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* Add VIX Mini Futures (VXM) support
Adds complete LEAN support for VIX Mini Futures (VXM) traded on CBOE:
- Add Futures.Indices.VIXMini = "VXM" constant
- Add expiry function: 30 days before third Friday of following month
- Add symbol properties: multiplier 100, tick 0.01 (USD)
- Add 15 test date pairs for 2023-2025 to FuturesExpiryFunctionsTestData.xml
- Add [TestCase(VIXMini, EightOClockChicagoTime)] to IndicesExpiryDateFunction test
- Add market hours configuration mirroring VX trading hours
ClosesQuantConnect/Lean#6655
Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
* Fix VXM expiry holiday validation and add margin file
- Replace single `if` holiday check with `while` loop using
`IsCommonBusinessDay()` to ensure the computed expiry date
is always a valid tradable day (not just one step back)
- Fix test data: 2025-03-19 -> 2025-03-18 (April 18 2025 is
Good Friday, a CFE holiday, shifting the expiry back)
- Add Data/future/cfe/margins/VXM.csv margin file
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
---------
Co-authored-by: Claude Haiku 4.5 <noreply@anthropic.com>
* Add 2026 HKFE Future holidays & early closes
* rebase Add 2026 Future-cme-equity Holidays, Early closes, late opens
* Add (again) HKFE 2026 Holidays and early closes
* Add Future-cme-interest 2026 holidays
* Add 2026 CME Fx 2026 holidays"
- Add 2026 CME Fx holidays, early closes, late opens, bank holidays
- Exclude CNH, MNH and MIR as they expire rules don't consider US
Holidays
- Fix wrong early close on 12/24/2025 from 12:15 to 12:45
* Add CME Future crypto 2026 Holidays, EC, LO & BH
* Add CME Future Energy 2026 holidays, EC, LO, BH
* Add CME Futures metals holidays, ec, lo, bh
* Add CME Futures grains 2026 holidays, ec, lo, bh
* Add CME Futures Dairy 2026 holidays, ec, lo, bh
* Add CME Futures livestock holidays, ec, lo, bh
* Add CME Future Lumber holidays, ec, lo, bh
* Add CME Futures Softs holidays, ec, lo, bh
* Add CME Futures Oilseeds holidays, ec, lo, bh
* Add CME Futures AW, GD Holidays, EC, LO and BH
* Move repeated bank holidays to generic entries
* Nit change
* Solve bug
Since 11/26/2026 is a bank holiday for CME energy futures, the expiry
date is moved to 11/25/2026 as the expiry date for HH is the third last
business day of the month prior to the contract month
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* Add bank holidays
* Add missing holidays to MHDB
* Add 2025 new year's eve bank holiday
* Add Columbus day and veterans day to bank holidays
* Add missing bank holidays entry
* Modify FuturesExpiryFunctions
* Add missing change
* Remove empty bankHolidays lists from MHDB
* Address review
* Add tests
* Address review
* Add bank holidays from 2009-2024
* Fix unit and regression tests
* Review bank holidays
* Fix tests
* MHDB tweaks
* Remove Bank holidays from CNH, MNH and MIR
* Add setting for bank holidays disabled by default
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* MHDB will merge common entry
- The MHDB will merge the market and security common entry holidays,
early closes and late opens
* Normalize & reuse future US holidays
- Normalize & reuse future US holidays
* Update existing unit tests expected stats
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* Updated MHDB and CME currencies futures expiry functions
Some expiry functions needed to take into consideration the security
holidays
* Add more holidays to CME securities in MHDB
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* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* - Added NYSELIFFE futures to Futures.cs
- Added method GetGoodFriday() to calculate Good Friday to FuturesExpiryUtilityFunctions.cs.
- Added unit tests for GetGoodFriday().
- Added NYSELIFFE futures expiries to FuturesExpiryFunctions.cs which uses GetGoodFriday() instead of hardcoding the date of Good Friday in the market-hours-database.json.
- Added unit tests for NYSELIFFE futures expiry.
- Added NYSELIFFE to Exchange.cs
- Removed Equity-nyseliffe-[*] and Index-nyseliffe-[*] from market-hours-database.json
- Updated Option-nyseliffe-[*] to FutureOption-nyseliffe-[*] on market-hours-database.json
- Added the supported NYSELIFFE futureoptions to symbol-properties-database.csv.
* Removed blanks after India tuple
* Added the dates for 2022 and 2023 to the market-hours-database.json.
Removed "FutureOption-nyseliffe-[]" from market-hours-database.json.
Added to FuturesOptionsSymbolMappings.cs:
{ "YG", "OYG" },
{ "ZG", "OZG" },
{ "ZI", "OZI" }
* Minor tweaks for nyseliffe FOPs
Co-authored-by: Chris Coetzee <chris@polidata.ai>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Update MHDB and SPDB
Update MHDB and SPDB with micro futures
* Fix bugs
* Add more FutureExpiryFunctions
* Requested changes
* Nit changes
* Nit changes
- Fix some future values in SPDB
- Test LastFriday() method
- Apparently Micro CHF/USD Futures(MSF) refers to the micro of Swiss Franc Futures (6S). The same happens with Micro JPY/USD (MJY) Futures and Japanese Yen Futures (6J)
* Fix bugs
* Micro futures MultipleFactor
* Fix some futures MultipleFactor
AJY, AKL, AKZ, ANE, APS, AR0, ARE, AUP, AVZ, AW, AYV, AYX, AZ1, B0, B7H, BCF, BIO, BK, BOO, BR7
Correct wrong entry for symbol ZT in symbol-properties-database
Add missing holidays or early closes for energies and fx in mhdb
Adds Russell 2000 E-Mini (RTY), Nikkei 225 Dollar (NKD) and Sugar 11 CME Globex (YO) to future data: entails update entries in market hours and symbol properties databases.
Updates `FutureExpiryFunction` to handle these contracts expiration date.
Rudy Osuna