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robcarver17 / pysystemtrade

Systematic Trading in python
GNU General Public License v3.0
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BB3M Gone? #1452

Open craigmediaservices opened 2 weeks ago

craigmediaservices commented 2 weeks ago

I can no longer pull any data for BB3M contracts.

Searching IBKR Trader Workstation I only see the config symbol (BSBY) as an Index, but no individual contracts. Stored data stopped after October 14th. Does anyone know if this was another symbol change or some other issue is at play?

Checking Barchart it looks like their feed also stopped on October 16th:

https://www.barchart.com/futures/quotes/BRZ24/overview

craigmediaservices commented 2 weeks ago

Update:

It was de-listed:

https://www.cmegroup.com/notices/ser/2024/07/SER-9399R.html

craigmediaservices commented 2 weeks ago

Is the correct protocol to just add it to stale_instruments or also ignore_instruments?

vishalg commented 2 weeks ago

I believe same is the case with SGX. From the docs I get through sense that stale_instruments is the place for instruments without up to date data and ignore_instruments is for instruments to be excluded for other reasons. Don't think it makes any difference though.

vishalg commented 2 weeks ago

From the defaults.yaml

stale_instruments: ['an_instrument_i_no_longer_trade_or_sample']

ignore_instruments are ignored in backtests we still collect price data for them in production, do rolls etc

craigmediaservices commented 1 week ago

From the defaults.yaml

stale_instruments: ['an_instrument_i_no_longer_trade_or_sample']

ignore_instruments are ignored in backtests we still collect price data for them in production, do rolls etc

Thank you! That makes sense.