From ee9a8cf2a75921501ce8b8ae3bb7a9d32de36c6f Mon Sep 17 00:00:00 2001 From: Matt Spinola Date: Thu, 20 Aug 2026 21:50:06 -0400 Subject: [PATCH] Register EFA and EEM, the two ETFs a COT market is priced off MFS and MME are ICE MSCI futures that Norgate carries no continuous series for, so cotmetrics reads an ETF instead. Neither ETF was in this registry, so neither could be fetched, and both markets had no prices at all: `get_bars` was being handed the COT symbol, finding nothing, and returning an empty frame. Registered under their OWN tickers, as ordinary equity ETFs. The proxy relationship is cotmetrics' to know and is not encoded here, because which price stands in for which market is a consumer's modelling choice rather than a fact about the instrument. Seeded into the Mac store with `--bars --domain equities --symbols EEM EFA`, scoped so the frozen equities half is untouched: EFA 6280 bars from 2001-08-27, EEM 5875 from 2003-04-14. The month-end pin was verified before and after and still matches on all six symbols, whose files keep their July mtimes. NOT YET ON WINDOWS. That box now holds the equities half too, and its nightly mirror is robocopy /MIR, so a symbol present only on the Mac is deleted by the next sync. The same scoped command has to run there, and it must stay scoped: a bare --bars on Windows refreshes the six pinned symbols through yfinance and breaks the snapshot at the source. Co-Authored-By: Claude Opus 5 --- src/marketdata/registry.yaml | 15 +++++++++++++++ 1 file changed, 15 insertions(+) diff --git a/src/marketdata/registry.yaml b/src/marketdata/registry.yaml index d6a2ab3..1058124 100644 --- a/src/marketdata/registry.yaml +++ b/src/marketdata/registry.yaml @@ -33,6 +33,21 @@ Equity Index ETF: yahoo: "IWM" inception: "2000-05-22" +# The MSCI international indices are the one place a COT market is priced off an ETF +# rather than its own futures. MFS and MME have ICE futures that Norgate does not carry +# a continuous series for, so cotmetrics reads the proxy instead. Registered here as +# ordinary equity ETFs, under their OWN tickers: the proxy relationship is cotmetrics' +# to know, and encoding it here would put a consumer's modelling choice in the registry. +MSCI International ETF: + EFA: + yahoo: "EFA" + inception: "2001-08-14" + note: "iShares MSCI EAFE. Price proxy for the ICE MSCI EAFE future (COT symbol MFS)." + EEM: + yahoo: "EEM" + inception: "2003-04-07" + note: "iShares MSCI Emerging Markets. Price proxy for the ICE MSCI EM future (COT symbol MME)." + Treasury ETF: TLT: yahoo: "TLT"