Add hang seng future and index support (#8499)

QuantConnect · Jan 3, 2025 · af2043d · af2043d
1 parent 57ce695
commit af2043d
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Showing 7 changed files with 853 additions and 1 deletion.
diff --git a/Common/Securities/Future/Futures.cs b/Common/Securities/Future/Futures.cs
@@ -1543,6 +1543,12 @@ public static class Indices
             /// <returns>The symbol</returns>
             public const string BseSensex = "SENSEX";
 
+            /// <summary>
+            /// Hang Seng Index
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string HangSeng = "HSI";
+
             /// <summary>
             /// Micro E-mini S&amp;P 500 Index Futures
             /// </summary>

diff --git a/Common/Securities/Future/FuturesExpiryFunctions.cs b/Common/Securities/Future/FuturesExpiryFunctions.cs
@@ -909,6 +909,24 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
                 })
             },
 
+            // 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 =>
+                {
+                    // Short-dated Futures: Spot, next calendar month & next two calendar quarter months; and Long-dated Futures: the following 5 December months
+
+                    // 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 = FuturesExpiryUtilityFunctions.GetHolidays(Market.HKFE, Futures.Indices.HangSeng);
+                    while (holidays.Contains(priorBusinessDay) || !priorBusinessDay.IsCommonBusinessDay())
+                    {
+                        priorBusinessDay = priorBusinessDay.AddDays(-1);
+                    }
+                    return priorBusinessDay.Add(new TimeSpan(16, 0, 0));
+                })
+            },
+
             // MSCI Europe Net Total Return (USD) Futures: https://www.theice.com/products/71512951/MSCI-Europe-NTR-Index-Future-USD & https://www.theice.com/publicdocs/futures_us/exchange_notices/ICE_Futures_US_2022_TRADING_HOLIDAY_CALENDAR_20211118.pdf
             {Symbol.Create(Futures.Indices.MSCIEuropeNTR, SecurityType.Future, Market.NYSELIFFE), (time =>
                 {

diff --git a/Common/Securities/Index/IndexSymbol.cs b/Common/Securities/Index/IndexSymbol.cs
@@ -29,7 +29,8 @@ public static class IndexSymbol
             { "VIX", Market.CBOE },
             { "SPXW", Market.CBOE },
             { "NQX", "NASDAQ" },
-            { "VIXW", Market.CBOE }
+            { "VIXW", Market.CBOE },
+            { "HSI", Market.HKFE }
         };
 
         /// <summary>