By name: futures-research-pipeline description: Use when working on commodity futures research with minute-bar ingestion, exchange calendars and timezones, deterministic F1..F12 curves, roll logic, or walk-forward backtests.
Futures Research Pipeline
Overview
Use this for the shared futures stack across deterministic curve construction, daily factor research, and RL or stat-arb work on commodity futures panels.
When to Use
- Minute-bar ingestion, file scanning, or timezone inference
- CME calendar or trade-date boundary issues
- Expiry-ranked curve construction, spreads, or roll detection
- DTE or BTE analysis, event studies, or robustness checks
- Walk-forward backtests on futures data
Do not use this for simple external data pulls with no local futures pipeline work; use finance-data instead.
First Pass
- Identify the repo family from
references/repos.md. - Read only the subsection for that repo.
- Before editing logic, check the invariants in
references/workflows.md.
Core Rules
- Keep contract labels expiry-based, never liquidity-based, unless the repo explicitly says otherwise.
- Keep
US/Centralnormalization and the 17:00 CT trade-date boundary explicit. - Treat back-adjusted or Panama-style prices as signal inputs only when the repo already does so; preserve tradable return logic for PnL.
- Enforce no-lookahead in roll logic, feature generation, and walk-forward evaluation.
- Prefer targeted tests before full pipeline runs.
Common Mistakes
- Mixing liquidity migration with front-contract labeling
- Forward-filling away roll or missing-print information
- Using generated outputs as the source of truth instead of config, pipeline code, and tests