Pick active futures contract by Yahoo volume
Replaces the Yahoo continuous-contract month parse with a volume-based
probe: walk the next 6 month codes via Yahoo's specific tickers
({PROD}{MONTH}{YY}.{EXCHANGE}) and pick the one with the highest recent
volume. Tracks the trader-standard "front month" definition and rolls
correctly even when the continuous (=F) feed lags expiry.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
co-authored by
Claude Opus 4.7
Claude Opus 4.7
parent
f6b2ee27fd
commit
e37c39a7d1
+112
-77
@@ -2,8 +2,12 @@
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* Contract Resolver
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*
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* Determines the active contract for each symbol by:
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* 1. Asking Yahoo Finance which month the continuous contract ({PRODUCT}=F) maps to
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* 2. Looking up that specific contract on Tradovate via /contract/suggest
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* 1. Asking Yahoo Finance's continuous contract ({PRODUCT}=F) for the exchange suffix
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* 2. Probing Yahoo for several near-month tickers and ranking them by volume
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* 3. Looking up the highest-volume contract on Tradovate via /contract/suggest
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*
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* Volume is the trader-standard definition of "front month": liquidity has
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* migrated to whichever contract is most actively traded on any given day.
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*
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* Results are cached and refreshed periodically (default: every 30 minutes).
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*/
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@@ -22,31 +26,8 @@ export interface ResolvedContract extends ContractInfo {
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alternative?: string;
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}
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// ── Month code mapping ──────────────────────────────────────────────────────
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const MONTH_TO_CODE: Record<string, string> = {
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Jan: 'F', Feb: 'G', Mar: 'H', Apr: 'J', May: 'K', Jun: 'M',
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Jul: 'N', Aug: 'Q', Sep: 'U', Oct: 'V', Nov: 'X', Dec: 'Z',
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January: 'F', February: 'G', March: 'H', April: 'J',
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June: 'M', July: 'N', August: 'Q', September: 'U',
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October: 'V', November: 'X', December: 'Z',
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};
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/**
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* Parse Yahoo's shortName to extract month code and year digit.
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* Formats seen: "Euro FX Futures,Jun-2026", "Gold Jun 26", "Nasdaq 100 Jun 26"
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* Returns e.g. { monthCode: 'M', yearDigit: '6' } or null.
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*/
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function parseShortName(shortName: string): { monthCode: string; yearDigit: string } | null {
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// Try patterns: "Mon-YYYY", "Mon YY", "Mon YYYY", "Month-YYYY"
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const match = shortName.match(/\b(Jan(?:uary)?|Feb(?:ruary)?|Mar(?:ch)?|Apr(?:il)?|May|Jun(?:e)?|Jul(?:y)?|Aug(?:ust)?|Sep(?:tember)?|Oct(?:ober)?|Nov(?:ember)?|Dec(?:ember)?)[- ](\d{2,4})\b/i);
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if (!match) return null;
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const monthCode = MONTH_TO_CODE[match[1]];
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if (!monthCode) return null;
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const yearStr = match[2];
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const yearDigit = yearStr.length === 4 ? yearStr.slice(-1) : yearStr.slice(-1);
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return { monthCode, yearDigit };
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}
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const MONTH_CODES_ORDERED = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z'];
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const PROBE_WINDOW = 6;
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// ── Cache ────────────────────────────────────────────────────────────────────
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@@ -76,32 +57,95 @@ export function getAllCachedContracts(): Record<string, ResolvedContract | null>
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return result;
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}
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// ── Yahoo Finance lookup ─────────────────────────────────────────────────────
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// ── Yahoo Finance lookups ────────────────────────────────────────────────────
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/** Fetch the continuous contract meta for a product (e.g. "GC" → "GC=F"). */
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async function getContinuousMeta(product: string): Promise<{ shortName: string; price: number } | null> {
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/** Fetch the continuous contract's exchange suffix (e.g. "NQ=F" → "CME"). */
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async function getContinuousExchange(product: string): Promise<string | null> {
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try {
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const res = await axios.get(
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`https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(product + '=F')}`,
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{ params: { range: '1d', interval: '1d' }, headers: { 'User-Agent': 'Mozilla/5.0' } }
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);
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const meta = res.data?.chart?.result?.[0]?.meta;
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if (!meta?.shortName) return null;
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return { shortName: meta.shortName, price: meta.regularMarketPrice ?? 0 };
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if (!meta) return null;
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return meta.exchangeName ?? 'CME';
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} catch {
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return null;
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}
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}
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/**
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* Probe Yahoo for the next PROBE_WINDOW month codes starting from the current
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* calendar month. Returns the candidate with the highest recent volume, plus
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* the earliest other candidate with non-zero volume (used as the "rolled from"
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* label). Quarterly products naturally skip their unused months — Yahoo has
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* no data for them.
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*/
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async function findHighestVolumeContract(
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product: string,
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exchange: string,
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): Promise<{ chosen: string; runnerUp: string | null } | null> {
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const now = new Date();
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const startMonthIdx = now.getUTCMonth();
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const startYear = now.getUTCFullYear();
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const probes = await Promise.all(
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Array.from({ length: PROBE_WINDOW }, (_, offset) => offset).map(async (offset) => {
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const flat = startMonthIdx + offset;
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const monthCode = MONTH_CODES_ORDERED[flat % 12];
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const year = startYear + Math.floor(flat / 12);
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const yy = (year % 100).toString().padStart(2, '0');
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const ticker = `${product}${monthCode}${yy}.${exchange}`;
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try {
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const res = await axios.get(
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`https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(ticker)}`,
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{ params: { range: '1d', interval: '1d' }, headers: { 'User-Agent': 'Mozilla/5.0' } }
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);
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const result = res.data?.chart?.result?.[0];
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const meta = result?.meta;
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if (!meta?.shortName) return null;
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const volume: number =
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meta.regularMarketVolume
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?? result?.indicators?.quote?.[0]?.volume?.at(-1)
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?? 0;
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return {
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name: `${product}${monthCode}${(year % 10).toString()}`,
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offset,
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volume,
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};
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} catch {
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return null;
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}
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})
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);
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const valid = probes.filter((p): p is NonNullable<typeof p> => p !== null);
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if (valid.length === 0) return null;
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const byVolume = [...valid].sort((a, b) => b.volume - a.volume);
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const chosen = byVolume[0];
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console.log(
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`[contract-resolver] ${product}: volume ranking — ${byVolume.map((c) => `${c.name}=${c.volume}`).join(', ')}`
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);
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const earlierWithVolume = valid
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.filter((p) => p.offset < chosen.offset && p.volume > 0)
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.sort((a, b) => a.offset - b.offset)[0];
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return {
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chosen: chosen.name,
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runnerUp: earlierWithVolume?.name ?? null,
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};
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}
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// ── Main resolver ────────────────────────────────────────────────────────────
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/**
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* Resolve the active contract for a list of symbols using Yahoo Finance + Tradovate.
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* Resolve the active contract for a list of symbols.
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* For each symbol:
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* 1. Fetch {PRODUCT}=F from Yahoo → parse shortName for month/year
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* 2. Construct the Tradovate contract name (e.g. "GCM6")
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* 3. Look it up on Tradovate via /contract/suggest to get the contract ID
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* 4. Fallback: if Yahoo fails, use Tradovate suggest directly (front month)
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* 1. Fetch {PRODUCT}=F from Yahoo to learn the exchange suffix
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* 2. Probe near-month Yahoo tickers and pick the highest-volume contract
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* 3. Look up the chosen name on Tradovate to get the contract ID
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*/
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export async function resolveContracts(
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symbols: string[],
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@@ -110,64 +154,55 @@ export async function resolveContracts(
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const headers = { Authorization: `Bearer ${accessToken}` };
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const results: Record<string, ResolvedContract | null> = {};
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// Step 1: Ask Yahoo for the active contract month for each symbol
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const yahooResults: Record<string, { monthCode: string; yearDigit: string } | null> = {};
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await Promise.all(symbols.map(async (sym) => {
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const meta = await getContinuousMeta(sym);
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if (meta) {
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const parsed = parseShortName(meta.shortName);
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console.log(`[contract-resolver] ${sym}: Yahoo says "${meta.shortName}" → ${parsed ? `${sym}${parsed.monthCode}${parsed.yearDigit}` : 'parse failed'}`);
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yahooResults[sym] = parsed;
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let chosenName: string | null = null;
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let rolledFrom: string | null = null;
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const exchange = await getContinuousExchange(sym);
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if (exchange) {
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const winner = await findHighestVolumeContract(sym, exchange);
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if (winner) {
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chosenName = winner.chosen;
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rolledFrom = winner.runnerUp;
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}
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} else {
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console.log(`[contract-resolver] ${sym}: Yahoo continuous contract lookup failed`);
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yahooResults[sym] = null;
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}
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}));
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// Step 2: Look up the specific contract on Tradovate
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await Promise.all(symbols.map(async (sym) => {
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const yahoo = yahooResults[sym];
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// Build the target Tradovate name from Yahoo's answer (e.g. "GCM6")
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const targetName = yahoo ? `${sym}${yahoo.monthCode}${yahoo.yearDigit}` : null;
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try {
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const res = await axios.get(
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`https://demo.tradovateapi.com/v1/contract/suggest?t=${encodeURIComponent(targetName ?? sym)}&l=10`,
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`https://demo.tradovateapi.com/v1/contract/suggest?t=${encodeURIComponent(chosenName ?? sym)}&l=10`,
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{ headers }
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);
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const contracts: ContractInfo[] = res.data ?? [];
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// Find exact match for the Yahoo-derived name, or first matching contract as fallback
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const exactMatch = targetName
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? contracts.find((c) => c.name === targetName)
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: null;
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const exactMatch = chosenName ? contracts.find((c) => c.name === chosenName) : null;
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const fallbackMatch = contracts.find((c) => {
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if (!c.name.startsWith(sym)) return false;
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const rest = c.name.slice(sym.length);
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return /^[A-Z]\d/.test(rest);
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return /^[A-Z]\d/.test(c.name.slice(sym.length));
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});
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const match = exactMatch ?? fallbackMatch;
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if (match) {
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const contract: ResolvedContract = {
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id: match.id,
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name: match.name,
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tickSize: (match as any).providerTickSize ?? 0.25,
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contractMaturityId: (match as any).contractMaturityId,
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alternative: (exactMatch && fallbackMatch && exactMatch.name !== fallbackMatch.name)
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? fallbackMatch.name : undefined,
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};
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results[sym] = contract;
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cache.set(sym, { contract, resolvedAt: Date.now() });
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if (exactMatch && fallbackMatch && exactMatch.name !== fallbackMatch.name) {
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console.log(`[contract-resolver] ${sym}: ${fallbackMatch.name} → ${exactMatch.name} (Yahoo) ROLLED`);
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} else {
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console.log(`[contract-resolver] ${sym}: ${match.name} resolved`);
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}
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} else {
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if (!match) {
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console.log(`[contract-resolver] ${sym}: no matching contract found on Tradovate`);
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results[sym] = null;
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return;
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}
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const contract: ResolvedContract = {
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id: match.id,
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name: match.name,
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tickSize: (match as any).providerTickSize ?? 0.25,
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contractMaturityId: (match as any).contractMaturityId,
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alternative: rolledFrom ?? undefined,
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};
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results[sym] = contract;
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cache.set(sym, { contract, resolvedAt: Date.now() });
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if (rolledFrom) {
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console.log(`[contract-resolver] ${sym}: ${rolledFrom} → ${match.name} ROLLED (by volume)`);
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} else {
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console.log(`[contract-resolver] ${sym}: ${match.name} resolved`);
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}
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} catch (err) {
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console.error(`[contract-resolver] ${sym}: Tradovate lookup failed`, err);
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