Default rolling future strategies
Primer on default rolling future strategies available within the framework.
The below list contains the current available default strategy methods for instantiating a
RollingFutureStrategy object with a set of parameters. These default strategies can be imported via the following:
from sigtech.framework.default_strategy_objects.rolling_futures import *
The different parameters can vary from default strategy to default strategy, and some contracts might have more than one default strategy with varying parameters. The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:
Python
Output
bo_comdty_f_0??
@recorded_lru_cache()
def bo_comdty_f_0():
"""
Define a rolling future strategy in USD with contract code ``'BO'`` (commodity), rolling rule ``'F_0'`` and monthly
rolling days ``'1:2'``.
"""
return RollingFutureStrategy(
{'currency': 'USD', 'start_date': datetime.date(2010, 1, 4), 'contract_code': 'BO', 'contract_sector': 'COMDTY',
'rolling_rule': 'F_0', 'db_ticker': 'USD BO COMDTY Long F_0 RF', 'monthly_roll_days': '1:2'})
Method | Description |
bo_comdty_f_0 | Soybean Oil Future |
bo_comdty_long_carry | Soybean Oil Future |
c_comdty_f_0 | Corn Future |
c_comdty_long_carry | Corn Future |
c_comdty_seasonal | Corn Future |
ca_comdty_f_0 | Milling Wheat Future |
cc_comdty_f_0 | Cocoa Future |
cc_comdty_seasonal | Cocoa Future |
cl_comdty_f_0 | Crude Oil Future |
cl_comdty_dec | Crude Oil Future |
cl_comdty_energy | Crude Oil Future |
cl_comdty_rici | Crude Oil Future |
cn_comdty_front | Canada 10YR Gov Bond Future |
co_comdty_f_0 | Brent Crude Future |
co_comdty_f_0_short | Brent Crude Future |
co_comdty_dec | Brent Crude Future |
co_comdty_energy | Brent Crude Future |
ct_comdty_f_0 | Cotton Future |
ct_comdty_long_carry | Cotton Future |
ct_comdty_mcq_long_carry | Cotton Future |
ct_comdty_seasonal | Cotton Future |
du_comdty_front | Euro German Shatz Future |
ed_comdty_front | Eurodollar Future |
fv_comdty_front | US 5YR Note Future |
fv_comdty_prev_month | US 5YR Note Future |
g_comdty_front | Long Gilt Future |
g_comdty_prev_month | Long Gilt Future |
gc_comdty_pre_rol | Gold Future |
gc_comdty_rici | Gold Future |
hg_comdty_f_0 | Copper Future CME |
ho_comdty_f_0 | NY Harbor ULSD Future |
ho_comdty_dec | NY Harbor ULSD Future |
ho_comdty_energy | NY Harbor ULSD Future |
ho_comdty_long_carry | NY Harbor ULSD Future |
ij_comdty_f_0 | Rapeseed Future |
jb_comdty_front | Japan 10YR Gov Bond Future |
kc_comdty_seasonal | Coffee Future |
kw_comdty_f_0 | Kansas City HRW Wheat Future |
kw_comdty_long_carry | Kansas City HRW Wheat Future |
kw_comdty_seasonal | Kansas City HRW Wheat Future |
la_comdty_f_0 | Aluminium Future |
lc_comdty_f_0 | Live Cattle Future |
lc_comdty_long_carry | Live Cattle Future |
lc_comdty_seasonal | Live Cattle Future |
lh_comdty_f_0 | Lean Hogs Future |
lh_comdty_long_carry | Lean Hogs Future |
lh_comdty_seasonal | Lean Hogs Future |
ll_comdty_f_0 | Lead Future |
lp_comdty_f_0 | Copper Future LME |
lx_comdty_f_0 | Zinc Future |
mw_comdty_f_0 | Spring Wheat Future |
ng_comdty_f_0 | Henry Hub Natural Gas Future |
ng_comdty_djubs | Henry Hub Natural Gas Future |
ng_comdty_long_carry | Henry Hub Natural Gas Future |
oe_comdty_front | Euro German Bobl Future |
pl_comdty_pre_roll | Platinum Future |
pl_comdty_rici | Platinum Future |
qc_comdty_f_0 | Cocoa Future ICE |
qs_comdty_f_0 | Gas Oil Future ICE |
qs_comdty_dec | Gas Oil Future ICE |
qw_comdty_f_0 | White Sugar Future |
qw_comdty_seasonal | White Sugar Future |
rs_comdty_f_0 | Rapeseed (Canola) Future |
rx_comdty_front | Euro German Bund Future |
s_comdty_f_0 | Soybeans Future |
s_comdty_long_carry | Soybeans Future |
s_comdty_seasonal | Soybeans Future |
sb_comdty_f_0 | Sugar Future |
sb_comdty_mcq_long_carry | Sugar Future |
sb_comdty_seasonal | Sugar Future |
si_comdty_pre_roll | Silver Future |
sm_comdty_f_0 | Soybean Meal Future |
tu_comdty_front | US 2YR Note Future |
tu_comdty_prev_month | US 2YR Note Future |
ty_comdty_front | US 10YR Note Future |
ty_comdty_front_short | US 10YR Note Future |
ty_comdty_prev_month | US 10YR Note Future |
ub_comdty_front | Euro Buxl Future |
us_comdty_front | US Long Bond Future |
us_comdty_prev_month | US Long Bond Future |
w_comdty_f_0 | Wheat Future |
w_comdty_long_carry | Wheat Future |
w_comdty_seasonal | Wheat Future |
wn_comdty_front | US Ultra Bond Future |
xbw_comdty_f_0 | Gasoline-Reformulated Blendstock Future |
xbw_comdty_energy | Gasoline-Reformulated Blendstock Future |
xbw_comdty_long_carry | Gasoline-Reformulated Blendstock Future |
xm_comdty_front | Australia 10YR Gov Bond Future |
ad_curncy_front | AUD Future |
bp_curncy_front | GBP Future |
bp_curncy_front_short | GBP Future Short |
cd_curncy_front | CAD Future |
ec_curncy_front | EUR Future |
jy_curncy_front | JPY Future |
no_curncy_front | NOK Future |
nv_curncy_front | NZD Future |
se_curncy_front | SEK Future |
sf_curncy_front | CHF Future |
ai_index_front | FTSE/JSE 40 Index Future |
ca_index_front | Eurostoxx Banks Future |
cf_index_front | CAC 40 Index Future |
eo_index_front | AEX Index Future |
es_index_front | E-mini S&P 500 Index Future |
es_index_front_excess_exc_tcost | E-mini S&P 500 Index Future |
es_index_front_short | E-mini S&P 500 Index Future |
gx_index_front | DAX Index Future |
ih_index_front | S&P CNX Nifty Index Futures |
km_index_front | KOSPI 200 Index Future |
mes_index_front | Mini MSCI Emergin Markets Index Future |
nx_index_front | Nikkei 225 Index Future |
nh_index_front | Nikkei 225 Index Future (Yen) |
nk_index_front | OMX Helsinki Future |
nq_index_front | E-mini NASDAQ 100 Index Future |
oi_index_front | OBX Index Future |
pt_index_front | S&P Canada 60 Future |
qc_index_front | OMXS30 Index Future |
rty_index_front | E-mini Russel 2000 Index Future |
sm_index_front | Swiss Market Index Future |
st_index_front | MIB FTSE Index Future |
tp_index_front | TOPIX Index Future |
vg_index_front | Euro STOXX 50 Index Future |
xp_index_front | SPI 200 Index Future |
xu_index_front | China A50 Index Future |
z_index_front | FTSE 100 Index Future |