We have Continuation RICs for Futures such as CLc1 and TYcvoi1 and GCcm1 however these are not retrieved by the below Historical criteria search regex code. We would like to know what change needs to be made to the API code to extract the continuation RICs which have these lowercase letters.
The first contract month currently is ADG2 which is the Feb 22 contract and ADc1 will represent the first contract month.
We send a combination of RIC pattern, exchange code and Instrument type. Below are the ones that are currently being used, it looks like we would have to update the Regex at least to pick up the lower case symbols but I’m not sure if any changes are needed to exchange code and instrument type.
Example instrument search template:
{
"Request":
{ "RicPattern": "^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$",
"BondTypeCodes": null,
"ContributorIds": null,
"CountryCodes": null,
"CurrencyCodes": null,
"ExchangeCodes": ["759"],
"FutureMonthCodes": null,
"InstrumentTypeCodes": ["18"],
"OptionMonthCodes": null,
"OptionTypeCodes": null,
"CouponRate": null,
"StrikePrice": null,
"ExpiryDate": null,
"MaturityDate": null,
"Range": {
"Start": "2022-01-31T00:00:00.000Z",
"End": "2022-01-31T23:59:59.999Z"
}
}
}
$ head api_futures_config.txt
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|IUS|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|CME|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|CBT|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|NYM|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|IOM|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|IMM|FUT
^[A-Z]{2,4}[FGHJKMNQUVXZ][0-9]$|CMX|FUT
$ cat instrument_types.txt
domain,instype,desc
FUT,18,Cross Market
FUT,114,Equities and Index
FUT,98,Equity-Linked
FUT,210,FX
FUT,34,Treasury Debt
FUT,50,Sovereign Debt
FUT,82,Corporate Debt
FUT,66,Mortgage-backed Debt
FUT,242,Money Market
FUT,130,Energy
FUT,146,Commodities - Softs
FUT,162,Commodities - Base Metals
FUT,178,Commodities - Coins and Precious Metals
FUT,194,Commodities - Grains and Oilseeds
$ cat exchangeCodes.txt
exchange,exchangeCode
CBT,23
IUS,759
CME,20
MEX,168
NYM,31
SAO,165
IOM,22
IMM,21
CMX,28
