/// <summary>
/// Searches the futures chain for the next matching futures contract, and resolves the underlying
/// as the closest future we can find during or after the contract month.
/// </summary>
/// <param name="canonicalFutureSymbol">Canonical future Symbol</param>
/// <param name="futureOptionContractMonth">Future option contract month. Note that this is not the expiry of the Future Option.</param>
/// <param name="lookupDate">The date that we'll be using to look at the Future chain</param>
/// <returns>The underlying future's contract month, or null if no closest contract was found</returns>
private static DateTime?ContractMonthSerialLookupRule(Symbol canonicalFutureSymbol, DateTime futureOptionContractMonth, DateTime lookupDate)
{
var futureChain = FuturesListings.ListedContracts(canonicalFutureSymbol.ID.Symbol, lookupDate);
if (futureChain == null)
{
// No matching contract listing rules entry was found
return(null);
}
foreach (var future in futureChain.OrderBy(s => s.ID.Date))
{
// Normalize by date first, normalize to a contract month date, then we want to get the contract
// month of the Future contract so we normalize by getting the delta between the expiration
// and the contract month.
var futureContractMonth = future.ID.Date.Date
.AddDays(-future.ID.Date.Day + 1)
.AddMonths(FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(future.ID.Symbol, future.ID.Date));
// We want a contract that is either the same as the contract month or greater
if (futureContractMonth < futureOptionContractMonth)
{
continue;
}
return(futureContractMonth);
}
// No matching/closest contract was found in the futures chain.
return(null);
}
public void ListedContractsMatchesCME(string ticker, string market, DateTime[] expectedListedExpiries)
{
// Test was created on 2021-01-11, we're using CME's data here to validate the test, hence the fixed date.
var contractsListed = FuturesListings.ListedContracts(ticker, new DateTime(2021, 1, 11));
var contractsMissing = new HashSet <Symbol>();
foreach (var expectedExpiry in expectedListedExpiries)
{
var expectedFuture = Symbol.CreateFuture(ticker, market, expectedExpiry);
if (!contractsListed.Contains(expectedFuture))
{
contractsMissing.Add(expectedFuture);
}
}
var missingContractsMessage = $"The following contracts are missing from the listed contracts: {string.Join("\n", contractsMissing.Select(s => " " + s.Value + " " + s.ID.Date.ToStringInvariant("yyyy-MM-dd")))}";
Assert.AreEqual(0, contractsMissing.Count, missingContractsMessage);
Assert.AreEqual(expectedListedExpiries.Length, contractsListed.Count, $"The length of expected listed contracts does not match the returned contract count.");
}