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Fix: Expiry function for several futures currencies: 6B, 6M, 6J, 6E, 6C #9155

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Merged
Romazes merged 1 commit into from
Dec 24, 2025
+57 −12
Merged

Fix: Expiry function for several futures currencies: 6B, 6M, 6J, 6E, 6C #9155

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12 changes: 11 additions & 1 deletion Common/Securities/Future/FuturesListings.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -37,6 +37,11 @@ public static class FuturesListings
private static readonly Symbol _zw = Symbol.Create("ZW", SecurityType.Future, Market.CBOT);
private static readonly Symbol _tn = Symbol.Create("TN", SecurityType.Future, Market.CBOT);
private static readonly Symbol _aud = Symbol.Create("6A", SecurityType.Future, Market.CME);
private static readonly Symbol _gbp = Symbol.Create("6B", SecurityType.Future, Market.CME);
private static readonly Symbol _mxn = Symbol.Create("6M", SecurityType.Future, Market.CME);
private static readonly Symbol _jpy = Symbol.Create("6J", SecurityType.Future, Market.CME);
private static readonly Symbol _eur = Symbol.Create("6E", SecurityType.Future, Market.CME);
private static readonly Symbol _cad = Symbol.Create("6C", SecurityType.Future, Market.CME);

private static Dictionary<string, Func<DateTime, List<Symbol>>> _futuresListingRules = new Dictionary<string, Func<DateTime, List<Symbol>>>
{
Expand Down Expand Up @@ -73,7 +78,12 @@ public static class FuturesListings
t,
7,
new FuturesListingCycles(new[] { 3, 5, 7, 9, 12 }, 15)) },
{ "6A", t => QuarterlyContracts(_aud, t, 8) }
{ "6A", t => QuarterlyContracts(_aud, t, 8) },
{ "6B", t => QuarterlyContracts(_gbp, t, 8) },
{ "6M", t => QuarterlyContracts(_mxn, t, 8) },
{ "6J", t => QuarterlyContracts(_jpy, t, 8) },
{ "6E", t => QuarterlyContracts(_eur, t, 8) },
{ "6C", t => QuarterlyContracts(_cad, t, 8) },
};

/// <summary>
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2 changes: 2 additions & 0 deletions Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs
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Expand Up @@ -50,6 +50,7 @@ public static class FuturesOptionsExpiryFunctions
private static readonly Symbol _jpu = Symbol.CreateCanonicalOption(Symbol.Create("6J", SecurityType.Future, Market.CME));
private static readonly Symbol _chu = Symbol.CreateCanonicalOption(Symbol.Create("6S", SecurityType.Future, Market.CME));
private static readonly Symbol _nzd = Symbol.CreateCanonicalOption(Symbol.Create("6N", SecurityType.Future, Market.CME));
private static readonly Symbol _mxn = Symbol.CreateCanonicalOption(Symbol.Create("6M", SecurityType.Future, Market.CME));
private static readonly Symbol _le = Symbol.CreateCanonicalOption(Symbol.Create("LE", SecurityType.Future, Market.CME));
private static readonly Symbol _he = Symbol.CreateCanonicalOption(Symbol.Create("HE", SecurityType.Future, Market.CME));
private static readonly Symbol _lbr = Symbol.CreateCanonicalOption(Symbol.Create("LBR", SecurityType.Future, Market.CME));
Expand Down Expand Up @@ -97,6 +98,7 @@ public static class FuturesOptionsExpiryFunctions
{ _jpu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_jpu.Underlying, expiryMonth) },
{ _chu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_chu.Underlying, expiryMonth) },
{ _nzd, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_nzd.Underlying, expiryMonth) },
{ _mxn, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_mxn.Underlying, expiryMonth) },
{ _le, expiryMonth => FirstFridayOfContractMonth(_le.Underlying, expiryMonth) },
{ _he, expiryMonth => TenthBusinessDayOfContractMonth(_he.Underlying, expiryMonth) },
{ _lbr, expiryMonth => LastBusinessDayInPrecedingMonthFromContractMonth(_lbr.Underlying, expiryMonth) },
Expand Down
7 changes: 6 additions & 1 deletion Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs
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Expand Up @@ -63,7 +63,12 @@ public static class FuturesOptionsUnderlyingMapper
{ "GC", (d, _) => ContractMonthEvenOddMonth(d, false) },

// CME
{ "6A", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6A", SecurityType.Future, Market.CME), d, ld.Value) }
{ "6A", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6A", SecurityType.Future, Market.CME), d, ld.Value) },
{ "6B", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6B", SecurityType.Future, Market.CME), d, ld.Value) },
{ "6M", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6M", SecurityType.Future, Market.CME), d, ld.Value) },
{ "6J", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6J", SecurityType.Future, Market.CME), d, ld.Value) },
{ "6E", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6E", SecurityType.Future, Market.CME), d, ld.Value) },
{ "6C", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6C", SecurityType.Future, Market.CME), d, ld.Value) },
};

/// <summary>
Expand Down
21 changes: 21 additions & 0 deletions Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs
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Expand Up @@ -107,6 +107,27 @@ public void ExpiryFunctionsReturnExpectedResults(string futureTicker, string mar
[TestCase("6N", Market.CME, "202511", "20251107", "20251215")]
[TestCase("6N", Market.CME, "202512", "20251205", "20251215")]
[TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6N", Market.CME, "202602", "20260206", "20260316")]
[TestCase("6N", Market.CME, "202604", "20260403", "20260615")]
[TestCase("6B", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6B", Market.CME, "202602", "20260206", "20260316")]
[TestCase("6B", Market.CME, "202603", "20260306", "20260316")]
[TestCase("6C", Market.CME, "202601", "20260109", "20260317")]
[TestCase("6C", Market.CME, "202602", "20260206", "20260317")]
[TestCase("6C", Market.CME, "202603", "20260306", "20260317")]
[TestCase("6J", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6J", Market.CME, "202602", "20260206", "20260316")]
[TestCase("6J", Market.CME, "202603", "20260306", "20260316")]
[TestCase("6S", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6S", Market.CME, "202602", "20260206", "20260316")]
[TestCase("6S", Market.CME, "202603", "20260306", "20260316")]
[TestCase("6E", Market.CME, "202601", "20260109", "20260316")]
[TestCase("6E", Market.CME, "202602", "20260206", "20260316")]
[TestCase("6E", Market.CME, "202603", "20260306", "20260316")]
[TestCase("6M", Market.CME, "202604", "20260403", "20260615")]
[TestCase("6M", Market.CME, "202605", "20260508", "20260615")]
[TestCase("6M", Market.CME, "202606", "20260605", "20260615")]
[TestCase("6A", Market.CME, "202601", "20260109", "20260316", Description = "Quarterly contract : Mar")]
[TestCase("6A", Market.CME, "202602", "20260206", "20260316", Description = "Quarterly contract : Mar")]
[TestCase("6A", Market.CME, "202603", "20260306", "20260316", Description = "Quarterly contract : Mar")]
Expand Down
27 changes: 17 additions & 10 deletions Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -39,16 +39,23 @@ public class FuturesOptionsUnderlyingMapperTests
[TestCase("6A", Market.CME, 2021, 10, 05, 2021, 12, 13, false)]
[TestCase("6A", Market.CME, 2021, 11, 05, 2021, 12, 13, false)]
[TestCase("6A", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
[TestCase("6B", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
[TestCase("6B", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
[TestCase("6C", Market.CME, 2025, 09, 05, 2025, 09, 16, false)]
[TestCase("6C", Market.CME, 2025, 12, 05, 2025, 12, 16, false)]
[TestCase("6E", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
[TestCase("6E", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
[TestCase("6J", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
[TestCase("6J", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
[TestCase("6S", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
[TestCase("6S", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
[TestCase("6N", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
[TestCase("6B", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
[TestCase("6B", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
[TestCase("6B", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
[TestCase("6C", Market.CME, 2021, 01, 09, 2021, 03, 16, false)]
[TestCase("6C", Market.CME, 2021, 09, 05, 2021, 09, 14, false)]
[TestCase("6C", Market.CME, 2021, 12, 05, 2021, 12, 14, false)]
[TestCase("6E", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
[TestCase("6E", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
[TestCase("6E", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
[TestCase("6M", Market.CME, 2021, 04, 03, 2021, 06, 14, false)]
[TestCase("6J", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
[TestCase("6J", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
[TestCase("6J", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
[TestCase("6S", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
[TestCase("6S", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
[TestCase("6S", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
[TestCase("ZC", Market.CBOT, 2031, 12, 26, 2031, 12, 26, true)]
[TestCase("ZS", Market.CBOT, 2034, 12, 22, 2034, 12, 22, true)]
[TestCase("ZW", Market.CBOT, 2036, 12, 26, 2036, 12, 26, true)]
Expand Down