Add CME E-nano Nasdaq-100 (NNQ) and E-nano Dow (NDOW) futures

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Evaluación

Dificultad
4/5
Tiempo estimado
3-5 días
Aptitud para principiantes
38/100
Tipo de issue
Nueva funcionalidad
Claridad
Bastante claro
Estado de actividad
Activo
Stack tecnológico
csharp
Área
backend, database

Línea de trabajo

Read Common/Securities/Future/Futures.cs, Common/Securities/Future/FuturesExpiryFunctions.cs, Data/symbol-properties/symbol-properties-database.csv, and Data/market-hours/market-hours-database.json, comparing the NNQ and NDOW entries with MNQ and MYM. First confirm the listing cycle, last trading day, and NDOW exchange against the CME contract specifications; then determine the required expiry and market-hours data. Done means both futures resolve through AddFuture() with matching symbol properties, market hours, and expiry behavior.

Escrito por el modelo de indexación a partir del texto del issue.

Descripción

awaiting approval feature

Feature request

Add symbol-master support for CME Group's E-nano equity index futures, launched 2026-08-24:

  1. E-nano Nasdaq-100 futures, Globex code NNQ, CME. $0.20 per index point, tick 0.5 points ($0.10).
  2. E-nano Dow futures, Globex code NDOW. $0.05 per index point, tick 2 points ($0.10).

Product page: https://www.cmegroup.com/markets/equities/e-nano-equity-index.html · FAQ: https://www.cmegroup.com/articles/faqs/faq-e-nano-equity-index-futures.html · NNQ specs: https://www.cmegroup.com/markets/equities/nasdaq/e-nano-nasdaq-100.contractSpecs.html

Current state

Neither ticker is registered in LEAN (master 25ffde55f), so AddFuture() cannot resolve them, and no brokerage integration can trade them:

  • Common/Securities/Future/Futures.cs: the Indices family has NASDAQ100EMini = "NQ" (line 1389), Dow30EMini = "YM" (line 1395), MicroNASDAQ100EMini = "MNQ" (line 1586) and MicroDow30EMini = "MYM" (line 1598); no NNQ or NDOW.
  • Common/Securities/Future/FuturesExpiryFunctions.cs: no entries (nearest relatives: MNQ at line 3326, MYM at line 3354).
  • Data/symbol-properties/symbol-properties-database.csv: no cme,NNQ,... or cbot,NDOW,... rows (cf. cme,MNQ,future,Micro E-mini Nasdaq-100 Index Futures,USD,2,0.25,1,,1 at line 301 and cbot,MYM,future,Micro E-mini Dow Jones Industrial Average Index Futures,USD,0.5,1,1 at line 230).
  • Data/market-hours/market-hours-database.json: no Future-cme-NNQ / Future-cbot-NDOW entries (cf. Future-cme-MNQ, Future-cbot-MYM).
Proposed change
  • Ticker constants, e.g. Futures.Indices.NanoNASDAQ100 = "NNQ" and Futures.Indices.NanoDow30 = "NDOW" (naming up to maintainers).
  • Symbol-properties rows: NNQ multiplier 0.2, minimum price variation 0.5; NDOW multiplier 0.05, minimum price variation 2.
  • Market-hours entries and expiry functions, mirroring MNQ / MYM once the listing cycle is confirmed.
Open questions
  • Listing cycle and last trading day: not confirmed in this session (CME's spec pages did not load); check whether they follow the quarterly third-Friday schedule of MNQ / MYM.
  • Exchange for NDOW: CBOT like YM / MYM is assumed; confirm against the contract specs.
  • Historical data: neither root is in the AlgoSeek US Futures dataset, so this covers engine support only.

Requested on Intercom conversation 215476439412067.

Contributors: please wait for a repository maintainer to approve this issue before starting work.

Lenguaje dominante
C#
Estrellas
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Forks
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Merge medio
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PR fusionados (30 d)
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