Fix Futures SymbolRepresentation disambiguation of ticker with limite…

…d year information (QuantConnect#5715) * Fixes bug where future converter processing includes invalid values * Fix issue in SymbolRepresentation * Fixup * Empty commit * Empty commit
ebengtso · Jun 29, 2021 · c9a3ad3 · c9a3ad3
1 parent 0d45bf5
commit c9a3ad3
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Showing 4 changed files with 25 additions and 9 deletions.
diff --git a/Common/SymbolRepresentation.cs b/Common/SymbolRepresentation.cs
@@ -141,9 +141,11 @@ public static FutureTickerProperties ParseFutureTicker(string ticker)
         /// Helper method to parse and generate a future symbol from a given user friendly representation
         /// </summary>
         /// <param name="ticker">The future ticker, for example 'ESZ1'</param>
+        /// <param name="futureYear">Clarifies the year for the current future</param>
         /// <returns>The future symbol or null if failed</returns>
-        public static Symbol ParseFutureSymbol(string ticker)
+        public static Symbol ParseFutureSymbol(string ticker, int? futureYear = null)
         {
+            var disambiguatedFutureYear = futureYear ?? TodayUtc.Year;
             var parsed = ParseFutureTicker(ticker);
             if (parsed == null)
             {
@@ -153,7 +155,7 @@ public static Symbol ParseFutureSymbol(string ticker)
             var underlying = parsed.Underlying;
             var expirationYearShort = parsed.ExpirationYearShort;
             var expirationMonth = parsed.ExpirationMonth;
-            var expirationYear = GetExpirationYear(expirationYearShort);
+            var expirationYear = GetExpirationYear(expirationYearShort, disambiguatedFutureYear);
 
             if (!SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(underlying, SecurityType.Future, out var market))
             {
@@ -439,10 +441,10 @@ public static OptionTickerProperties ParseOptionTickerIQFeed(string ticker)
 
         private static IReadOnlyDictionary<int, string> _futuresMonthLookup = _futuresMonthCodeLookup.ToDictionary(kv => kv.Value, kv => kv.Key);
 
-        private static int GetExpirationYear(int year)
+        private static int GetExpirationYear(int year, int futureYear)
         {
             var baseNum = 2000;
-            while (baseNum + year < TodayUtc.Year)
+            while (baseNum + year < futureYear)
             {
                 baseNum += 10;
             }

diff --git a/Tests/Common/SymbolRepresentationTests.cs b/Tests/Common/SymbolRepresentationTests.cs
@@ -180,5 +180,13 @@ public void GenerateFutureTickerExpiringInNextMonth(string ticker, int year, int
 
             Assert.AreEqual(expectedValue, result);
         }
+
+        [TestCase("VXZ2")]
+        public void GenerateFutureSymbolFromTickerMissingDecadeInfo(string ticker)
+        {
+            var result = SymbolRepresentation.ParseFutureSymbol(ticker, 2012);
+
+            Assert.AreEqual(new DateTime(2012, 12, 19), result.ID.Date.Date);
+        }
     }
 }
diff --git a/ToolBox/AlgoSeekFuturesConverter/AlgoSeekFuturesConverter.cs b/ToolBox/AlgoSeekFuturesConverter/AlgoSeekFuturesConverter.cs
@@ -122,6 +122,12 @@ public void Convert()
                         {
                             var tick = reader.Current as Tick;
 
+                            if (tick.Symbol.ID.Symbol == "VX" && (
+                                tick.BidPrice >= 998m || tick.AskPrice >= 998m))
+                            {
+                                // Invalid value for VX futures. Invalid prices in raw data are 998/999
+                                continue;
+                            }
                             //Add or create the consolidator-flush mechanism for symbol:
                             List<List<AlgoSeekFuturesProcessor>> symbolProcessors;
                             if (!processors.TryGetValue(tick.Symbol, out symbolProcessors))

diff --git a/ToolBox/AlgoSeekFuturesConverter/AlgoSeekFuturesReader.cs b/ToolBox/AlgoSeekFuturesConverter/AlgoSeekFuturesReader.cs
@@ -168,18 +168,18 @@ private Tick Parse(string line)
                     return null;
                 }
 
-                var symbol = SymbolRepresentation.ParseFutureSymbol(ticker);
+                // ignoring time zones completely -- this is all in the 'data-time-zone'
+                var timeString = csv[_columnTimestamp];
+                var time = DateTime.ParseExact(timeString, "yyyyMMddHHmmssFFF", CultureInfo.InvariantCulture);
+
+                var symbol = SymbolRepresentation.ParseFutureSymbol(ticker, time.Year);
 
                 if (symbol == null || !_symbolMultipliers.ContainsKey(symbol.ID.Symbol) ||
                     _symbolFilter != null && !_symbolFilter.Contains(symbol.ID.Symbol, StringComparer.InvariantCultureIgnoreCase))
                 {
                     return null;
                 }
 
-                // ignoring time zones completely -- this is all in the 'data-time-zone'
-                var timeString = csv[_columnTimestamp];
-                var time = DateTime.ParseExact(timeString, "yyyyMMddHHmmssFFF", CultureInfo.InvariantCulture);
-
                 // detecting tick type (trade or quote)
                 TickType tickType;
                 bool isAsk = false;