Add future contracts for NK, IN, TW and HSI

Common/Market.cs

@@ -58,6 +58,8 @@ public static class Market
 
             Tuple.Create(COMEX, 22),
             Tuple.Create(CME, 23),
+            Tuple.Create(SGX, 24),
+            Tuple.Create(HKFE, 25),
         };
 
         static Market()
@@ -136,7 +138,17 @@ static Market()
         /// CME
         /// </summary>
         public const string CME = "cme";
-
+
+        /// <summary>
+        /// Singapore Exchange
+        /// </summary>
+        public const string SGX = "sgx";
+
+        /// <summary>
+        /// Hong Kong Exchange
+        /// </summary>
+        public const string HKFE = "hkfe";
+
         /// <summary>
         /// GDAX
         /// </summary>

Common/Securities/Future/Futures.cs

@@ -790,6 +790,29 @@ public static class Indices
             /// </summary>
             /// <returns>The symbol</returns>
             public const string USDDenominatedIbovespa = "IBV";
+
+            /// <summary>
+            /// USD-Denominated MSCI Taiwan Index Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string MSCITaiwanIndex = "TW";
+
+            /// <summary>
+            /// Nikkei-225 Yen denominated Index Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string Nikkei225Yen = "NK";
+
+            /// <summary>
+            /// Nifty 50  Index Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string Nifty50 = "IN";
+
+            /// <summary>
+            /// Hang Seng Index
+            /// </summary>
+            public const string HangSeng = "HSI";
         }
 
         /// <summary>

Common/Securities/Future/FuturesExpiryFunctions.cs

@@ -458,6 +458,89 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
                     return closestWednesday.Add(new TimeSpan(20, 0, 0));
                 })
             },
+
+            // JPY-Denominated Nikkie 225 Index Futures: https://www2.sgx.com/derivatives/products/nikkei225futuresoptions?cc=NK#Contract%20Specifications
+            {Symbol.Create(Futures.Indices.Nikkei225Yen, SecurityType.Future, Market.SGX), (time =>
+                {
+                    // The day before the second Friday of the contract month. Trading Hours on Last Day is normal Trading Hours (session T)
+                    // T Session
+                    // 7.15 am - 2.30 pm
+                    var secondFriday = FuturesExpiryUtilityFunctions.SecondFriday(time);
+                    var priorBusinessDay = secondFriday.AddDays(-1);
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.SGX, Futures.Indices.Nikkei225Yen, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    while (holidays.Contains(priorBusinessDay) || !priorBusinessDay.IsCommonBusinessDay())
+                    {
+                        priorBusinessDay = priorBusinessDay.AddDays(-1);
+                    }
+                    return priorBusinessDay.Add(new TimeSpan(14, 30, 0));
+                })
+            },
+
+            // MSCI Taiwan Index Futures: https://www2.sgx.com/derivatives/products/timsci?cc=TW
+            {Symbol.Create(Futures.Indices.MSCITaiwanIndex, SecurityType.Future, Market.SGX), (time =>
+                {
+                    // Second last business day of the contract month. Same as T Session trading hours
+                    var lastDay = new DateTime(time.Year, time.Month, DateTime.DaysInMonth(time.Year, time.Month));
+                    var priorBusinessDay = lastDay.AddDays(-1);
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.SGX, Futures.Indices.MSCITaiwanIndex, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    while (holidays.Contains(priorBusinessDay) || !priorBusinessDay.IsCommonBusinessDay())
+                    {
+                        priorBusinessDay = priorBusinessDay.AddDays(-1);
+                    }
+                    return priorBusinessDay.Add(new TimeSpan(13, 45, 0));
+                })
+            },
+
+            // Nifty 50 Index Futures: https://www.sgx.com/derivatives/products/nifty#Contract%20Specifications
+            {Symbol.Create(Futures.Indices.Nifty50, SecurityType.Future, Market.SGX), (time =>
+                {
+                    // Last Thursday of the expiring contract month. If this falls on an NSE non-business day, the last trading day shall be the preceding business day.
+                    // The expiring contract shall close on its last trading day at 6.15 pm.
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.NSE, Futures.Indices.Nifty50, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    var expiryday = FuturesExpiryUtilityFunctions.LastThursday(time);
+
+                    while (holidays.Contains(expiryday) || !expiryday.IsCommonBusinessDay())
+                    {
+                        expiryday = expiryday.AddDays(-1);
+                    }
+                    return expiryday.Add(new TimeSpan(18, 15, 0));
+                })
+            },
+
+            // HSI Index Futures:https://www.hkex.com.hk/Products/Listed-Derivatives/Equity-Index/Hang-Seng-Index-(HSI)/Hang-Seng-Index-Futures?sc_lang=en#&product=HSI
+            {Symbol.Create(Futures.Indices.HangSeng, SecurityType.Future, Market.HKFE), (time =>
+                {
+                    // The Business Day immediately preceding the last Business Day of the Contract Month
+                    var lastDay = new DateTime(time.Year, time.Month, DateTime.DaysInMonth(time.Year, time.Month));
+                    var priorBusinessDay = lastDay.AddDays(-1);
+
+                    var holidays = MarketHoursDatabase.FromDataFolder()
+                        .GetEntry(Market.HKFE, Futures.Indices.HangSeng, SecurityType.Future)
+                        .ExchangeHours
+                        .Holidays;
+
+                    while (holidays.Contains(priorBusinessDay) || !priorBusinessDay.IsCommonBusinessDay())
+                    {
+                        priorBusinessDay = priorBusinessDay.AddDays(-1);
+                    }
+                    return priorBusinessDay.Add(new TimeSpan(16, 0, 0));
+                })
+            },
             // Forestry Group
             // Random Length Lumber (LBS): https://www.cmegroup.com/trading/agricultural/lumber-and-pulp/random-length-lumber_contract_specifications.html
             {Symbol.Create(Futures.Forestry.RandomLengthLumber, SecurityType.Future, Market.CME), (time =>

Common/Securities/Future/FuturesExpiryUtilityFunctions.cs

@@ -200,7 +200,23 @@ public static DateTime NthBusinessDay(DateTime time, int nthBusinessDay, IEnumer
         /// <param name="time">Date from the given month</param>
         /// <param name="n">The order of the Friday in the period</param>
         /// <returns>Nth Friday of given month</returns>
-        public static DateTime NthFriday(DateTime time, int n)
+        public static DateTime NthFriday(DateTime time, int n) => NthWeekday(time, n, DayOfWeek.Friday);
+
+        /// <summary>
+        /// Method to retrieve third Wednesday of the given month (usually Monday).
+        /// </summary>
+        /// <param name="time">Date from the given month</param>
+        /// <returns>Third Wednesday of the given month</returns>
+        public static DateTime ThirdWednesday(DateTime time) => NthWeekday(time, 3, DayOfWeek.Wednesday);
+
+        /// <summary>
+        /// Method to retrieve the Nth Weekday of the given month
+        /// </summary>
+        /// <param name="time">Date from the given month</param>
+        /// <param name="n">The order of the Weekday in the period</param>
+        /// <param name="dayofWeek">The day of the week</param>
+        /// <returns>Nth Weekday of given month</returns>
+        public static DateTime NthWeekday(DateTime time, int n, DayOfWeek dayofWeek)
         {
             if (n < 1 || n > 5)
             {
@@ -209,23 +225,34 @@ public static DateTime NthFriday(DateTime time, int n)
 
             var daysInMonth = DateTime.DaysInMonth(time.Year, time.Month);
             return (from day in Enumerable.Range(1, daysInMonth)
-                    where new DateTime(time.Year, time.Month, day).DayOfWeek == DayOfWeek.Friday
+                    where new DateTime(time.Year, time.Month, day).DayOfWeek == dayofWeek
                     select new DateTime(time.Year, time.Month, day)).ElementAt(n - 1);
         }
 
+
         /// <summary>
-        /// Method to retrieve third Wednesday of the given month (usually Monday).
+        /// Method to retrieve the last weekday of any month
         /// </summary>
         /// <param name="time">Date from the given month</param>
-        /// <returns>Third Wednesday of the given month</returns>
-        public static DateTime ThirdWednesday(DateTime time)
+        /// <param name="dayofWeek">the last weekday to be found</param>
+        /// <returns>Last day of the we</returns>
+        public static DateTime LastWeekday(DateTime time, DayOfWeek dayofWeek)
         {
+
             var daysInMonth = DateTime.DaysInMonth(time.Year, time.Month);
-            return (from day in Enumerable.Range(1, daysInMonth)
-                                  where new DateTime(time.Year, time.Month, day).DayOfWeek == DayOfWeek.Wednesday
-                                  select new DateTime(time.Year, time.Month, day)).ElementAt(2);
+            return (from day in Enumerable.Range(1, daysInMonth).Reverse()
+                    where new DateTime(time.Year, time.Month, day).DayOfWeek == dayofWeek
+                    select new DateTime(time.Year, time.Month, day)).First();
         }
 
+        /// <summary>
+        /// Method to retrieve the last weekday of any month
+        /// </summary>
+        /// <param name="time">Date from the given month</param>
+        /// <param name="dayofWeek">the last weekday to be found</param>
+        /// <returns>Last day of the we</returns>
+        public static DateTime LastThursday(DateTime time) => LastWeekday(time, DayOfWeek.Thursday);
+
         /// <summary>
         /// Method to check whether a given time is holiday or not
         /// </summary>

Data/hkfe/margins/HSI.csv

@@ -0,0 +1,58 @@
+date,initial,maintenance
+20160601,7993,6397
+20160704,8416,6734
+20160801,8861,7088
+20160901,9198,7354
+20161003,9541,7633
+20161101,9542,7633
+20161201,9154,7323
+20170103,8799,7039
+20170201,9234,7391
+20170301,9628,7703
+20170320,10088,8070
+20170403,10439,8351
+20170502,10272,8218
+20170601,10847,8678
+20170703,10918,8734
+20170801,11440,9152
+20170901,11702,9362
+20171003,11833,9467
+20171101,12010,9608
+20171201,12691,10153
+20180102,12475,9980
+20180201,14099,11279
+20180208,16355,13084
+20180215,17513,14010
+20180301,18658,14926
+20180305,18644,14915
+20180403,18420,14736
+20180502,17943,14355
+20180601,18216,14573
+20180703,17412,13930
+20180801,16995,13596
+20180903,14029,11223
+20181002,13987,11190
+20181101,12837,10270
+20181203,13215,10572
+20190102,13012,10409
+20190201,13780,11024
+20190301,14573,11658
+20190401,14791,11833
+20190502,15233,12186
+20190603,13909,11127
+20190702,14537,11630
+20190801,14557,11646
+20190902,13287,10629
+20191002,13298,10638
+20191101,13508,10807
+20191202,13480,10784
+20200102,14246,11397
+20200203,14344,11475
+20200302,14070,11256
+20200313,16137,12910
+20200320,16982,13586
+20200323,17929,14343
+20200327,19936,15949
+20200401,19935,15948
+20200504,16948,13558
+20200601,16952,13562