senofy/autofirmer-expanded
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Fix contract resolver picking wrong month for adjacent contracts

Browse Source 
Adjacent futures months (e.g. 6EK vs 6EM) have nearly identical prices,
so the first-match-within-tolerance approach picked the front month
(6EK/May) instead of the actual active contract (6EM/June). Now picks
the candidate with the closest price to the continuous contract instead
of breaking on the first match within 0.1% tolerance.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-03-30 18:22:11 -05:00
co-authored by Claude Opus 4.6
parent 4025ed2f41
commit 24cfa7efcc
1 changed files with 6 additions and 3 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/contract-resolver.ts
+6 -3
View File
@@ -216,14 +216,17 @@ export async function resolveContracts(
console.log(`[contract-resolver] ${sym}: continuous=${continuousPrice}, candidates=[${candidates.map((c, i) => `${c.contract.name}=$${candidatePrices[i]}`).join(', ')}]`);
// Find the candidate whose price matches the continuous contract (within 0.1% tolerance)
// Find the candidate with the closest price to the continuous contract
let best = candidates[0]; // default to front
if (continuousPrice !== null) {
let bestDiff = Infinity;
for (let i = 0; i < candidates.length; i++) {
const price = candidatePrices[i];
if (price !== null && Math.abs(price - continuousPrice) / continuousPrice < 0.001) {
if (price === null) continue;
const diff = Math.abs(price - continuousPrice);
if (diff < bestDiff) {
bestDiff = diff;
best = candidates[i];
break; // prefer the nearest matching contract
}
}
} else {