From 9e8ea3599c72134cca7fccde238761339dcec231 Mon Sep 17 00:00:00 2001 From: rob Date: Thu, 13 Jul 2023 09:14:45 +0100 Subject: [PATCH] roll calendar cad10 --- CHANGELOG.md | 27 +++++ README.md | 4 +- data/futures/roll_calendars_csv/CAD10.csv | 121 ++++++++++++++++++++++ 3 files changed, 150 insertions(+), 2 deletions(-) create mode 100644 data/futures/roll_calendars_csv/CAD10.csv diff --git a/CHANGELOG.md b/CHANGELOG.md index a4d4b9a670..808cf48ef1 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -1,5 +1,32 @@ # 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 diff --git a/README.md b/README.md index 16b608ed3b..880fad3f3a 100644 --- a/README.md +++ b/README.md @@ -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 diff --git a/data/futures/roll_calendars_csv/CAD10.csv b/data/futures/roll_calendars_csv/CAD10.csv new file mode 100644 index 0000000000..aeaf1a0585 --- /dev/null +++ b/data/futures/roll_calendars_csv/CAD10.csv @@ -0,0 +1,121 @@ +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 +1995-08-18 23:00:00,19950900,19951200,19951200 +1995-11-20 23:00:00,19951200,19960300,19960300 +1996-02-20 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