7 Commits

Author SHA1 Message Date
Gerardo Salazar d5aa9e65f3 Adds FuturesOptionsUnderlyingMapper and FuturesListing (#5142)
* Adds FuturesOptionsUnderlyingMapper

  This adds a mapper for Futures options that have a different
  contract month between the FOP and the underlying future, as is
  observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
  An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
  different rules, which have been included as part of this commit.

  * Adds unit tests for FuturesOptionsUnderlyingMapper

  * Adds unit and regresssion tests for underlying Futures mapping for FOPs

* Addresses review and adds FuturesListings

  * Removes dependency on IFuturesChainProvider in
    FuturesOptionsUnderlyingMapper

  * Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
    results

  * Modifies misc. code to handle new results correctly from FOPs
    underlying mapper

  * Makes FOPs underlying mapper static, and makes other methods private

  * Adds new tests for FuturesListings

* Addresses review: code cleanup

* Address review: Makes arrays to List in FuturesListing private methods
2021-01-12 06:12:00 -08:00
Gerardo Salazar 3baf8c3959 Address review: Removes changing percentage margins
* Only the first margin of a percentage margin will be
    used from now onwards
2020-06-15 16:00:38 -07:00
Gerardo Salazar 81f2c43d0a Updates margins using new contract selection strategy
* Fixes previously incorrect margins
2020-06-08 17:55:12 -07:00
Gerardo Salazar b0f787abd8 Address review - removes duplicates in margins and skip non-USD margins 2020-06-03 15:20:43 -07:00
JJD a3356904b0 Update futures margins 2020-06-02 17:39:12 -03:00
JJD 2ef5129e9d Move margins to its respective exchanges folders 2020-04-28 16:29:16 -03:00
JJD 4ab5d8fc34 Update future data sample 2020-04-28 16:29:15 -03:00