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QuantConnect.Securities.Future.FuturesExpiryFunctions Class Reference

Calculate the date of a futures expiry given an expiry month and year More...

Static Public Member Functions

static Func< DateTime, DateTime > FuturesExpiryFunction (Symbol symbol)
 Method to retrieve the Function for a specific future symbol More...
 

Static Public Attributes

static Dictionary< DateTime, DateTime > DairyReportDates
 The USDA publishes a report containing contract prices for the contract month. You can see future publication dates at https://www.ams.usda.gov/rules-regulations/mmr/dmr (Advanced and Class Price Release Dates) These dates are erratic and requires maintenance of a separate list instead of using holiday entries in MHDB. More...
 
static Dictionary< DateTime, DateTime > EnbridgeNoticeOfShipmentDates
 Enbridge's Notice of Shipment report dates. Used to calculate the last trade date for CSW More...
 
static readonly Dictionary< Symbol, Func< DateTime, DateTime > > FuturesExpiryDictionary
 Dictionary of the Functions that calculates the expiry for a given year and month. It does not matter what the day and time of day are passed into the Functions. The Functions is responsible for calculating the day and time of day given a year and month More...
 

Detailed Description

Calculate the date of a futures expiry given an expiry month and year

Definition at line 25 of file FuturesExpiryFunctions.cs.

Member Function Documentation

◆ FuturesExpiryFunction()

static Func<DateTime, DateTime> QuantConnect.Securities.Future.FuturesExpiryFunctions.FuturesExpiryFunction ( Symbol  symbol)
static

Method to retrieve the Function for a specific future symbol

Definition at line 30 of file FuturesExpiryFunctions.cs.

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Member Data Documentation

◆ DairyReportDates

Dictionary<DateTime, DateTime> QuantConnect.Securities.Future.FuturesExpiryFunctions.DairyReportDates
static

The USDA publishes a report containing contract prices for the contract month. You can see future publication dates at https://www.ams.usda.gov/rules-regulations/mmr/dmr (Advanced and Class Price Release Dates) These dates are erratic and requires maintenance of a separate list instead of using holiday entries in MHDB.

We only report the publication date of the report. In order to get accurate last trade dates, subtract one (plus holidays) from the value's date

Definition at line 48 of file FuturesExpiryFunctions.cs.

◆ EnbridgeNoticeOfShipmentDates

Dictionary<DateTime, DateTime> QuantConnect.Securities.Future.FuturesExpiryFunctions.EnbridgeNoticeOfShipmentDates
static

Enbridge's Notice of Shipment report dates. Used to calculate the last trade date for CSW

Subtract a day from the value's date in order to get the last trade date

Definition at line 186 of file FuturesExpiryFunctions.cs.

◆ FuturesExpiryDictionary

readonly Dictionary<Symbol, Func<DateTime, DateTime> > QuantConnect.Securities.Future.FuturesExpiryFunctions.FuturesExpiryDictionary
static

Dictionary of the Functions that calculates the expiry for a given year and month. It does not matter what the day and time of day are passed into the Functions. The Functions is responsible for calculating the day and time of day given a year and month

Definition at line 238 of file FuturesExpiryFunctions.cs.

The documentation for this class was generated from the following file: