Merge pull request #1438 from tgibson11/gas_us_weekly_contracts

Ignore GAS_US weekly contracts

sysbrokers/IB/config/ib_config_futures.csv

@@ -205,7 +205,7 @@ FTSETAIWAN,TWN,SGX,USD,40,1,FALSE
 FTSEVIET,FIVNM30,SGX,USD,5,1,FALSE
 GAS_NL,TFM,ENDEX,EUR,1,1,FALSE
 GAS_UK,NGF,IPE,GBP,31000,1,FALSE
-GAS_US,NG,NYMEX,NA,10000,1,FALSE
+GAS_US,NG,NYMEX,NA,10000,1,TRUE
 GAS_US_mini,QG,NYMEX,USD,2500,1,FALSE
 GAS-LAST,HH,NYMEX,USD,10000,1,FALSE
 GAS-PEN,HP,NYMEX,USD,10000,1,FALSE

sysbrokers/IB/ib_contracts.py

@@ -34,6 +34,8 @@
 EARLIEST_THIRD_WEDNESDAY = 15
 LATEST_THIRD_WEDNESDAY = 21
 
+GAS_US_CODE = "GAS_US"
+
 
 def resolve_multiple_expiries(
     ibcontract_list: list,
@@ -57,6 +59,8 @@ def resolve_multiple_expiries(
         resolved_contract = resolve_multiple_expiries_for_EUREX(ibcontract_list)
     elif code in LME_CODES:
         resolved_contract = resolve_multiple_expiries_for_LME(ibcontract_list)
+    elif code == GAS_US_CODE:
+        resolved_contract = resolve_multiple_expiries_for_GAS_US(ibcontract_list)
     else:
         raise Exception(
             "You have specified weekly expiries, but I don't have logic for %s" % code
@@ -81,6 +85,14 @@ def resolve_multiple_expiries_for_LME(ibcontract_list: list) -> ibContract:
     return resolved_contract
 
 
+def resolve_multiple_expiries_for_GAS_US(ibcontract_list: list) -> ibContract:
+    resolved_contract = resolve_multiple_expiries_for_generic_futures(
+        ibcontract_list=ibcontract_list, is_monthly_function=_is_gas_us_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(
@@ -139,6 +151,17 @@ def _is_lme_symbol_monthly(symbol: str):
     return EARLIEST_THIRD_WEDNESDAY <= day <= LATEST_THIRD_WEDNESDAY
 
 
+def _is_gas_us_symbol_monthly(symbol: str):
+    if re.match("HHW[A-Z][0-9][0-9][0-9]", symbol):
+        # weekly
+        return False
+    elif re.match("NG[A-Z][0-9]", symbol):
+        # monthly
+        return True
+    else:
+        raise Exception("IB Local Symbol %s not recognised" % symbol)
+
+
 def _is_eurex_symbol_daily(symbol: str):
     return symbol[-1] == EUREX_DAY_FLAG