# The Futures module tries to guess the front month future using a crude algorithm that 
# does not take into account expiry/rollover day. This will be valid most of the time, 
# but near/after expiry day the next quarter's contract takes over as the volume leader.

module IB
  module Symbols
    module Futures
      extend Symbols
      
      # Find the next front month of quarterly futures.
      # N.B. This will not work as expected during the front month before expiration, as
      # it will point to the next quarter even though the current month is still valid!
      def self.next_quarter_month time=Time.now
        [3, 6, 9, 12].find { |month| month > time.month } || 3 # for December, next March
      end

      def self.next_quarter_year time=Time.now
        next_quarter_month(time) < time.month ? time.year + 1 : time.year
      end

      # WARNING: This is currently broken. It returns the next
      # quarterly expiration month after the current month. Many futures
      # instruments have monthly contracts for the near months. This
      # method will not work for such contracts; it will return the next
      # quarter after the current month, even though the present month
      # has the majority of the trading volume.
      #
      # For example, in early November of 2011, many contracts have the
      # vast majority of their volume in the Nov 2011 contract, but this
      # method will return the Dec 2011 contract instead.
      #
      def self.next_expiry time=Time.now
        "#{ next_quarter_year(time) }#{ sprintf("%02d", next_quarter_month(time)) }"
      end

      # Convenience method; generates an IB::Contract instance for a futures
      # contract with the given parameters.
      #
      # If expiry is nil, it will use the end month of the current
      # quarter. This will be wrong for most contracts most of the time,
      # since most contracts have the majority of their volume in a
      # nearby intraquarter month.
      #
      # It is recommended that you specify an expiration date manually
      # until next_expiry is fixed. Expiry should be a string in the
      # format "YYYYMM", where YYYY is the 4 digit year and MM is the 2
      # digit month. For example, November 2011 is "201111".
      #
      def self.future(base_symbol, exchange, currency, description="", expiry=nil)
        IB::Contract.new :symbol => base_symbol,
          :expiry => expiry || next_expiry,
          :exchange => exchange,
          :currency => currency,
          :sec_type => SECURITY_TYPES[:future],
          :description => description
      end

      def self.contracts
        @contracts ||= {
          :ym => IB::Contract.new(:symbol => "YM",
                                  :expiry => next_expiry,
                                  :exchange => "ECBOT",
                                  :currency => "USD",
                                  :sec_type => :future,
                                  :description => "Mini Dow Jones Industrial"),

          :es => IB::Contract.new(:symbol => "ES",
                                  :expiry => next_expiry,
                                  :exchange => "GLOBEX",
                                  :currency => "USD",
                                  :sec_type => :future,
                                  :multiplier => 50,
                                  :description => "E-Mini S&P 500"),

          :gbp => IB::Contract.new(:symbol => "GBP",
                                   :expiry => next_expiry,
                                   :exchange => "GLOBEX",
                                   :currency => "USD",
                                   :sec_type => :future,
                                   :multiplier => 62500,
                                   :description => "British Pounds"),

          :eur => IB::Contract.new(:symbol => "EUR",
                                   :expiry => next_expiry,
                                   :exchange => "GLOBEX",
                                   :currency => "USD",
                                   :sec_type => :future,
                                   :multiplier => 12500,
                                   :description => "Euro FX"),

          :jpy => IB::Contract.new(:symbol => "JPY",
                                   :expiry => next_expiry,
                                   :exchange => "GLOBEX",
                                   :currency => "USD",
                                   :sec_type => :future,
                                   :multiplier => 12500000,
                                   :description => "Japanese Yen"),

          :hsi => IB::Contract.new(:symbol => "HSI",
                                   :expiry => next_expiry,
                                   :exchange => "HKFE",
                                   :currency => "HKD",
                                   :sec_type => :future,
                                   :multiplier => 50,
                                   :description => "Hang Seng Index")
        }
      end
    end
  end
end