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cme_globex_option_symbol

nautilus_model::identifiers::option_instrument_id

Function cme_globex_option_symbol 

Source 
pub fn cme_globex_option_symbol(
    future_code: &str,
    strike: Price,
    option_kind: OptionKind,
    expiry: Date,
    mid_curve: Option<u8>,
) -> Result<String, OptionInstrumentIdError>
Expand description

Computes a CME Globex option symbol from a nominal UTC expiry date.

Uses the expiry year with the underlying’s one- or two-digit year convention. Supports ES, NQ, RTY, MES, MNQ, SR3 SOFR contracts, and CL WTI weeklies. Other roots return typed errors. Physically settled Micro E-mini contracts are supported before June 29, 2026; subsequent physical and financial families are ambiguous. SOFR and WTI strike digits use hundredths; equity-index strike digits use whole index points. Holiday-adjusted expiries require validation against instrument definitions.

§Errors

Returns an error if:

  • The futures code, root, or midcurve tenor is unsupported.
  • The expiry is on a weekend, a nominal WTI monthly date, or an ambiguous micro date.
  • The strike is non-positive or cannot fit the supported integral symbol scale.