Add BTIC on cryptocurrencies futures back

Add MIB (BTIC on micro bitcoin futures) and BRM (BTIC on micro ether futures) back
QuantConnect · Jan 6, 2025 · afa804e · afa804e
1 parent 50a8de5
commit afa804e
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Showing 7 changed files with 564 additions and 4 deletions.
diff --git a/Common/Orders/Fees/InteractiveBrokersFeeModel.cs b/Common/Orders/Fees/InteractiveBrokersFeeModel.cs
@@ -418,7 +418,7 @@ private static CashAmount EUREXFutureFees(Security security)
             { "MYM", 0.25m }, { "M2K", 0.25m }, { "MES", 0.25m }, { "MNQ", 0.25m }, { "2YY", 0.25m }, { "5YY", 0.25m }, { "10Y", 0.25m },
             { "30Y", 0.25m }, { "MCL", 0.25m }, { "MGC", 0.25m }, { "SIL", 0.25m },
             // Cryptocurrency Futures
-            { "BTC", 5m }, { "MBT", 2.25m }, { "ETH", 3m }, { "MET", 0.20m },
+            { "BTC", 5m }, { "MBT", 2.25m }, { "ETH", 3m }, { "MET", 0.20m }, { "MIB", 2.25m }, { "MRB", 0.20m },
             // E-mini FX (currencies) Futures
             { "E7", 0.50m }, { "J7", 0.50m },
             // Micro E-mini FX (currencies) Futures
@@ -441,7 +441,7 @@ private static CashAmount EUREXFutureFees(Security security)
             { "MYM", 0.25m }, { "M2K", 0.25m }, { "MES", 0.25m }, { "MNQ", 0.25m }, { "2YY", 0.25m }, { "5YY", 0.25m }, { "10Y", 0.25m },
             { "30Y", 0.25m }, { "MCL", 0.25m }, { "MGC", 0.25m }, { "SIL", 0.25m },
             // Cryptocurrency Future Options
-            { "BTC", 5m }, { "MBT", 1.25m }, { "ETH", 3m }, { "MET", 0.10m },
+            { "BTC", 5m }, { "MBT", 1.25m }, { "ETH", 3m }, { "MET", 0.10m }, { "MIB", 1.25m }, { "MRB", 0.10m }
         };
 
         private static readonly Dictionary<string, decimal> _usaFuturesExchangeFees = new()
@@ -452,7 +452,7 @@ private static CashAmount EUREXFutureFees(Security security)
             { "MYM", 0.30m }, { "M2K", 0.30m }, { "MES", 0.30m }, { "MNQ", 0.30m }, { "2YY", 0.30m }, { "5YY", 0.30m }, { "10Y", 0.30m },
             { "30Y", 0.30m }, { "MCL", 0.30m }, { "MGC", 0.30m }, { "SIL", 0.30m },
             // Cryptocurrency Futures
-            { "BTC", 6m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
+            { "BTC", 6m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m }, { "MIB", 2.5m }, { "MRB", 0.20m },
             // E-mini FX (currencies) Futures
             { "E7", 0.85m }, { "J7", 0.85m },
             // Micro E-mini FX (currencies) Futures
@@ -474,7 +474,7 @@ private static CashAmount EUREXFutureFees(Security security)
             { "MYM", 0.20m }, { "M2K", 0.20m }, { "MES", 0.20m }, { "MNQ", 0.20m }, { "2YY", 0.20m }, { "5YY", 0.20m }, { "10Y", 0.20m },
             { "30Y", 0.20m }, { "MCL", 0.20m }, { "MGC", 0.20m }, { "SIL", 0.20m },
             // Cryptocurrency Future Options
-            { "BTC", 5m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m },
+            { "BTC", 5m }, { "MBT", 2.5m }, { "ETH", 4m }, { "MET", 0.20m }, { "MIB", 2.5m }, { "MRB", 0.20m },
         };
 
         /// <summary>

diff --git a/Common/Securities/Future/Futures.cs b/Common/Securities/Future/Futures.cs
@@ -322,6 +322,18 @@ public static class Currencies
             /// </summary>
             /// <returns>The symbol</returns>
             public const string MicroBTC = "MBT";
+
+            /// <summary>
+            /// BTIC on Micro Ether Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string BTICMicroEther = "MRB";
+
+            /// <summary>
+            /// BTIC on Micro Bitcoin Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string BTICMicroBTC = "MIB";
         }
 
         /// <summary>

diff --git a/Common/Securities/Future/FuturesExpiryFunctions.cs b/Common/Securities/Future/FuturesExpiryFunctions.cs
@@ -3698,6 +3698,63 @@ Dec listed in June
 
                     return lastFriday.Add(new TimeSpan(15, 0, 0));
                 })
+            },
+            // BTIC on Micro Ether Futures (MRB): https://www.cmegroup.com/markets/cryptocurrencies/ether/micro-ether.contractSpecs.html
+            {Symbol.Create(Futures.Currencies.BTICMicroEther, SecurityType.Future, Market.CME), (time =>
+                {
+                    // Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.
+
+                    // Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
+                    // If this is not both a London and U.S. business day, trading terminates on the prior
+                    // London and the U.S. business day.
+
+                    // BTIC: Trading terminates at 4:00 p.m. London time on the last Thursday of the contract
+                    // month.If this is not both a London and U.S. business day, trading terminates on the prior
+                    // London and the U.S. business day.
+
+                    var lastThursday = FuturesExpiryUtilityFunctions.LastThursday(time);
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.CME, Futures.Currencies.BTICMicroEther, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    while (holidays.Contains(lastThursday))
+                    {
+                        lastThursday = FuturesExpiryUtilityFunctions.AddBusinessDays(lastThursday, -1, holidays);
+                    }
+
+                    return lastThursday.Add(new TimeSpan(15, 0, 0));
+                })
+            },
+            // BTIC on Micro Bitcoin Futures (MIB): https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/micro-bitcoin.contractSpecs.html
+            {Symbol.Create(Futures.Currencies.BTICMicroBTC, SecurityType.Future, Market.CME), (time =>
+                {
+                    // Monthly contracts listed for 6 consecutive months and 2 additional Dec contract months.
+                    // If the 6 consecutive months includes Dec, list only 1 additional Dec contract month.
+
+                    // Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
+                    // If this is not both a London and U.S. business day, trading terminates on the prior
+                    // London and the U.S. business day.
+
+                    // BTIC: Trading terminates at 4:00 p.m. London time on the last Thursday of the contract
+                    // month.If this is not both a London and U.S. business day, trading terminates on the prior
+                    // London and the U.S. business day.
+
+                    var lastThursday = FuturesExpiryUtilityFunctions.LastThursday(time);
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.CME, Futures.Currencies.BTICMicroBTC, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    while (holidays.Contains(lastThursday))
+                    {
+                        lastThursday = FuturesExpiryUtilityFunctions.AddBusinessDays(lastThursday, -1, holidays);
+                    }
+
+                    return lastThursday.Add(new TimeSpan(15, 0, 0));
+                })
             }
         };
     }