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bug-or-feature / pysystemtrade-fsb

Systematic spread betting in Python
https://pysystemtrade-fsb.bugorfeature.net/
GNU General Public License v3.0
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Fix roll config for rates markets #53

Closed bug-or-feature closed 1 month ago

bug-or-feature commented 6 months ago

As of 2024-04-17, the config for SONIA3 shows

SONIA3_fsb/20261200            IR.D.FSS.Month10.IP  2027-03-16 11:00:00         OFFLINE       -          False
SONIA3_fsb/20260900             IR.D.FSS.Month8.IP  2026-12-15 11:00:00         OFFLINE       -          False
SONIA3_fsb/20260600             IR.D.FSS.Month7.IP  2026-09-15 10:00:00         OFFLINE       -          False
SONIA3_fsb/20260300             IR.D.FSS.Month6.IP  2026-06-16 10:00:00         OFFLINE       -          False
SONIA3_fsb/20251200             IR.D.FSS.month9.IP  2026-03-17 11:00:00       TRADEABLE       -          False
SONIA3_fsb/20250900             IR.D.FSS.Month4.IP  2025-12-16 11:00:00       TRADEABLE       -          False
SONIA3_fsb/20250600             IR.D.FSS.Month3.IP  2025-09-16 10:00:00       TRADEABLE       -          False
SONIA3_fsb/20250300             IR.D.FSS.Month2.IP  2025-06-17 10:00:00       TRADEABLE       -          False
SONIA3_fsb/20241200             IR.D.FSS.MONTHC.IP  2025-03-18 11:00:00       TRADEABLE       -          False
SONIA3_fsb/20240900              IR.D.FSS.Mth14.IP  2024-12-17 11:00:00       TRADEABLE     fwd          False
SONIA3_fsb/20240600              IR.D.FSS.Mth13.IP  2024-09-17 10:00:00       TRADEABLE  priced          False
SONIA3_fsb/20240300            IR.D.FSS.Month11.IP  2024-06-18 10:00:00       TRADEABLE       -          False

so that implies SONIA3_fsb/20250900 could be priced and SONIA3_fsb/20251200 forward

SOFR:

SOFR_fsb/20261200               IR.D.SRA.Mnth10.IP  2027-03-16 23:59:00         OFFLINE       -          False
SOFR_fsb/20260900               IR.D.SRA.Month1.IP  2026-12-15 23:59:00         OFFLINE       -          False
SOFR_fsb/20260600              IR.D.SRA.Month17.IP  2026-09-15 22:59:00         OFFLINE       -          False
SOFR_fsb/20260300              IR.D.SRA.Month16.IP  2026-06-16 22:59:00         OFFLINE       -          False
SOFR_fsb/20250600              IR.D.SRA.Month12.IP  2025-09-16 22:59:00       TRADEABLE     fwd           True
SOFR_fsb/20250300              IR.D.SRA.Month13.IP  2025-06-17 22:59:00       TRADEABLE  priced           True
SOFR_fsb/20241200               IR.D.SRA.MonthM.IP  2025-03-18 23:59:00       TRADEABLE       -           True
SOFR_fsb/20240900               IR.D.SRA.Month3.IP  2024-12-17 23:59:00       TRADEABLE       -           True
SOFR_fsb/20240600               IR.D.SRA.MONTH7.IP  2024-09-17 22:59:00       TRADEABLE       -           True
SOFR_fsb/20240300               IR.D.SRA.Mnth11.IP  2024-06-18 22:59:00       TRADEABLE       -           True

so it looks like the epics are missing for 20250900 and 20251200

EURIBOR-ICE

EURIBOR-ICE_fsb/20270300        IR.D.FEI.Month8.IP  2027-03-15 10:00:00         OFFLINE       -          False
EURIBOR-ICE_fsb/20261200        IR.D.FEI.Month7.IP  2026-12-14 10:00:00         OFFLINE       -          False
EURIBOR-ICE_fsb/20260900        IR.D.FEI.MONTH6.IP  2026-09-14 09:00:00         OFFLINE       -          False
EURIBOR-ICE_fsb/20260600        IR.D.FEI.MONTH5.IP  2026-06-15 09:00:00         OFFLINE       -          False
EURIBOR-ICE_fsb/20260300        IR.D.FEI.Month4.IP  2026-03-16 10:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20251200        IR.D.FEI.Month3.IP  2025-12-15 10:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20250900        IR.D.FEI.Month2.IP  2025-09-15 09:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20250600        IR.D.FEI.Month1.IP  2025-06-16 09:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20250300        IR.D.FEI.Mnth12.IP  2025-03-17 10:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20241200       IR.D.FEI.Month11.IP  2024-12-16 10:00:00       TRADEABLE       -           True
EURIBOR-ICE_fsb/20240900        IR.D.FEI.Mnth10.IP  2024-09-16 09:00:00       TRADEABLE     fwd           True
EURIBOR-ICE_fsb/20240600        IR.D.FEI.Month9.IP  2024-06-17 09:00:00       TRADEABLE  priced           True

so 20251200 could be forward and 20260300 priced

bug-or-feature commented 1 month ago

EURIBOR-ICE_fsb and SONIA3_fsb pushed as for out as possible. We can't do anything about the SOFR epics except keep checking for new ones with the REST companion