Help updating ERIS instruments

[oldlore]

So I noticed that Rob had changed the roll config info for USIRS2ERIS and USIRS5ERIS to use priced contracts 2-5 years away instead of the front contract. I tried updating the roll info using the safely update roll parameters function in interactive_control and it is giving me incorrect roll calendars. I figured it had to do with missing contracts past 20230600, which seems to be the latest ones I have from IB. I tried running update_sampled_contracts() but it just gives me contracts up to 20230600, nothing later than that. I've read the docs a few times and am not sure why it isn't getting contracts for later years.

from update_sampled contracts:

Instrument code?(Return to EXIT)USIRS2ERIS
2022-12-22 22:58:32 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS2ERIS', 'contract_date': '20221200'}  No change to contract expiry USIRS2ERIS/20221200 to 2024-12-20 00:00:00
2022-12-22 22:58:32 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS2ERIS', 'contract_date': '20230300'}  No change to contract expiry USIRS2ERIS/20230300 to 2025-03-14 00:00:00
2022-12-22 22:58:32 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS2ERIS', 'contract_date': '20230600'}  No change to contract expiry USIRS2ERIS/20230600 to 2025-06-20 00:00:00
Instrument code?(Return to EXIT)USIRS5ERIS
2022-12-22 22:59:33 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS5ERIS', 'contract_date': '20221200'}  No change to contract expiry USIRS5ERIS/20221200 to 2027-12-20 00:00:00
2022-12-22 22:59:33 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS5ERIS', 'contract_date': '20230300'}  No change to contract expiry USIRS5ERIS/20230300 to 2028-03-14 00:00:00
2022-12-22 22:59:33 {'type': 'Update-Sampled_Contracts', 'broker': 'IB', 'clientid': 312, 'instrument_code': 'USIRS5ERIS', 'contract_date': '20230600'}  No change to contract expiry USIRS5ERIS/20230600 to 2028-06-20 00:00:00
Instrument code?(Return to EXIT)

Addendum: Is this happening because the contract date and expiry dates are different? So the 20221200 contract is expiring in 20241200.
Whereas for most other contracts I've seen they're the same. Is there a reason for this? Also, shouldn't there still be 4 contracts per year available for download?

[robcarver17]

OK, so these are weird contracts (5 year and 2 year ERIS).

A normal 2 year swap contract is like a bond future; on the expiry of say March 2023 it delivers into a 2 year swap (or cash settles against what a swap would be worth on expiry). But a March 2023 5 year ERIS swap is basically a swap that starts in March 2023 and will run for two years. Your mark to market cashflows if you still hold after March 2023 will be equal to the mark to market on the underlying swap. For this reason, to be a decent hedge against two year duration risk you'd actually want to roll this just over 2 years before the expiry date, rather than say a week or so. And indeed, that is when most people roll them so if you want to stay liquid you also need to roll well in advance of the expiry date.

I didn't actually realise this initially which is embarrassing because I used to trade swaps... What was happening was the contracts were sitting right at the end of my roll report and so I wasn't rolling them when everyone else would, even though the volume was moving away from them.

So what I did was change the suggested roll time to be 2 and a bit years, and 5 and a bit years, just so they would remind me to roll at the appropriate time.

In terms of getting prices and rolling on an actively held instrument that shouldn't change anything, but thinking aloud it will make it difficult to setup the instruments from scratch. So what I think you need to do is reset the roll offset parameter to say 7 days, set up the instrument, and then once it's sampling reset the offset to 2 years + 7 days.