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Canli Capital

Research

Dated-futures execution foundation

By , Canli Capital

Capability status: domain primitives only
Research effect: zero market data opened, zero returns evaluated, zero hypotheses spent
Claim boundary: architecture evidence, not sleeve-admission or performance evidence

AlphaForge can now represent a dated futures contract as a first-class FUTURE instrument and make deterministic lifecycle decisions without using information unavailable at the decision time. The current AlphaTrend implementation remains a managed-futures ETF proxy. Nothing in this foundation relabels its evidence as direct futures evidence.

Implemented contract

Each dated contract carries its canonical instrument identity, root, contract month, listing time, metadata availability time, first-notice time, last-trade time, multiplier and tick size. Contract metadata or liquidity stamped after a decision raises LookaheadError.

The roll policy is locked in exchange sessions rather than guessed calendar days:

  1. Compute the first-notice exit session and last-trade exit session from the supplied session index.
  2. Use the earlier deadline.
  3. At or after that deadline, roll only to the immediate next listed expiry when its metadata is known and it remains safely before its own deadline.
  4. If that immediate successor is missing or unsafe, flatten. Never skip the lineage gap by jumping farther down the curve.
  5. Before the mandatory deadline, a liquidity-led roll requires the next contract to exceed the locked volume ratio for every required confirmation observation. Missing data means hold.

The execution guard separately identifies locked limit-up, locked limit-down and generic missing liquidity from a point-in-time effective price band. Daily variation margin is an explicit signed cashflow: contracts × multiplier × (current settlement − prior settlement).

Fail-closed integration boundary

The shared instrument taxonomy accepts dated futures, but the generic calendar and transaction cost paths reject them. There is deliberately no fallback to NYSE sessions, 24/7 crypto time, or Binance spot commissions. Product-specific sources must land before an end-to-end futures run can be valid.

Still required:

  • exchange/product calendars and settlement schedules;
  • dated-contract settlements, executable quotes, volume and open interest with PIT lineage;
  • exchange, clearing, initial-margin and maintenance-margin schedules;
  • continuous-series construction with explicit roll-return attribution;
  • backtest ledger and broker integration;
  • historical limit-event and exchange-outage replay.

The machine-readable capability contract, source hashes, invariants and missing components are at /glassbox/futures_execution_contract.json.