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Updated roll config and roll calendar for VIX_mini
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Vishal Grover committed Dec 26, 2024
1 parent 6b5a466 commit aab2567
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2 changes: 1 addition & 1 deletion data/futures/csvconfig/rollconfig.csv
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Expand Up @@ -500,7 +500,7 @@ USIRS7ERIS,HMUZ,-5,1,HMUZ,19
V2X,FGHJKMNQUVXZ,-60,-1,FGHJKMNQUVXZ,19
VHANG,FGHJKMNQUVXZ,-5,1,FGHJKMNQUVXZ,26
VIX,FGHJKMNQUVXZ,-60,-1,FGHJKMNQUVXZ,19
VIX_mini,FGHJKMNQUVXZ,-60,-1,FGHJKMNQUVXZ,19
VIX_mini,FGHJKMNQUVXZ,-30,-1,FGHJKMNQUVXZ,19
VNKI,FGHJKMNQUVXZ,-60,-1,FGHJKMNQUVXZ,15
VOLQ,FGHJKMNQVXZ,-5,1,FGHJKMNQVXZ,17
WATER-CALI,FGHJKMNQUXZ,-5,1,FGHJKMNQUXZ,16
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280 changes: 53 additions & 227 deletions data/futures/roll_calendars_csv/VIX_mini.csv
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@@ -1,228 +1,54 @@
DATE_TIME,current_contract,next_contract,carry_contract
2005-11-23 23:00:00,20060100,20060200,20051200
2006-01-24 23:00:00,20060200,20060300,20060100
2006-02-22 23:00:00,20060300,20060400,20060200
2006-02-23 23:00:00,20060400,20060500,20060300
2006-04-25 23:00:00,20060500,20060600,20060400
2006-05-23 23:00:00,20060600,20060700,20060500
2006-06-23 23:00:00,20060700,20060800,20060600
2006-07-25 23:00:00,20060800,20060900,20060700
2006-08-22 23:00:00,20060900,20061000,20060800
2006-08-23 23:00:00,20061000,20061100,20060900
2006-09-22 23:00:00,20061100,20061200,20061000
2006-10-24 23:00:00,20061200,20070100,20061100
2006-11-22 23:00:00,20070100,20070200,20061200
2006-12-26 23:00:00,20070200,20070300,20070100
2007-01-22 23:00:00,20070300,20070400,20070200
2007-02-21 23:00:00,20070400,20070500,20070300
2007-03-22 23:00:00,20070500,20070600,20070400
2007-04-23 23:00:00,20070600,20070700,20070500
2007-05-22 23:00:00,20070700,20070800,20070600
2007-06-22 23:00:00,20070800,20070900,20070700
2007-07-24 23:00:00,20070900,20071000,20070800
2007-08-22 23:00:00,20071000,20071100,20070900
2007-09-24 23:00:00,20071100,20071200,20071000
2007-10-23 23:00:00,20071200,20080100,20071100
2007-11-23 23:00:00,20080100,20080200,20071200
2007-12-24 23:00:00,20080200,20080300,20080100
2008-01-22 23:00:00,20080300,20080400,20080200
2008-02-21 23:00:00,20080400,20080500,20080300
2008-03-24 23:00:00,20080500,20080600,20080400
2008-04-22 23:00:00,20080600,20080700,20080500
2008-05-22 23:00:00,20080700,20080800,20080600
2008-06-23 23:00:00,20080800,20080900,20080700
2008-07-23 23:00:00,20080900,20081000,20080800
2008-08-22 23:00:00,20081000,20081100,20080900
2008-09-23 23:00:00,20081100,20081200,20081000
2008-10-22 23:00:00,20081200,20090100,20081100
2008-11-24 23:00:00,20090100,20090200,20081200
2008-12-23 23:00:00,20090200,20090300,20090100
2009-01-21 23:00:00,20090300,20090400,20090200
2009-02-20 23:00:00,20090400,20090500,20090300
2009-03-23 23:00:00,20090500,20090600,20090400
2009-04-22 23:00:00,20090600,20090700,20090500
2009-05-22 23:00:00,20090700,20090800,20090600
2009-06-23 23:00:00,20090800,20090900,20090700
2009-07-23 23:00:00,20090900,20091000,20090800
2009-08-24 23:00:00,20091000,20091100,20090900
2009-09-22 23:00:00,20091100,20091200,20091000
2009-10-22 23:00:00,20091200,20100100,20091100
2009-11-23 23:00:00,20100100,20100200,20091200
2009-12-23 23:00:00,20100200,20100300,20100100
2010-01-20 23:00:00,20100300,20100400,20100200
2010-02-22 23:00:00,20100400,20100500,20100300
2010-03-23 23:00:00,20100500,20100600,20100400
2010-04-22 23:00:00,20100600,20100700,20100500
2010-05-24 23:00:00,20100700,20100800,20100600
2010-06-22 23:00:00,20100800,20100900,20100700
2010-07-23 23:00:00,20100900,20101000,20100800
2010-08-23 23:00:00,20101000,20101100,20100900
2010-09-22 23:00:00,20101100,20101200,20101000
2010-10-22 23:00:00,20101200,20110100,20101100
2010-11-23 23:00:00,20110100,20110200,20101200
2010-12-23 23:00:00,20110200,20110300,20110100
2011-01-20 23:00:00,20110300,20110400,20110200
2011-02-22 23:00:00,20110400,20110500,20110300
2011-03-22 23:00:00,20110500,20110600,20110400
2011-04-25 23:00:00,20110600,20110700,20110500
2011-05-23 23:00:00,20110700,20110800,20110600
2011-06-22 23:00:00,20110800,20110900,20110700
2011-07-25 23:00:00,20110900,20111000,20110800
2011-08-23 23:00:00,20111000,20111100,20110900
2011-09-22 23:00:00,20111100,20111200,20111000
2011-10-24 23:00:00,20111200,20120100,20111100
2011-11-22 23:00:00,20120100,20120200,20111200
2011-12-23 23:00:00,20120200,20120300,20120100
2012-01-23 23:00:00,20120300,20120400,20120200
2012-02-22 23:00:00,20120400,20120500,20120300
2012-03-22 23:00:00,20120500,20120600,20120400
2012-04-23 23:00:00,20120600,20120700,20120500
2012-05-22 23:00:00,20120700,20120800,20120600
2012-06-22 23:00:00,20120800,20120900,20120700
2012-07-24 23:00:00,20120900,20121000,20120800
2012-08-22 23:00:00,20121000,20121100,20120900
2012-09-24 12:00:00,20121100,20121200,20121000
2012-10-23 12:00:00,20121200,20130100,20121100
2012-11-23 13:00:00,20130100,20130200,20121200
2012-12-21 14:00:00,20130200,20130300,20130100
2013-01-18 14:00:00,20130300,20130400,20130200
2013-02-19 14:00:00,20130400,20130500,20130300
2013-03-21 13:00:00,20130500,20130600,20130400
2013-04-22 13:00:00,20130600,20130700,20130500
2013-05-21 13:00:00,20130700,20130800,20130600
2013-06-21 13:00:00,20130800,20130900,20130700
2013-07-22 13:00:00,20130900,20131000,20130800
2013-08-21 13:00:00,20131000,20131100,20130900
2013-09-20 13:00:00,20131100,20131200,20131000
2013-10-21 13:00:00,20131200,20140100,20131100
2013-11-21 09:00:00,20140100,20140200,20131200
2013-12-23 09:00:00,20140200,20140300,20140100
2014-01-20 09:00:00,20140300,20140400,20140200
2014-02-19 09:00:00,20140400,20140500,20140300
2014-03-21 09:00:00,20140500,20140600,20140400
2014-04-21 09:00:00,20140600,20140700,20140500
2014-05-21 08:00:00,20140700,20140800,20140600
2014-06-20 08:00:00,20140800,20140900,20140700
2014-07-22 02:00:00,20140900,20141000,20140800
2014-08-21 08:00:00,20141000,20141100,20140900
2014-09-21 23:00:00,20141100,20141200,20141000
2014-10-21 02:00:00,20141200,20150100,20141100
2014-11-21 02:00:00,20150100,20150200,20141200
2014-12-22 02:00:00,20150200,20150300,20150100
2015-01-19 02:00:00,20150300,20150400,20150200
2015-02-19 04:00:00,20150400,20150500,20150300
2015-03-20 02:00:00,20150500,20150600,20150400
2015-04-21 02:00:00,20150600,20150700,20150500
2015-05-21 07:00:00,20150700,20150800,20150600
2015-06-21 23:00:00,20150800,20150900,20150700
2015-07-22 02:00:00,20150900,20151000,20150800
2015-08-21 02:00:00,20151000,20151100,20150900
2015-09-21 02:00:00,20151100,20151200,20151000
2015-10-21 03:00:00,20151200,20160100,20151100
2015-11-20 04:00:00,20160100,20160200,20151200
2015-12-22 02:00:00,20160200,20160300,20160100
2016-01-20 02:00:00,20160300,20160400,20160200
2016-02-19 02:00:00,20160400,20160500,20160300
2016-03-21 02:00:00,20160500,20160600,20160400
2016-04-21 02:00:00,20160600,20160700,20160500
2016-05-20 02:00:00,20160700,20160800,20160600
2016-06-21 02:00:00,20160800,20160900,20160700
2016-07-22 02:00:00,20160900,20161000,20160800
2016-08-21 23:00:00,20161000,20161100,20160900
2016-09-21 02:00:00,20161100,20161200,20161000
2016-10-21 02:00:00,20161200,20170100,20161100
2016-11-21 02:00:00,20170100,20170200,20161200
2016-12-22 02:00:00,20170200,20170300,20170100
2017-01-19 02:00:00,20170300,20170400,20170200
2017-02-20 01:00:00,20170400,20170500,20170300
2017-03-21 02:00:00,20170500,20170600,20170400
2017-04-21 02:00:00,20170600,20170700,20170500
2017-05-21 23:00:00,20170700,20170800,20170600
2017-06-21 02:00:00,20170800,20170900,20170700
2017-07-21 02:00:00,20170900,20171000,20170800
2017-08-21 02:00:00,20171000,20171100,20170900
2017-09-21 02:00:00,20171100,20171200,20171000
2017-10-20 02:00:00,20171200,20180100,20171100
2017-11-21 02:00:00,20180100,20180200,20171200
2017-12-22 02:00:00,20180200,20180300,20180100
2018-01-19 02:00:00,20180300,20180400,20180200
2018-02-19 02:00:00,20180400,20180500,20180300
2018-03-21 02:00:00,20180500,20180600,20180400
2018-04-20 02:00:00,20180600,20180700,20180500
2018-05-21 02:00:00,20180700,20180800,20180600
2018-06-21 02:00:00,20180800,20180900,20180700
2018-07-22 23:00:00,20180900,20181000,20180800
2018-08-21 03:00:00,20181000,20181100,20180900
2018-09-21 02:00:00,20181100,20181200,20181000
2018-10-23 01:00:00,20181200,20190100,20181100
2018-11-26 23:00:00,20190100,20190200,20181200
2018-12-26 23:00:00,20190200,20190300,20190100
2019-01-18 00:15:00,20190300,20190400,20190200
2019-02-19 00:15:00,20190400,20190500,20190300
2019-03-21 00:15:00,20190500,20190600,20190400
2019-04-21 23:15:00,20190600,20190700,20190500
2019-05-21 00:15:00,20190700,20190800,20190600
2019-06-21 01:00:00,20190800,20190900,20190700
2019-07-22 01:00:00,20190900,20191000,20190800
2019-08-21 00:15:00,20191000,20191100,20190900
2019-09-20 01:00:00,20191100,20191200,20191000
2019-10-21 01:00:00,20191200,20200100,20191100
2019-11-21 01:00:00,20200100,20200200,20191200
2019-12-23 00:00:00,20200200,20200300,20200100
2020-01-20 01:00:00,20200300,20200400,20200200
2020-02-20 01:00:00,20200400,20200500,20200300
2020-03-20 01:00:00,20200500,20200600,20200400
2020-04-21 01:00:00,20200600,20200700,20200500
2020-05-21 01:00:00,20200700,20200800,20200600
2020-06-22 15:00:00,20200800,20200900,20200700
2020-07-22 15:00:00,20200900,20201000,20200800
2020-08-21 15:00:00,20201000,20201100,20200900
2020-09-21 15:00:00,20201100,20201200,20201000
2020-10-21 16:00:00,20201200,20210100,20201100
2020-11-20 15:00:00,20210100,20210200,20201200
2020-12-22 15:00:00,20210200,20210300,20210100
2021-01-19 15:00:00,20210300,20210400,20210200
2021-02-19 15:00:00,20210400,20210500,20210300
2021-03-22 14:00:00,20210500,20210600,20210400
2021-04-21 16:00:00,20210600,20210700,20210500
2021-05-21 16:00:00,20210700,20210800,20210600
2021-06-21 16:00:00,20210800,20210900,20210700
2021-07-22 16:00:00,20210900,20211000,20210800
2021-08-20 16:00:00,20211000,20211100,20210900
2021-09-21 15:00:00,20211100,20211200,20211000
2021-10-21 15:00:00,20211200,20220100,20211100
2021-11-22 15:00:00,20220100,20220200,20211200
2021-12-22 15:00:00,20220200,20220300,20220100
2022-01-19 15:00:00,20220300,20220400,20220200
2022-02-18 15:00:00,20220400,20220500,20220300
2022-03-21 14:00:00,20220500,20220600,20220400
2022-04-21 15:00:00,20220600,20220700,20220500
2022-05-20 15:00:00,20220700,20220800,20220600
2022-06-21 16:00:00,20220800,20220900,20220700
2022-07-22 16:00:00,20220900,20221000,20220800
2022-08-22 15:00:00,20221000,20221100,20220900
2022-09-09 15:00:00,20221100,20221200,20221000
2022-10-10 20:00:02,20221200,20230100,20221100
2022-11-07 21:00:02,20230100,20230200,20221200
2022-12-06 21:00:01,20230200,20230300,20230100
2023-01-09 21:00:02,20230300,20230400,20230200
2023-01-26 17:00:02,20230400,20230500,20230300
2023-03-02 20:00:01,20230500,20230600,20230400
2023-04-27 20:00:02,20230600,20230700,20230500
2023-05-05 20:00:02,20230700,20230800,20230600
2023-06-09 20:00:02,20230800,20230900,20230700
2023-07-10 20:00:02,20230900,20231000,20230800
2023-08-12 20:00:01,20231000,20231100,20230900
2023-09-12 20:00:02,20231100,20231200,20231000
2023-10-12 20:00:02,20231200,20240100,20231100
2023-11-12 20:00:01,20240100,20240200,20231200
2023-12-19 20:00:01,20240200,20240300,20240100
2024-01-24 20:00:01,20240300,20240400,20240200
2024-02-20 20:00:01,20240400,20240500,20240300
2024-03-20 20:00:01,20240500,20240600,20240400
2024-04-20 20:00:01,20240600,20240700,20240500
2024-05-20 20:00:01,20240700,20240800,20240600
2024-06-20 20:00:01,20240800,20240900,20240700
2024-07-20 20:00:01,20240900,20241000,20240800
2024-08-20 20:00:01,20241000,20241100,20240900
2024-09-20 20:00:01,20241100,20241200,20241000
2020-09-16,20201000,20201100,20200900
2020-10-21,20201100,20201200,20201000
2020-11-18,20201200,20210100,20201100
2020-12-16,20210100,20210200,20201200
2021-01-20,20210200,20210300,20210100
2021-02-17,20210300,20210400,20210200
2021-03-17,20210400,20210500,20210300
2021-04-20,20210500,20210600,20210400
2021-05-19,20210600,20210700,20210500
2021-06-16,20210700,20210800,20210600
2021-07-21,20210800,20210900,20210700
2021-08-18,20210900,20211000,20210800
2021-09-15,20211000,20211100,20210900
2021-10-20,20211100,20211200,20211000
2021-11-17,20211200,20220100,20211100
2021-12-21,20220100,20220200,20211200
2022-01-19,20220200,20220300,20220100
2022-02-16,20220300,20220400,20220200
2022-03-15,20220400,20220500,20220300
2022-04-20,20220500,20220600,20220400
2022-05-18,20220600,20220700,20220500
2022-06-15,20220700,20220800,20220600
2022-07-20,20220800,20220900,20220700
2022-08-17,20220900,20221000,20220800
2022-09-20,20221000,20221100,20220900
2022-10-19,20221100,20221200,20221000
2022-11-16,20221200,20230100,20221100
2022-12-21,20230100,20230200,20221200
2023-01-18,20230200,20230300,20230100
2023-02-15,20230300,20230400,20230200
2023-03-21,20230400,20230500,20230300
2023-04-19,20230500,20230600,20230400
2023-05-17,20230600,20230700,20230500
2023-06-20,20230700,20230800,20230600
2023-07-19,20230800,20230900,20230700
2023-08-16,20230900,20231000,20230800
2023-09-20,20231000,20231100,20230900
2023-10-18,20231100,20231200,20231000
2023-11-15,20231200,20240100,20231100
2023-12-20,20240100,20240200,20231200
2024-01-17,20240200,20240300,20240100
2024-02-14,20240300,20240400,20240200
2024-03-20,20240400,20240500,20240300
2024-04-17,20240500,20240600,20240400
2024-05-21,20240600,20240700,20240500
2024-06-18,20240700,20240800,20240600
2024-07-17,20240800,20240900,20240700
2024-08-21,20240900,20241000,20240800
2024-09-18,20241000,20241100,20240900
2024-10-16,20241100,20241200,20241000
2024-11-20,20241200,20250100,20241100
2024-12-18,20250100,20250200,20241200
2024-12-26,20250200,20250300,20250100

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