Futures

This page provides details about the futures specific functionality.

Futures specific functionality is specified using the futures argument using the following options:

actual - this returns the trade history for a range of instruments. The user can provide the instruments in two ways:
- Absolute - this is the absolute instrument reference example BRENT.2023.AUG
- Relative - this is the relative instrument reference (i.e. reference relating to the front month example BRENT.c1)
forward - this returns data to construct forward curves for a range of contracts
continuous - this provides the continuous (rolled over) trade history for a range of contracts, continuous months and observations

Note

The continuous method only works on FutQuoteDayStats table in this current release.

Arguments

Name	Required	Type	Default	Example	Description
futures	yes (see note below)	symbol	()	`forward	Futures functionality to execute
contract	yes	symbol[]	()	(`aa;`bb;`bb)	Contract (or instrument)
rollover	no	symbol	`expiry \|`openInterest	Rollover method - for continuous only
xDays	yes (for expiry)	integer	0	5	Roll days before expiry - for rollover method only
obs	no	symbol[]	`settlPrice \| (\`settlPrice;`highPrice)	observations - for continuous only
relativeContract	no	integer[]	1	(5;10)	Relative contracts - for continuous only
backAdjust	no	boolean	1b	0b	Back adjust observations - for continuous only

Note

The APIs currently assume data tables contain data points pertaining to a single source (srcSys). In the case of multiple sources, results returned may not be expected. An additional filter to getTicks should be supplied (on the srcSys column) to return results from the desired source.

Note

The futures argument can be excluded if the contracts/instruments passed to the contract argument meet certain conditions; refer to this section for more details.

Note on baseline getTick args

columns

Due to the futures logic, there are minimum required columns. When using the columns argument it must include the following columns:

srcSys, instrumentID, contractID, exchangeID, tradeDate, expirationDate, settlPrice, openInterest

temporality

Since FutQuoteDayStats is the only table supported at the moment, temporality is not a valid argument for use with futures for this release.

interpretation of contract argument if futures argument absent

If the futures argument is not supplied the following interpretation of the contract argument is applied with the priority order as listed:

A search is made for the supplied contract(s) in the Instrument reference table. If present, actual (absolute) results are returned
A search is made for the supplied contract(s) in the RelativeContract reference table. If present, actual (relative) results are returned
If the futures argument is absent and neither of the above are satisfied, the default behavior is to return continuous curve data for the time period

Having multiple sources

reference data

The futures functionality makes use of reference tables. This is to account for holidays (ExchangeHolidayCal) and relative contract names (RelativeContract). These reference tables contain a column indicating the source vendor for the data (srcSys). The futures logic does account for disparities between reference data from multiple vendors. Nor does it account for multiple versions of reference data from different vendors. Please ensure the reference data ingested into the system solely contains data desired for use.

data tables

The futures functionality currently assumes data tables (for example FutQuoteDayStats) contain data points pertaining to a single source (srcSys column). If there is data from multiple vendors the results returned may contain data points from these multiple sources and provide a misleading picture. An additional filter should be supplied to the API (on the srcSys column) to return results from the desired source.

Configuring Global Variables

Global variables, such as those used for validation of getTicks parameter inputs, can be adjusted to override their default values as required. These are:

maxDays - maximum value of xDays argument permitted, 15 by default
futuresTables - The permitted tables that can be queried with futures functionality, FutQuoteDayStats, FutQuoteMinStats, FutQuote, FutTrade, FutTradeDayStats, FutTradeMinStats by default

There are also data types specified for these global variables, which are used for type validation of the variable values.

To change the defaults, or to add new global variables, there are two options:

unpack the fsi-futures package and edit the src/futures.config.q file, which contains the configuration
a package can be created that includes your values

Changing the variables in the `fsi-futures` package

This should be done before deploying the fsi-futures assembly. The steps to follow to update the variables in the fsi-futures package are:

unpack the fsi-futures package
edit the src/futures.config.q file and update the variables (in the .fsi.globalVariables.futures table), and data types (in the .fsi.globalVariablesTypes.futures dictionary), to the desired values
re-package the fsi-futures package
push the fsi-futures package
bounce the aggregators and resource-coordinators
when the fsi-futures assembly is deployed, the updated variable values take effect

Commands to unpack and re-package a package can be found under package packing.

Commands to push a package and bounce aggregators/resource-coordinators can be found here.

Creating your own package

Instructions to create and load a package can be found under package create.

When futures code initializes it looks for a table named .fsi.globalVariables.futures. Any variables in this table are added to the global variables available, or override the default values of existing global variables with the same names. Including a table with this name in your package, which should be configured to load before fsi-lib, adds the contents to the global variables.

The format this table must take is:

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varName       varValue
----------------------------------------------------------------------------------------------------
maxDays       15
futuresTables `FutQuoteDayStats`FutQuoteMinStats`FutQuote`FutTrade`FutTradeDayStats`FutTradeMinStats

You can also add an optional type for any new global variables added. This is in a dictionary named .fsi.globalVariablesTypes.futures. If this is present when futures code initializes it validates the values of global variables against the expected types and signal an error in the event of failure. To add types for validation of global variables include this dictionary in your package, which should be configured to load before fsi-lib.

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.fsi.globalVariablesTypes.futures:`maxDays`otherVar`futuresTables!(
    -7h;
    99h;
    11h
 )

Continuous futures

When requesting continuous futures the following arguments are used:

rollover - can be expiry, daysBefore or openInterest
xDays - number of days to roll contract before expiry:
- optional for openInterest
- required for daysBefore
- illegal for expiry
- when provided with openInterest it is used to limit the days before - i.e. if openInterest triggers a roll 15days before but xDays is set as 10, then the rollover happens at 10days and not 15days
backAdjust - boolean - optional, if not provided implicitly set to 1b (i.e back adjust) by default

Actuals - Absolute contracts

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args:(!). flip(
        (`contract;`BRENT.2023.AUG`NG.2023.AUG);
        (`startTS;`timestamp$2023.03.15);
        (`endTS;`timestamp$2023.03.17);
        (`table;`FutQuoteDayStats);
        (`futures;`actual)
        );

last  gw(`getTicks;args;`callback;()!())

eventTimestamp                srcSys  instrumentID   contractID exchangeID tradeDate  expirationDate settlPrice openPrice lowPrice highPrice openInterest
---------------------------------------------------------------------------------------------------------------------------------------------------------
2023.03.15D00:00:00.000000000 vendorA BRENT.2023.AUG BRENT      IEU        2023.03.15 2023.06.29     149.31     0         0        0         174362
2023.03.16D00:00:00.000000000 vendorA BRENT.2023.AUG BRENT      IEU        2023.03.16 2023.06.29     150.22     0         0        0         216208
2023.03.17D00:00:00.000000000 vendorA BRENT.2023.AUG BRENT      IEU        2023.03.17 2023.06.29     148.34     0         0        0         270260
2023.03.15D00:00:00.000000000 vendorA NG.2023.AUG    NG         NYM        2023.03.15 2023.06.29     141.84     0         0        0         165644
2023.03.16D00:00:00.000000000 vendorA NG.2023.AUG    NG         NYM        2023.03.16 2023.06.29     142.71     0         0        0         205398
2023.03.17D00:00:00.000000000 vendorA NG.2023.AUG    NG         NYM        2023.03.17 2023.06.29     140.92     0         0        0         256747

Actuals - Relative contracts

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args:(!). flip(
        (`contract;`BRENT.c1`NG.c1);
        (`startTS;`timestamp$2023.03.15);
        (`endTS;`timestamp$2023.03.17);
        (`table;`FutQuoteDayStats);
        (`futures;`actual)
        );

last  gw(`getTicks;args;`callback;()!())

eventTimestamp                srcSys  instrumentID   contractID exchangeID tradeDate  expirationDate settlPrice openPrice lowPrice highPrice openInterest seq relativeContract
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2023.03.15D00:00:00.000000000 vendorA BRENT.2023.MAY BRENT      IEU        2023.03.15 2023.03.23     144.81     0         0        0         4075         1   BRENT.c1
2023.03.16D00:00:00.000000000 vendorA BRENT.2023.MAY BRENT      IEU        2023.03.16 2023.03.23     145.72     0         0        0         2445         1   BRENT.c1
2023.03.17D00:00:00.000000000 vendorA BRENT.2023.MAY BRENT      IEU        2023.03.17 2023.03.23     143.84     0         0        0         1426         1   BRENT.c1
2023.03.15D00:00:00.000000000 vendorA NG.2023.MAY    NG         NYM        2023.03.15 2023.03.23     137.57     0         0        0         3871         1   NG.c1
2023.03.16D00:00:00.000000000 vendorA NG.2023.MAY    NG         NYM        2023.03.16 2023.03.23     138.43     0         0        0         2323         1   NG.c1
2023.03.17D00:00:00.000000000 vendorA NG.2023.MAY    NG         NYM        2023.03.17 2023.03.23     136.65     0         0        0         1355         1   NG.c1

Forward curve data

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args:(!). flip(
        (`contract;`BRENT`);
        (`startTS;`timestamp$2019.12.30);
        (`endTS;`timestamp$2020.01.05);
        (`table;`FutQuoteDayStats);
        (`futures;`forward)
        );

last  gw(`getTicks;args;`callback;()!())

--------------------------------------------------------------
2019.12.30 BRENT.2020.APR 2020.02.05     BRENT      503.89
2019.12.30 BRENT.2020.AUG 2020.06.11     BRENT      505.55
2019.12.30 BRENT.2020.DEC 2020.10.15     BRENT      507.49
2019.12.30 BRENT.2020.JUN 2020.04.30     BRENT      504.97
2019.12.30 BRENT.2020.MAY 2020.03.18     BRENT      504.41
2019.12.30 BRENT.2020.NOV 2020.09.03     BRENT      506.81
2019.12.30 BRENT.2020.SEP 2020.07.23     BRENT      506.17
2019.12.30 BRENT.2021.APR 2021.02.22     BRENT      509.69
2019.12.30 BRENT.2021.AUG 2021.06.29     BRENT      512.17
...

Continuous - rollover on expiry

Example rolling contracts on expiry - requesting back-adjusted history of settlPrice for 1 and 20 front month continuous contracts (relative contracts):

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args:(!). flip(
        (`contract ;`BRENT`NG);
        (`startTS;`timestamp$2018.01.01);
        (`endTS;`timestamp$2023.12.10);
        (`table;`FutQuoteDayStats);
        (`futures;`continuous);
        (`rollover;`expiry);
        (`obs;`settlPrice);
        (`relativeContract;(1;20))
        );

last  gw(`getTicks;args;`callback;()!())

tradeDate  sequence expirationDate daysRemain deltaInterest obs    instrumentID   contractID eventTimestamp                relativeContract obsMetric
------------------------------------------------------------------------------------------------------------------------------------------------------
2018.01.02 1        2018.02.13     30         -848827       176.73 BRENT.2018.APR BRENT      2018.01.02D00:00:00.000000000 1                settlPrice
2018.01.03 1        2018.02.13     29         -834296       181.24 BRENT.2018.APR BRENT      2018.01.03D00:00:00.000000000 1                settlPrice
2018.01.04 1        2018.02.13     28         -805712       179.16 BRENT.2018.APR BRENT      2018.01.04D00:00:00.000000000 1                settlPrice
2018.01.05 1        2018.02.13     27         -764240       185.22 BRENT.2018.APR BRENT      2018.01.05D00:00:00.000000000 1                settlPrice
2018.01.08 1        2018.02.13     26         -711662       184.08 BRENT.2018.APR BRENT      2018.01.08D00:00:00.000000000 1                settlPrice
2018.01.09 1        2018.02.13     25         -650240       186.24 BRENT.2018.APR BRENT      2018.01.09D00:00:00.000000000 1                settlPrice
...
2018.02.07 1        2018.02.13     4          364879        179.09 BRENT.2018.APR BRENT      2018.02.07D00:00:00.000000000 1                settlPrice
2018.02.08 1        2018.02.13     3          463978        174.12 BRENT.2018.APR BRENT      2018.02.08D00:00:00.000000000 1                settlPrice
2018.02.09 1        2018.02.13     2          594224        177.81 BRENT.2018.APR BRENT      2018.02.09D00:00:00.000000000 1                settlPrice
2018.02.12 1        2018.02.13     1          766733        180.62 BRENT.2018.APR BRENT      2018.02.12D00:00:00.000000000 1                settlPrice
2018.02.13 1        2018.02.13     0          996851        178.2  BRENT.2018.APR BRENT      2018.02.13D00:00:00.000000000 1                settlPrice
2018.02.14 2        2018.03.27     29         -848827       181.72 BRENT.2018.MAY BRENT      2018.02.14D00:00:00.000000000 1                settlPrice
2018.02.15 2        2018.03.27     28         -834296       184.84 BRENT.2018.MAY BRENT      2018.02.15D00:00:00.000000000 1                settlPrice
2018.02.16 2        2018.03.27     27         -805712       182.61 BRENT.2018.MAY BRENT      2018.02.16D00:00:00.000000000 1                settlPrice
2018.02.19 2        2018.03.27     26         -764240       177.97 BRENT.2018.MAY BRENT      2018.02.19D00:00:00.000000000 1                settlPrice
2018.02.20 2        2018.03.27     25         -711662       173.66 BRENT.2018.MAY BRENT      2018.02.20D00:00:00.000000000 1                settlPrice
...
2023.05.17 66       2023.05.30     8          -485721       149.43 NG.2024.NOV  NG         2023.05.17D00:00:00.000000000 20               settlPrice
2023.05.18 66       2023.05.30     7          -417128       153.75 NG.2024.NOV  NG         2023.05.18D00:00:00.000000000 20               settlPrice
2023.05.19 66       2023.05.30     6          -349902       154.5  NG.2024.NOV  NG         2023.05.19D00:00:00.000000000 20               settlPrice
2023.05.22 66       2023.05.30     5          -285946       155.06 NG.2024.NOV  NG         2023.05.22D00:00:00.000000000 20               settlPrice
2023.05.23 66       2023.05.30     4          -226701       154.14 NG.2024.NOV  NG         2023.05.23D00:00:00.000000000 20               settlPrice
2023.05.24 66       2023.05.30     3          -173099       149.85 NG.2024.NOV  NG         2023.05.24D00:00:00.000000000 20               settlPrice
2023.05.25 66       2023.05.30     2          -125570       152.84 NG.2024.NOV  NG         2023.05.25D00:00:00.000000000 20               settlPrice
2023.05.26 66       2023.05.30     1          -84071        149.13 NG.2024.NOV  NG         2023.05.26D00:00:00.000000000 20               settlPrice
2023.05.29 66       2023.05.30     0          -48154        145.25 NG.2024.NOV  NG         2023.05.29D00:00:00.000000000 20               settlPrice
2023.05.30 66       2023.05.30     0          -17035        140.57 NG.2024.NOV  NG         2023.05.30D00:00:00.000000000 20               settlPrice

Continuous - rollover xDays before expiry

Example rolling contracts 10 days before expiry - requesting back adjusted history of settlPrice for 1 and 20 front month continuous contracts (relative contracts):

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args:(!). flip(
        (`contract ;`BRENT`NG);
        (`startTS;`timestamp$2018.01.01);
        (`endTS;`timestamp$2023.12.10);
        (`table;`FutQuoteDayStats);
        (`futures;`continuous);
        (`rollover;`daysBefore);
        (`xDays;10);
        (`obs;`settlPrice);
        (`relativeContract;(1;20))
        );

tradeDate  sequence expirationDate daysRemain deltaInterest obs    instrumentID   contractID eventTimestamp                relativeContract obsMetric
------------------------------------------------------------------------------------------------------------------------------------------------------
...
2018.01.23 1        2018.02.13     15         -50688        105.8  BRENT.2018.APR BRENT      2018.01.23D00:00:00.000000000 1                settlPrice
2018.01.24 1        2018.02.13     14         -17932        103.83 BRENT.2018.APR BRENT      2018.01.24D00:00:00.000000000 1                settlPrice
2018.01.25 1        2018.02.13     13         10861         104.15 BRENT.2018.APR BRENT      2018.01.25D00:00:00.000000000 1                settlPrice
2018.01.26 1        2018.02.13     12         36979         99.82  BRENT.2018.APR BRENT      2018.01.26D00:00:00.000000000 1                settlPrice
2018.01.29 1        2018.02.13     11         61858         97.44  BRENT.2018.APR BRENT      2018.01.29D00:00:00.000000000 1                settlPrice
2018.01.30 1        2018.02.13     10         87071         93.79  BRENT.2018.APR BRENT      2018.01.30D00:00:00.000000000 1                settlPrice
2018.01.31 2        2018.02.13     9          114345        89.27  BRENT.2018.MAY BRENT      2018.01.31D00:00:00.000000000 1                settlPrice
2018.02.01 2        2018.02.13     8          145623        88.79  BRENT.2018.MAY BRENT      2018.02.01D00:00:00.000000000 1                settlPrice
2018.02.02 2        2018.02.13     7          183169        93.98  BRENT.2018.MAY BRENT      2018.02.02D00:00:00.000000000 1                settlPrice
2018.02.05 2        2018.02.13     6          229737        103.66 BRENT.2018.MAY BRENT      2018.02.05D00:00:00.000000000 1                settlPrice
...

Continuous - rollover on openInterest

Example rolling contracts on openInterest - requesting back adjusted history of settlPrice for 1 and 20 front month continuous contracts (relative contracts):

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args:(!). flip(
        (`contract ;`BRENT`NG);
        (`startTS;`timestamp$2018.01.01);
        (`endTS;`timestamp$2023.05.11);
        (`table;`FutQuoteDayStats);
        (`futures;`continuous);
        (`rollover;`openInterest);
        (`obs;`settlPrice);
        (`relativeContract;(1;20))
        );

Futures

Arguments

Note on baseline getTick args

columns

temporality

interpretation of contract argument if futures argument absent

Having multiple sources

reference data

data tables

Configuring Global Variables

Changing the variables in the fsi-futures package

Creating your own package

Continuous futures

Actuals - Absolute contracts

Actuals - Relative contracts

Forward curve data

Continuous - rollover on expiry

Continuous - rollover xDays before expiry

Continuous - rollover on openInterest

Changing the variables in the `fsi-futures` package