RUT index options support (#8542)

Author: Martin-Molinero

Common/Securities/IndexOption/IndexOptionSymbol.cs

@@ -27,6 +27,7 @@ public static class IndexOptionSymbol
     {
         private static readonly Dictionary<string, string> _nonStandardOptionToIndex = new()
         {
+            { "RUTW", "RUT" },
             { "SPXW", "SPX" },
             { "VIXW", "VIX" },
             { "NDXP", "NDX" },
@@ -39,6 +40,7 @@ public static class IndexOptionSymbol
         private static readonly HashSet<string> _nonStandardIndexOptionTickers = new()
         {
             // Weeklies
+            "RUTW", // PM-Settled. While RUT AM-Settled on 3rd Fridays
             "SPXW",
             "VIXW",
             // PM-Settled
@@ -50,7 +52,7 @@ public static class IndexOptionSymbol
         /// <summary>
         /// Supported index option tickers
         /// </summary>
-        public static readonly HashSet<string> SupportedIndexOptionTickers = new string[] { "SPX", "NDX", "VIX" }
+        public static readonly HashSet<string> SupportedIndexOptionTickers = new string[] { "SPX", "NDX", "VIX", "RUT" }
             .Union(_nonStandardIndexOptionTickers)
             .ToHashSet();
 
@@ -70,12 +72,14 @@ public static bool IsStandard(Symbol symbol)
             {
                 case "NQX":
                 case "SPXW":
-                    // they have weeklies and monthly contracts
-                    // NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
-                    // SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
-                    return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
+                case "RUTW":
+                // they have weeklies and monthly contracts
+                // NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
+                // SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
+                // RUTW expires every day
+                return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
                 default:
-                    // NDX/SPX/NQX/VIX/VIXW/NDXP are all normal contracts
+                    // NDX/SPX/NQX/VIX/VIXW/NDXP/RUT are all normal contracts
                     return true;
             }
         }
@@ -132,6 +136,7 @@ public static DateTime GetExpiryDate(string ticker, DateTime lastTradingDate)
         /// <summary>
         /// Some index options last tradable date is the previous day to the expiration
         /// https://www.cboe.com/tradable_products/vix/vix_options/specifications/
+        /// https://www.cboe.com/tradable_products/ftse_russell/russell_2000_index_options/rut_specifications
         /// </summary>
         private static int GetExpirationOffset(string ticker)
         {
@@ -141,9 +146,10 @@ private static int GetExpirationOffset(string ticker)
                 case "NDX":
                 case "VIX":
                 case "VIXW":
+                case "RUT":
                     return 1;
                 default:
-                    // SPXW, NQX, NDXP
+                    // SPXW, NQX, NDXP, RUTW
                     return 0;
             }
         }

Data/market-hours/market-hours-database.json

@@ -109905,6 +109905,88 @@
       "saturday": [],
       "holidays": []
     },
+    "IndexOption-usa-RUT": {
+      "dataTimeZone": "America/New_York",
+      "exchangeTimeZone": "America/New_York",
+      "monday": [
+        {
+          "start": "09:30:00",
+          "end": "16:15:00",
+          "state": "market"
+        }
+      ],
+      "tuesday": [
+        {
+          "start": "09:30:00",
+          "end": "16:15:00",
+          "state": "market"
+        }
+      ],
+      "wednesday": [
+        {
+          "start": "09:30:00",
+          "end": "16:15:00",
+          "state": "market"
+        }
+      ],
+      "thursday": [
+        {
+          "start": "09:30:00",
+          "end": "16:15:00",
+          "state": "market"
+        }
+      ],
+      "friday": [
+        {
+          "start": "09:30:00",
+          "end": "16:15:00",
+          "state": "market"
+        }
+      ],
+      "saturday": [],
+      "holidays": []
+    },
+    "IndexOption-usa-RUTW": {
+      "dataTimeZone": "America/New_York",
+      "exchangeTimeZone": "America/Chicago",
+      "monday": [
+        {
+          "start": "08:30:00",
+          "end": "15:15:00",
+          "state": "market"
+        }
+      ],
+      "tuesday": [
+        {
+          "start": "08:30:00",
+          "end": "15:15:00",
+          "state": "market"
+        }
+      ],
+      "wednesday": [
+        {
+          "start": "08:30:00",
+          "end": "15:15:00",
+          "state": "market"
+        }
+      ],
+      "thursday": [
+        {
+          "start": "08:30:00",
+          "end": "15:15:00",
+          "state": "market"
+        }
+      ],
+      "friday": [
+        {
+          "start": "08:30:00",
+          "end": "15:15:00",
+          "state": "market"
+        }
+      ],
+      "saturday": [],
+      "holidays": []
+    },
     "Crypto-kraken-[*]": {
       "dataTimeZone": "UTC",
       "exchangeTimeZone": "UTC",