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Merge remote-tracking branch 'robcarver17/develop' into named-objects
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tgibson11 committed Jul 13, 2023
2 parents ea69266 + 9e8ea35 commit 5c43d13
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27 changes: 27 additions & 0 deletions CHANGELOG.md
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# Release notes

## Version 1.70 (big jump lot's done)

Stale:
- Stale instruments now removed from all reports except slippage #1211
- Ignore stale strategies #1074

Rolls:
- improved auto rolling facility, with configurable rules #1198
- Clear up roll states, adding new don't open state and redefining close state #931
- change the way roll states are handled to prioritise strategy trades that help us roll #1993
- warn if rolls can't be done because of trade limits #932

No market data:
- Collect data without market data subscriptions #1165
- Allow trading of non subscribed instruments by implementing SNAP order types; replacing MARKET orders #1016
- Allow specific instruments to use specific algos (will be useful when start trading instruments without streaming data) #969

Costs:
- Now cost objects produce SR estimates for you #1026
- SR cost was calculated wrong (multiplied by two) due to confusion about turnover definition #1009

Other:
- Push sent and unsent emails to a file #1132
- Easier access to instrument return correlations from portfolio subsystem #1018
- Added backfilled GBP FX data #1014
- Added warning when priced contract is expiring #1006

## Version 1.62

- Added order simulator as an optimal replacement for vectorised p&l calculation; prequisite for limit order simulation
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4 changes: 2 additions & 2 deletions README.md
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Expand Up @@ -7,10 +7,10 @@ Rob Carver
[https://qoppac.blogspot.com/p/pysystemtrade.html](https://qoppac.blogspot.com/p/pysystemtrade.html)


Version 1.62
Version 1.70


2023-06-09
2023-07-12



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121 changes: 121 additions & 0 deletions data/futures/roll_calendars_csv/CAD10.csv
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DATE_TIME,current_contract,next_contract,carry_contract
1993-05-20 23:00:00,19930600,19930900,19930900
1993-08-20 23:00:00,19930900,19931200,19931200
1993-11-19 23:00:00,19931200,19940300,19940300
1994-02-18 23:00:00,19940300,19940600,19940600
1994-05-24 23:00:00,19940600,19940900,19940900
1994-08-19 23:00:00,19940900,19941200,19941200
1994-11-18 23:00:00,19941200,19950300,19950300
1995-02-20 23:00:00,19950300,19950600,19950600
1995-05-19 23:00:00,19950600,19950900,19950900
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1996-02-20 23:00:00,19960300,19960600,19960600
1996-05-17 23:00:00,19960600,19960900,19960900
1996-08-20 23:00:00,19960900,19961200,19961200
1996-11-20 23:00:00,19961200,19970300,19970300
1997-02-20 23:00:00,19970300,19970600,19970600
1997-05-20 23:00:00,19970600,19970900,19970900
1997-08-20 23:00:00,19970900,19971200,19971200
1997-11-20 23:00:00,19971200,19980300,19980300
1998-02-20 23:00:00,19980300,19980600,19980600
1998-06-01 23:00:00,19980600,19980900,19980900
1998-09-01 23:00:00,19980900,19981200,19981200
1998-12-01 23:00:00,19981200,19990300,19990300
1999-03-01 23:00:00,19990300,19990600,19990600
1999-06-01 23:00:00,19990600,19990900,19990900
1999-09-01 23:00:00,19990900,19991200,19991200
1999-12-01 23:00:00,19991200,20000300,20000300
2000-03-01 23:00:00,20000300,20000600,20000600
2000-06-01 23:00:00,20000600,20000900,20000900
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2001-06-01 23:00:00,20010600,20010900,20010900
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2009-06-01 23:00:00,20090600,20090900,20090900
2009-09-01 23:00:00,20090900,20091200,20091200
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2013-05-31 23:00:00,20130600,20130900,20130900
2013-08-30 23:00:00,20130900,20131200,20131200
2013-12-02 23:00:00,20131200,20140300,20140300
2014-02-28 23:00:00,20140300,20140600,20140600
2014-06-02 23:00:00,20140600,20140900,20140900
2014-09-02 23:00:00,20140900,20141200,20141200
2014-12-01 23:00:00,20141200,20150300,20150300
2015-03-06 23:00:00,20150300,20150600,20150600
2015-06-01 12:00:00,20150600,20150900,20150900
2015-09-01 11:00:00,20150900,20151200,20151200
2015-12-01 12:00:00,20151200,20160300,20160300
2016-03-01 13:00:00,20160300,20160600,20160600
2016-06-01 11:00:00,20160600,20160900,20160900
2016-09-01 13:00:00,20160900,20161200,20161200
2016-12-01 11:00:00,20161200,20170300,20170300
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2017-06-01 12:00:00,20170600,20170900,20170900
2017-09-01 11:00:00,20170900,20171200,20171200
2017-12-01 13:00:00,20171200,20180300,20180300
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2018-11-30 10:00:00,20181200,20190300,20190300
2019-03-01 11:00:00,20190300,20190600,20190600
2019-05-31 10:00:00,20190600,20190900,20190900
2019-08-30 07:00:00,20190900,20191200,20191200
2019-12-02 07:00:00,20191200,20200300,20200300
2020-03-02 11:00:00,20200300,20200600,20200600
2020-06-01 07:00:00,20200600,20200900,20200900
2020-09-01 09:00:00,20200900,20201200,20201200
2020-12-01 11:00:00,20201200,20210300,20210300
2021-03-01 13:00:00,20210300,20210600,20210600
2021-06-01 10:00:00,20210600,20210900,20210900
2021-09-01 12:00:00,20210900,20211200,20211200
2021-12-01 17:00:00,20211200,20220300,20220300
2022-02-28 01:00:00,20220300,20220600,20220600
2022-06-01 01:00:00,20220600,20220900,20220900
2022-09-01 03:00:00,20220900,20221200,20221200
2022-11-30 14:00:00,20221200,20230300,20230300
2023-03-01 13:00:00,20230300,20230600,20230600
83 changes: 83 additions & 0 deletions data/futures/roll_calendars_csv/COFFEE.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2007-02-16 23:00:00,20070500,20070700,20070300
2007-04-19 23:00:00,20070700,20070900,20070500
2007-06-20 23:00:00,20070900,20071200,20070700
2007-08-22 23:00:00,20071200,20080300,20070900
2007-11-19 23:00:00,20080300,20080500,20071200
2008-02-20 23:00:00,20080500,20080700,20080300
2008-04-21 23:00:00,20080700,20080900,20080500
2008-06-19 23:00:00,20080900,20081200,20080700
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2009-04-21 23:00:00,20090700,20090900,20090500
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2009-11-17 23:00:00,20100300,20100500,20091200
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2010-11-18 23:00:00,20110300,20110500,20101200
2011-02-16 23:00:00,20110500,20110700,20110300
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2011-06-21 23:00:00,20110900,20111200,20110700
2011-08-22 23:00:00,20111200,20120300,20110900
2011-11-18 23:00:00,20120300,20120500,20111200
2012-02-17 23:00:00,20120500,20120700,20120300
2012-04-19 23:00:00,20120700,20120900,20120500
2012-06-20 23:00:00,20120900,20121200,20120700
2012-08-22 23:00:00,20121200,20130300,20120900
2012-11-20 23:00:00,20130300,20130500,20121200
2013-02-19 23:00:00,20130500,20130700,20130300
2013-04-19 23:00:00,20130700,20130900,20130500
2013-06-19 23:00:00,20130900,20131200,20130700
2013-08-21 23:00:00,20131200,20140300,20130900
2013-11-19 23:00:00,20140300,20140500,20131200
2014-02-19 23:00:00,20140500,20140700,20140300
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2014-06-19 23:00:00,20140900,20141200,20140700
2014-08-20 23:00:00,20141200,20150300,20140900
2014-11-18 23:00:00,20150300,20150500,20141200
2015-02-18 23:00:00,20150500,20150700,20150300
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2023-02-16 23:00:00,20230500,20230700,20230300
2023-04-19 23:00:00,20230700,20230900,20230500
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