2022-06-21,20220700,20220800,20220600
2022-07-22,20220800,20220900,20220700
2022-08-22,20220900,20221000,20220800
2022-09-21,20221000,20221100,20220900
2022-10-21,20221100,20221200,20221000
2022-11-21,20221200,20230100,20221100
2022-12-22,20230100,20230200,20221200
2023-01-23,20230200,20230300,20230100
2023-02-20,20230300,20230400,20230200
2023-03-22,20230400,20230500,20230300
2023-04-21,20230500,20230600,20230400
2023-05-22,20230600,20230700,20230500
2023-06-21,20230700,20230800,20230600
2023-07-21,20230800,20230900,20230700
2023-08-22,20230900,20231000,20230800
2023-09-21,20231000,20231100,20230900
51 changes: 51 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/BTC_SPREAD2_BIDOFFER.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2019-09-02,20190900,20191000,20190800
2019-09-20,20191000,20191100,20190900
2019-10-25,20191100,20191200,20191000
2019-11-29,20191200,20200100,20191100
2019-12-23,20200100,20200200,20191200
2020-01-22,20200200,20200300,20200100
2020-02-20,20200300,20200400,20200200
2020-03-23,20200400,20200500,20200300
2020-04-21,20200500,20200600,20200400
2020-05-22,20200600,20200700,20200500
2020-06-22,20200700,20200800,20200600
2020-07-22,20200800,20200900,20200700
2020-08-21,20200900,20201000,20200800
2020-09-21,20201000,20201100,20200900
2020-10-22,20201100,20201200,20201000
2020-11-20,20201200,20210100,20201100
2020-12-22,20210100,20210200,20201200
2021-01-22,20210200,20210300,20210100
2021-02-19,20210300,20210400,20210200
2021-03-22,20210400,20210500,20210300
2021-04-21,20210500,20210600,20210400
2021-05-21,20210600,20210700,20210500
2021-06-21,20210700,20210800,20210600
2021-07-22,20210800,20210900,20210700
2021-08-23,20210900,20211000,20210800
2021-09-21,20211000,20211100,20210900
2021-10-22,20211100,20211200,20211000
2021-11-22,20211200,20220100,20211100
2021-12-22,20220100,20220200,20211200
2022-01-21,20220200,20220300,20220100
2022-02-18,20220300,20220400,20220200
2022-03-22,20220400,20220500,20220300
2022-04-21,20220500,20220600,20220400
2022-05-23,20220600,20220700,20220500
2022-06-21,20220700,20220800,20220600
2022-07-22,20220800,20220900,20220700
2022-08-22,20220900,20221000,20220800
2022-09-21,20221000,20221100,20220900
2022-10-21,20221100,20221200,20221000
2022-11-21,20221200,20230100,20221100
2022-12-22,20230100,20230200,20221200
2023-01-23,20230200,20230300,20230100
2023-02-20,20230300,20230400,20230200
2023-03-22,20230400,20230500,20230300
2023-04-21,20230500,20230600,20230400
2023-05-22,20230600,20230700,20230500
2023-06-21,20230700,20230800,20230600
2023-07-21,20230800,20230900,20230700
2023-08-22,20230900,20231000,20230800
2023-09-21,20231000,20231100,20230900
51 changes: 51 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/BTC_SPREADBIDOFFER.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2019-09-20 00:00:00,20190900,20191000,20190800
2019-09-27 00:00:00,20191000,20191100,20190900
2019-11-21 00:00:00,20191100,20191200,20191000
2019-12-20 00:00:00,20191200,20200100,20191100
2019-12-27 02:00:00,20200100,20200200,20191200
2020-01-31 00:00:00,20200200,20200300,20200100
2020-02-27 12:00:00,20200300,20200400,20200200
2020-03-27 00:00:00,20200400,20200500,20200300
2020-04-24 00:00:00,20200500,20200600,20200400
2020-05-29 00:00:00,20200600,20200700,20200500
2020-06-26 00:00:00,20200700,20200800,20200600
2020-07-31 00:00:00,20200800,20200900,20200700
2020-08-28 00:00:00,20200900,20201000,20200800
2020-09-25 00:00:00,20201000,20201100,20200900
2020-10-30 00:00:00,20201100,20201200,20201000
2020-11-27 00:00:00,20201200,20210100,20201100
2020-12-24 00:00:00,20210100,20210200,20201200
2021-01-29 00:00:00,20210200,20210300,20210100
2021-02-26 00:00:00,20210300,20210400,20210200
2021-03-26 00:00:00,20210400,20210500,20210300
2021-04-30 00:00:00,20210500,20210600,20210400
2021-05-28 00:00:00,20210600,20210700,20210500
2021-06-25 00:00:00,20210700,20210800,20210600
2021-07-30 00:00:00,20210800,20210900,20210700
2021-08-27 00:00:00,20210900,20211000,20210800
2021-09-24 00:00:00,20211000,20211100,20210900
2021-10-29 00:00:00,20211100,20211200,20211000
2021-11-26 00:00:00,20211200,20220100,20211100
2021-12-31 00:00:00,20220100,20220200,20211200
2022-01-28 00:00:00,20220200,20220300,20220100
2022-02-25 00:00:00,20220300,20220400,20220200
2022-03-25 00:00:00,20220400,20220500,20220300
2022-04-29 00:00:00,20220500,20220600,20220400
2022-05-27 00:00:00,20220600,20220700,20220500
2022-06-24 00:00:00,20220700,20220800,20220600
2022-07-29 00:00:00,20220800,20220900,20220700
2022-08-26 00:00:00,20220900,20221000,20220800
2022-09-30 00:00:00,20221000,20221100,20220900
2022-10-28 00:00:00,20221100,20221200,20221000
2022-11-25 00:00:00,20221200,20230100,20221100
2022-12-30 00:00:00,20230100,20230200,20221200
2023-01-27 00:00:00,20230200,20230300,20230100
2023-02-24 00:00:00,20230300,20230400,20230200
2023-03-31 00:00:00,20230400,20230500,20230300
2023-04-28 00:00:00,20230500,20230600,20230400
2023-05-26 06:00:00,20230600,20230700,20230500
2023-06-30 02:00:00,20230700,20230800,20230600
2023-07-28 01:00:00,20230800,20230900,20230700
2023-08-25 00:00:00,20230900,20231000,20230800
2023-09-29 00:00:00,20231000,20231100,20230900
28 changes: 28 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/ETH_SPREAD*BIDOFFER.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-03-21 19:00:00,20210300,20210400,20210200
2021-03-26 08:00:00,20210400,20210500,20210300
2021-04-30 05:00:00,20210500,20210600,20210400
2021-05-28 00:00:00,20210600,20210700,20210500
2021-06-25 01:00:00,20210700,20210800,20210600
2021-07-30 00:00:00,20210800,20210900,20210700
2021-08-27 00:00:00,20210900,20211000,20210800
2021-09-24 00:00:00,20211000,20211100,20210900
2021-10-29 00:00:00,20211100,20211200,20211000
2021-11-26 01:00:00,20211200,20220100,20211100
2021-12-31 00:00:00,20220100,20220200,20211200
2022-01-28 00:00:00,20220200,20220300,20220100
2022-02-25 00:00:00,20220300,20220400,20220200
2022-03-25 00:00:00,20220400,20220500,20220300
2022-04-29 02:00:00,20220500,20220600,20220400
2022-05-27 00:00:00,20220600,20220700,20220500
2022-06-24 14:00:00,20220700,20220800,20220600
2022-07-29 00:00:00,20220800,20220900,20220700
2022-08-26 00:00:00,20220900,20221000,20220800
2022-09-30 00:00:00,20221000,20221100,20220900
2022-10-28 00:00:00,20221100,20221200,20221000
2022-11-25 13:00:00,20221200,20230100,20221100
2022-12-30 00:00:00,20230100,20230200,20221200
2023-01-27 14:00:00,20230200,20230300,20230100
2023-02-24 00:00:00,20230300,20230400,20230200
2023-03-31 12:00:00,20230400,20230500,20230300
2023-04-28 12:00:00,20230500,20230600,20230400
28 changes: 28 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/ETH_SPREAD.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-03-21 19:00:00,20210300,20210400,20210200
2021-03-26 08:00:00,20210400,20210500,20210300
2021-04-30 05:00:00,20210500,20210600,20210400
2021-05-28 00:00:00,20210600,20210700,20210500
2021-06-25 01:00:00,20210700,20210800,20210600
2021-07-30 00:00:00,20210800,20210900,20210700
2021-08-27 00:00:00,20210900,20211000,20210800
2021-09-24 00:00:00,20211000,20211100,20210900
2021-10-29 00:00:00,20211100,20211200,20211000
2021-11-26 01:00:00,20211200,20220100,20211100
2021-12-31 00:00:00,20220100,20220200,20211200
2022-01-28 00:00:00,20220200,20220300,20220100
2022-02-25 00:00:00,20220300,20220400,20220200
2022-03-25 00:00:00,20220400,20220500,20220300
2022-04-29 02:00:00,20220500,20220600,20220400
2022-05-27 00:00:00,20220600,20220700,20220500
2022-06-24 14:00:00,20220700,20220800,20220600
2022-07-29 00:00:00,20220800,20220900,20220700
2022-08-26 00:00:00,20220900,20221000,20220800
2022-09-30 00:00:00,20221000,20221100,20220900
2022-10-28 00:00:00,20221100,20221200,20221000
2022-11-25 13:00:00,20221200,20230100,20221100
2022-12-30 00:00:00,20230100,20230200,20221200
2023-01-27 14:00:00,20230200,20230300,20230100
2023-02-24 00:00:00,20230300,20230400,20230200
2023-03-31 12:00:00,20230400,20230500,20230300
2023-04-28 12:00:00,20230500,20230600,20230400
28 changes: 28 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/ETH_SPREAD2.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-03-01,20210300,20210400,20210200
2021-03-22,20210400,20210500,20210300
2021-04-21,20210500,20210600,20210400
2021-05-21,20210600,20210700,20210500
2021-06-21,20210700,20210800,20210600
2021-07-22,20210800,20210900,20210700
2021-08-23,20210900,20211000,20210800
2021-09-21,20211000,20211100,20210900
2021-10-22,20211100,20211200,20211000
2021-11-22,20211200,20220100,20211100
2021-12-22,20220100,20220200,20211200
2022-01-21,20220200,20220300,20220100
2022-02-18,20220300,20220400,20220200
2022-03-22,20220400,20220500,20220300
2022-04-21,20220500,20220600,20220400
2022-05-23,20220600,20220700,20220500
2022-06-21,20220700,20220800,20220600
2022-07-22,20220800,20220900,20220700
2022-08-22,20220900,20221000,20220800
2022-09-21,20221000,20221100,20220900
2022-10-21,20221100,20221200,20221000
2022-11-21,20221200,20230100,20221100
2022-12-22,20230100,20230200,20221200
2023-01-23,20230200,20230300,20230100
2023-02-20,20230300,20230400,20230200
2023-03-22,20230400,20230500,20230300
2023-04-21,20230500,20230600,20230400
28 changes: 28 additions & 0 deletions data/futures/crypto_spread_roll_calendars_csv/ETH_SPREAD2BIDOFFER.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-03-01,20210300,20210400,20210200
2021-03-22,20210400,20210500,20210300
2021-04-21,20210500,20210600,20210400
2021-05-21,20210600,20210700,20210500
2021-06-21,20210700,20210800,20210600
2021-07-22,20210800,20210900,20210700
2021-08-23,20210900,20211000,20210800
2021-09-21,20211000,20211100,20210900
2021-10-22,20211100,20211200,20211000
2021-11-22,20211200,20220100,20211100
2021-12-22,20220100,20220200,20211200
2022-01-21,20220200,20220300,20220100
2022-02-18,20220300,20220400,20220200
2022-03-22,20220400,20220500,20220300
2022-04-21,20220500,20220600,20220400
2022-05-23,20220600,20220700,20220500
2022-06-21,20220700,20220800,20220600
2022-07-22,20220800,20220900,20220700
2022-08-22,20220900,20221000,20220800
2022-09-21,20221000,20221100,20220900
2022-10-21,20221100,20221200,20221000
2022-11-21,20221200,20230100,20221100
2022-12-22,20230100,20230200,20221200
2023-01-23,20230200,20230300,20230100
2023-02-20,20230300,20230400,20230200
2023-03-22,20230400,20230500,20230300
2023-04-21,20230500,20230600,20230400
10 changes: 5 additions & 5 deletions data/futures/csvconfig/instrumentconfig.csv
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Expand Up @@ -4,7 +4,7 @@ Instrument,Description,Pointsize,Currency,AssetClass,PerBlock,Percentage,PerTrad
AEX,Netherlands equity index AEX,200,EUR,Equity,2.8,0,0,EMEA
AEX_mini,AEX mini,20,EUR,Equity,0.55,0,0,EMEA
ALUMINIUM,NYMEX Aluminum Index,25,USD,Metals,3.37,0,0,US
ALUMINIUM_LME,High-Grade Primary Aluminium,25,USD,Metals,0,0,0,EMEA
ALUMINIUM_LME,High-Grade Primary Aluminium,25,USD,Metals,1.05,0,0,EMEA
AMERIBOR-1M,CBOE One-Month AMERIBOR Average Rate Index,50,USD,STIR,0,0,0,US
AMERIBOR-3M,CBOE AMERIBOR Term-90,25,USD,STIR,0,0,0,US
AMERIBOR-T30,Cboe AMERIBOR Term-30 Futures Index,25,USD,STIR,0,0,0,US
Expand Down Expand Up @@ -34,7 +34,7 @@ BOVESPA,Bovespa Index - USD,1,USD,Equity,0.85,0,0,US
BOVESPA-HK,Brazil Bovespa Stock Index HK,5,HKD,Equity,0,0,0,ASIA
BRE,BREUSD currency,100000,USD,FX,2.47,0,0,US
BRENT,NYMEX Brent Financial Futures Index,1000,USD,OilGas,0.85,0,0,US
BRENT_W,Brent crude summer,1000,USD,OilGas,0,0,0,EMEA
BRENT_W,Brent crude summer,1000,USD,OilGas,1.05,0,0,EMEA
BRENT-LAST,Brent Crude Oil - Last Day,1000,USD,OilGas,2.37,0,0,US
BRR,CME CF Bitcoin Reference Rate,5,USD,Metals,0,0,0,US
BRREUR,CME CF Bitcoin-Euro Reference Rate,5,EUR,Metals,0,0,0,US
Expand Down Expand Up @@ -75,11 +75,11 @@ CNH-CME_micro,CHNHUSD micro CME,10000,CNH,FX,0,0,0,US
CNH-HK,CNHUSD on HK,100000,CNH,FX,0,0,0,ASIA
CNH-onshore,SGX onshore Chinese Renminbi (CNY) in US Dollar Futures (CY@SGX),500000,USD,FX,1.8,0,0,ASIA
CNHEUR,CNHEUR,1000000,EUR,FX,0,0,0,US
COAL,ICE Rotterdam Coal,1000,USD,OilGas,0,0,0,EMEA
COAL-GEORDIE,ICE Coals to Newcastle,1000,USD,OilGas,0,0,0,EMEA
COAL,ICE Rotterdam Coal,1000,USD,OilGas,1.05,0,0,EMEA
COAL-GEORDIE,ICE Coals to Newcastle,1000,USD,OilGas,1.05,0,0,EMEA
COAL-RICH-BAY,ICE Richards Bay Coal,1000,USD,OilGas,0,0,0,EMEA
COCOA,Cocoa NY,10,USD,Ags,2.97,0,0,US
COCOA_LDN,Cocoa London,10,GBP,Ags,0,0,0,EMEA
COCOA_LDN,Cocoa London,10,GBP,Ags,1,0,0,EMEA
COFFEE,Coffee,375,USD,Ags,2.97,0,0,US
COPPER,Copper,25000,USD,Metals,2.47,0,0,US
COPPER_LME,Grade A Copper - LME,25,USD,Metals,0,0,0,EMEA
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