Energy futures (CL, HO, RB, NG) expire in the month before the contract month.
To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
Some Futures (CL, HO, RB, NG) expire during the month before the contract month. Incorrect symbol mapping was causing two issues:
- IB requests were returning an "Ambiguous contract" error
- The ticker generated by SymbolRepresentation was referring to the previous contract month
Stefano Raggi