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registry: add the micro equity contracts to the sum at scale 0.1 - #125

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claude/equity-micros
Oct 11, 2026
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mspinola merged 1 commit into
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claude/equity-micros

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Summary

  • ES, NQ, YM and RTY add their micro contracts to sum_codes at scale 0.1: 13874U (from 2020-07), 209747 (2020-08), 124608 (2022-07), 239747 (2021-11). RTY is the first symbol carrying both hist_codes and sum_codes.
  • Unconditional, not gated on a share or a date. Measured on the mini-vs-micro weeks: micros are 1% of notional open interest for ES and RTY and 6% for NQ in 2026; retail-heavy (non-reportable 40 to 44% of gross against 6 to 15% in the minis); they move the commercial net by 0.1 to 0.6 points of OI on average, at most 3 (NQ). The ES and RTY micros sit at about 32 reportable traders, just above the CFTC's 20-trader publication floor, so a gate would add a second on/off on top of the weeks the CFTC already drops.
  • Registry-only change plus the comment and CHANGELOG; no code change. Fractional contract counts appear on micro weeks (one micro = 0.1 mini), as the grain 0.2 scale already produces.

Verification

The CFTC Consolidated row (13874+, 20974+, 12460+) is mini + micro/10 since the big contracts delisted, but it stayed in big-contract units until 2023-04-25 and switched to mini units on 2023-05-02 (a unit break in the CFTC's own series; the registry comment now says so). Against the mini-unit stretch, after a real producer run into a scratch store:

weeks since 2023-05-02 OI within 5 contracts within 1%
ES 180 100% 100%
NQ 180 100% 100%
YM 180 99.4% 99.4%

RTY (no Consolidated row): 2002-08-13 to 2026-10-06, 1,254 weeks, no duplicate dates, the 2017 ICE-to-CME switch still on 2017-09-12, micro adds from 2021-11-30 (OI 469,382.8 that week).

Test plan

  • tests/test_registry.py::test_equity_sum_codes: the full sum_codes for ES, NQ, YM, RTY, EMD and codes_for (deduped; hist + sum for RTY)
  • Full suite passes; ruff check src tests scripts clean
  • End-to-end producer run for the four micro codes plus both RTY codes into a scratch store; checks above

Deployment

Same as #124: the producers fetch the four new per-code files on their next run after the Windows box pulls. Until then the four symbols read as #124 left them.

🤖 Generated with Claude Code

ES, NQ, YM and RTY add 13874U, 209747, 124608 and 239747 to sum_codes.
Same reason as the full-size contracts: one definition of the whole
market across the series, and the CFTC's own Consolidated row has been
mini + micro/10 since the big contracts delisted. Micros are 1% (ES,
RTY) to 6% (NQ) of notional open interest, retail-heavy (non-reportable
40 to 44% of gross against 6 to 15% in the minis), and move the
commercial net by 0.1 to 0.6 points of OI on average.

Unconditional: the ES and RTY micros sit at about 32 reportable traders,
just above the 20-trader publication floor, so a gate would add a second
on/off on top of the weeks the CFTC already drops.

Verified against the Consolidated row after its 2023-05-02 switch to
mini units: within 5 contracts on 100% of ES and NQ weeks, 99.4% of YM.
The registry comment now records that unit break.

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
@mspinola
mspinola merged commit 1fc64dd into main Oct 11, 2026
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@mspinola
mspinola deleted the claude/equity-micros branch October 11, 2026 13:01
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