Task #62 Futures Scaffold revB
Research-only data/audit scaffold for the futures-core all-weather beta spec. No allocation A/B and no production changes.
- date range requested: 2015-01-01 -> 2026-06-10
- legs: 10
- price rows: 22,127
Availability / Metadata
| order_book_id | revb_status | sleeve | role | exchange | product | margin_rate | contract_multiplier | rows | first_date | last_date | ann_vol | max_abs_daily_return | avg_daily_turnover_60d |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| IF888 | core | R1_equity | broad_equity_core | CFFEX | Index | 0.1200 | 300 | 2777 | 2015-01-05 | 2026-06-10 | 0.2415 | 0.1023 | 70631202726.7135 |
| IC888 | core | R1_equity | broad_equity_core | CFFEX | Index | 0.1200 | 200 | 2710 | 2015-04-16 | 2026-06-10 | 0.2889 | 0.1242 | 112519961149.9533 |
| IM888 | probe | R1_equity | broad_equity_probe | CFFEX | Index | 0.1200 | 200 | 940 | 2022-07-22 | 2026-06-10 | 0.2584 | 0.1295 | 171055409320.3078 |
| T888 | core | R4_rate | duration_core | CFFEX | Government | 0.0200 | 10000 | 2728 | 2015-03-20 | 2026-06-10 | 0.0357 | 0.0178 | 101930906272.7456 |
| TL888 | core | R4_rate | duration_core_short_history | CFFEX | Government | 0.0350 | 10000 | 758 | 2023-04-21 | 2026-06-10 | 0.0648 | 0.0228 | 101489471144.1647 |
| TF888 | probe | R4_rate | duration_curve_probe | CFFEX | Government | 0.0120 | 10000 | 2777 | 2015-01-05 | 2026-06-10 | 0.0245 | 0.0116 | 81753338923.7287 |
| TS888 | probe | R4_rate | duration_curve_probe | CFFEX | Government | 0.0050 | 20000 | 1892 | 2018-08-17 | 2026-06-10 | 0.0090 | 0.0051 | 85808629819.4373 |
| AU888 | core | R3_commodity | gold_core | SHFE | Commodity | 0.1600 | 1000 | 2777 | 2015-01-05 | 2026-06-10 | 0.1552 | 0.1316 | 226785381745.1425 |
| SC888 | core | R3_commodity | oil_core | INE | Commodity | 0.1900 | 1000 | 1991 | 2018-03-26 | 2026-06-10 | 0.3787 | 0.1610 | 48860699017.5772 |
| CU888 | probe | R3_commodity | growth_inflation_probe | SHFE | Commodity | 0.0900 | 5 | 2777 | 2015-01-05 | 2026-06-10 | 0.1793 | 0.0662 | 56423589186.6272 |
Accounting Scaffold
The ledger template intentionally separates research continuous IDs from trade contract IDs:
| column |
|---|
| date |
| book |
| sleeve |
| order_book_id |
| contract_mode |
| research_continuous_id |
| trade_contract_id |
| price |
| daily_return |
| target_notional_pct_nav |
| actual_notional_pct_nav |
| contract_multiplier |
| margin_rate |
| margin_used_pct_nav |
| liquidity_buffer_pct_nav |
| collateral_cash_pct_nav |
| collateral_return |
| futures_pnl_pct_nav |
| roll_flag |
| roll_cost_pct_nav |
| effective_leverage |
Notes
- Return series use RQData futures.get_dominant_price(..., adjust_method='prev_close_ratio') to avoid percentage-return distortion from spread-adjusted continuous prices.
- 888 continuous IDs are retained as research/audit labels; they are not direct trade contract IDs.
- Tradable backtests must add a second layer with real main-contract selection, roll date, and roll cost.
- Probe legs (IM/TF/TS/CU) are data inputs only; they must not enter strategy A/B until the spec universe is locked.
- Commodity futures replace ETF/LOF exposure at funded 1.0x; they do not imply extra commodity leverage.