Heads up on stale contract

[TobiasAntiGravity]

Hi

Just thought I should mention; the price_contract for the USIRS5ERIS data series is stale. On the 28.02.2021 the price_contract is listed as 20211200. Did not find the instrument on the ignore list, so thought it would be worth mentioning. Interestingly - there are some dates in february where the price column does not have the value NULL.

[robcarver17]

On holiday will respond next week

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On Sun, 3 Apr 2022, 12:45 TobiasAntiGravity, ***@***.***> wrote: Hi Just thought I should mention; the price_contract for the USIRS5ERIS data series is stale. On the 28.02.2021 the price_contract is listed as 20211200. Did not find the instrument on the ignore list, so thought it would be worth mentioning. Interestingly - there are some dates in february where the price column does not have the value NULL. — Reply to this email directly, view it on GitHub <#571>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ADCLPERSX3W6NXBNUZN53WDVDGAGTANCNFSM5SNCNESQ> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

[meldinman]

It seems like the roll report should be updated from 20211200 as the price contract, as when running update_sampled_contracts one can see that that contract is since expired. I've used the Updating shipped prices discussed here and manually changed the roll_calendars_from_arctic to ensure we generate a multiple_from_arctic that is currently on the correct contract. You may have to do this for a few contracts it seems (MID-DAX) was giving me headaches...

[robcarver17]

Something weird going on with the roll report, as this is showing an incorrect expiry date for the contract (saying the contract expires 1000+ days in the future when it's already expired), which is why I hadn't rolled it before. Anyway I double rolled this on my machine to June 2022 (which is the correct date) and it seems to have worked.