Merge pull request #1431 from tgibson11/issue-1403-LME-weekly-contracts

Issue #1403 ignore LME weekly contracts

sysbrokers/IB/config/ib_config_futures.csv

@@ -4,7 +4,7 @@ Instrument,IBSymbol,IBExchange,IBCurrency,IBMultiplier,priceMagnifier,IgnoreWeek
 AEX,EOE,FTA,EUR,200,1,FALSE
 AEX_mini,EOE,FTA,EUR,20,1,FALSE
 ALUMINIUM,ALI,COMEX,USD,25,1,FALSE
-ALUMINIUM_LME,AH,LMEOTC,USD,25,1,FALSE
+ALUMINIUM_LME,AH,LMEOTC,USD,25,1,TRUE
 AMERIBOR-1M,AMB30,CFE,USD,5000,100,FALSE
 AMERIBOR-3M,AMT3M,CFE,USD,2500,100,FALSE
 AMERIBOR-T30,AMT1S,CFE,USD,2500,100,FALSE
@@ -81,7 +81,7 @@ COCOA,CC,NYBOT,USD,10,1,FALSE
 COCOA_LDN,C,ICEEUSOFT,GBP,10,1,FALSE
 COFFEE,KC,NYBOT,USD,37500,100,FALSE
 COPPER,HG,COMEX,NA,25000,1,FALSE
-COPPER_LME,CA,LMEOTC,USD,25,1,FALSE
+COPPER_LME,CA,LMEOTC,USD,25,1,TRUE
 COPPER-micro,MHG,COMEX,USD,2500,1,FALSE
 COPPER-mini,QC,COMEX,USD,12500,1,FALSE
 CORN,ZC,CBOT,NA,5000,100,FALSE
@@ -302,7 +302,7 @@ KR3,3KTB,KSE,NA,1000000,1,FALSE
 KRWJPY,KJ,SGX,JPY,25000000,1,FALSE
 KRWUSD,KRW,CME,USD,125000000,1,FALSE
 KRWUSD_mini,KU,SGX,USD,25000000,1000,FALSE
-LEAD_LME,PB,LMEOTC,USD,25,1,FALSE
+LEAD_LME,PB,LMEOTC,USD,25,1,TRUE
 LEANHOG,HE,CME,NA,40000,100,FALSE
 LIBOR1,EM,CME,USD,2500,1,FALSE
 LIVECOW,LE,CME,NA,40000,100,FALSE
@@ -354,7 +354,7 @@ NASBIO-mini,BQX,CME,USD,50,1,FALSE
 NASDAQ,NQ,CME,NA,20,1,FALSE
 NASDAQ_micro,MNQ,CME,USD,2,1,FALSE
 NASDAQ_mini,QCN,CME,USD,20,1,FALSE
-NICKEL_LME,NI,LMEOTC,USD,6,1,FALSE
+NICKEL_LME,NI,LMEOTC,USD,6,1,TRUE
 NIFTY,NIFTY,SGX,USD,2,1,FALSE
 NIFTY-IN,NIFTY50,NSE,INR,1,1,FALSE
 NIKKEI,N225M,OSE.JPN,JPY,100,1,FALSE
@@ -492,7 +492,7 @@ SWISSLEAD,SLI,EUREX,CHF,10,1,FALSE
 TECDAX,TDX,EUREX,EUR,10,1,FALSE
 TECH60_small,STXSME,SMFE,USD,100,1,FALSE
 THB,SGXTU,SGX,USD,1000000,1000,FALSE
-TIN_LME,SNLME,LMEOTC,USD,5,1,FALSE
+TIN_LME,SNLME,LMEOTC,USD,5,1,TRUE
 TOPIX,MNTPX,OSE.JPN,JPY,1000,1,FALSE
 TOPIX_Large,TOPX,OSE.JPN,JPY,10000,1,FALSE
 TOPIX30,TPXC30,OSE.JPN,JPY,1000,1,FALSE
@@ -582,4 +582,4 @@ WTI_small,SMO,SMFE,USD,100,1,FALSE
 YENEUR,RY,CME,JPY,125000,1,FALSE
 YENEUR-ICE,EJ,ICEUS,JPY,125000,1,FALSE
 ZAR,ZAR,CME,USD,500000,1,FALSE
-ZINC_LME,ZSLME,LMEOTC,USD,25,1,FALSE
+ZINC_LME,ZSLME,LMEOTC,USD,25,1,TRUE

sysbrokers/IB/ib_contracts.py

@@ -19,6 +19,21 @@
 EUREX_CODES_WITH_DAILYS = ["MSCIWORLD", "MSCIASIA"]
 EUREX_DAY_FLAG = "D"
 
+LME_CODES = [
+    "ALUMINIUM_LME",
+    "COPPER_LME",
+    "LEAD_LME",
+    "NICKEL_LME",
+    "TIN_LME",
+    "ZINC_LME",
+]
+
+# The day of the month that the third Wednesday must fall between
+# Same for any other day of the week, but I couldn't think of a
+# good generic variable name
+EARLIEST_THIRD_WEDNESDAY = 15
+LATEST_THIRD_WEDNESDAY = 21
+
 
 def resolve_multiple_expiries(
     ibcontract_list: list,
@@ -40,6 +55,8 @@ def resolve_multiple_expiries(
         resolved_contract = resolve_multiple_expiries_for_VIX(ibcontract_list)
     elif code in EUREX_CODES_WITH_DAILYS:
         resolved_contract = resolve_multiple_expiries_for_EUREX(ibcontract_list)
+    elif code in LME_CODES:
+        resolved_contract = resolve_multiple_expiries_for_LME(ibcontract_list)
     else:
         raise Exception(
             "You have specified weekly expiries, but I don't have logic for %s" % code
@@ -56,6 +73,14 @@ def resolve_multiple_expiries_for_EUREX(ibcontract_list: list) -> ibContract:
     return resolved_contract
 
 
+def resolve_multiple_expiries_for_LME(ibcontract_list: list) -> ibContract:
+    resolved_contract = resolve_multiple_expiries_for_generic_futures(
+        ibcontract_list=ibcontract_list, is_monthly_function=_is_lme_symbol_monthly
+    )
+
+    return resolved_contract
+
+
 def resolve_multiple_expiries_for_VIX(ibcontract_list: list) -> ibContract:
     # Get the symbols
     resolved_contract = resolve_multiple_expiries_for_generic_futures(
@@ -105,6 +130,15 @@ def _is_eurex_symbol_monthly(symbol: str):
     return is_monthly
 
 
+def _is_lme_symbol_monthly(symbol: str):
+    # 3rd Wednesday of the month is most liquid
+    try:
+        day = int(symbol[-2:])
+    except:
+        raise Exception("IB Local Symbol %s not recognised" % symbol)
+    return EARLIEST_THIRD_WEDNESDAY <= day <= LATEST_THIRD_WEDNESDAY
+
+
 def _is_eurex_symbol_daily(symbol: str):
     return symbol[-1] == EUREX_DAY_FLAG