CNH-onshore not traded - but price is changing

[TobiasAntiGravity]

The junior on the research team would like to point something out (might be completely uninteresting)

I have looked at CNH-onshore after having issues rolling it. Looks to me like this is a variety to the problem discussed about BEL20 due to illiquidity.

There are no volume in either 20220300 nor 20220400 , (through the entire price series - starting at april 2021), but the price still moves. It is set on different levels once a week, despite there being no trades in the contract. A roll would have to occur between the two contracts, but without actual trades. So, obviously this would result in a non useful, and potentially misleading, multiple prices series.

I see that the CNH-onshore is listed under bad_markets in the defaults.yaml, and does not have instrument_weights in the config.yaml. Does that mean that DO could optimize towards this instrument or not? (I think no - but I became unsure and could not find an answer)

During my exploration of the above, I learned the following (posting here in case anyone else has the same issue); I have been experiencing contracts that seeminlgy was not updated. The TWS api gave a 162 error code, indicating that the problem was on the server side. I contacted IBKR and they informed me that this error was thrown if no data could be found for the time span that was queried. (this was the case for CNH-onshore, but I think a couple of others as well - will have to look at them next)

Looking at the code that updates historical prices - it is clear (from the doc string of sysproduction.update_historical_prices.update_historical_prices_for_instrument_and_contract ) that daily prices will not be filled if the call for intra-day hourly data fails. Hence CNH-onshore price series were only updated once a week.

I made a class for comparing two contract' price series in the same dataframe. Do not think the coding style is up to par with PSC, even though I put in the effort. (very verbose compared to what it is actually solving) - but putting it here if someone would like to use. If it judged to above the minimum threshold for it to be included in PSC I will of course do a PR.

EDIT: Come to think of it - there isn't really a problem to roll here, technically, as the second paragraph might have lead you to believe - the problem is just in my head - where to roll when no transactions are taken place. The price series is identical between the two mentioned contracts through their entire one year history - so the simple answer, I guess, is it doesn't matter - you can roll anywhere.

[robcarver17]

I see that the CNH-onshore is listed under bad_markets in the defaults.yaml, and does not have instrument_weights in the config.yaml. Does that mean that DO could optimize towards this instrument or not? (I think no - but I became unsure and could not find an answer)

With no instrument weights, it won't produce any forecast weights or pre DO positions.

If it had instrument weights, then it would produce pre DO positions, but as it is listed under bad markets no actual positions would be produced.

More explanation here

I had a quick look at your code; but if you do a PR I can do more detailed comments. Put it here sysproduction/data/tools