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Fix contract resolver picking wrong month for adjacent contracts

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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
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lib/contract-resolver.ts
+6 -3
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@@ -216,14 +216,17 @@ export async function resolveContracts(
console.log(`[contract-resolver] ${sym}: continuous=${continuousPrice}, candidates=[${candidates.map((c, i) => `${c.contract.name}=$${candidatePrices[i]}`).join(', ')}]`); console.log(`[contract-resolver] ${sym}: continuous=${continuousPrice}, candidates=[${candidates.map((c, i) => `${c.contract.name}=$${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 let best = candidates[0]; // default to front
if (continuousPrice !== null) { if (continuousPrice !== null) {
let bestDiff = Infinity;
for (let i = 0; i < candidates.length; i++) { for (let i = 0; i < candidates.length; i++) {
const price = candidatePrices[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]; best = candidates[i];
break; // prefer the nearest matching contract
} }
} }
} else { } else {