Add KOSPI 200 Index (KM) Futures

Common/Market.cs

@@ -71,7 +71,8 @@ public static class Market
             Tuple.Create(InteractiveBrokers, 39),
             Tuple.Create(EUREX, 40),
             Tuple.Create(OSE, 41),
-            Tuple.Create(DYDX, 42)
+            Tuple.Create(DYDX, 42),
+            Tuple.Create(KRX, 43)
         };
 
         static Market()
@@ -267,6 +268,11 @@ static Market()
         /// </summary>
         public const string DYDX = "dydx";
 
+        /// <summary>
+        /// Korea Exchange
+        /// </summary>
+        public const string KRX = "krx";
+
         /// <summary>
         /// Adds the specified market to the map of available markets with the specified identifier.
         /// </summary>

Common/Securities/Future/Futures.cs

@@ -1555,6 +1555,12 @@ public static class Indices
             /// <returns>The symbol</returns>
             public const string HangSeng = "HSI";
 
+            /// <summary>
+            /// KOSPI 200 Index Futures
+            /// </summary>
+            /// <returns>The symbol</returns>
+            public const string Kospi200 = "KM";
+
             /// <summary>
             /// Micro E-mini S&amp;P 500 Index Futures
             /// </summary>

Common/Securities/Future/FuturesExpiryFunctions.cs

@@ -793,6 +793,25 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
                 })
             },
 
+            // KOSPI 200 Index Futures (KM): http://global.krx.co.kr/contents/GLB/05/0503/0503010102/GLB0503010102.jsp
+            {Symbol.Create(Futures.Indices.Kospi200, SecurityType.Future, Market.KRX), (time =>
+                {
+                    // Contract months: the four nearest months of the quarterly cycle (March, June, September, December)
+                    // Last trading day: the second Thursday of the contract month. Trading terminates at 15:20 KST on that day.
+                    // If the second Thursday is a holiday, the last trading day is the preceding business day.
+                    var market = Market.KRX;
+                    var symbol = Futures.Indices.Kospi200;
+                    var holidays = FuturesExpiryUtilityFunctions.GetExpirationHolidays(market, symbol);
+
+                    var lastTradingDay = FuturesExpiryUtilityFunctions.NthWeekday(time, 2, DayOfWeek.Thursday);
+                    while (holidays.Contains(lastTradingDay) || !lastTradingDay.IsCommonBusinessDay())
+                    {
+                        lastTradingDay = lastTradingDay.AddDays(-1);
+                    }
+                    return lastTradingDay.Add(new TimeSpan(15, 20, 0));
+                })
+            },
+
             // MSCI Europe Net Total Return (USD) Futures: https://www.theice.com/products/71512951/MSCI-Europe-NTR-Index-Future-USD & https://www.theice.com/publicdocs/futures_us/exchange_notices/ICE_Futures_US_2022_TRADING_HOLIDAY_CALENDAR_20211118.pdf
             {Symbol.Create(Futures.Indices.MSCIEuropeNTR, SecurityType.Future, Market.NYSELIFFE), (time =>
                 {

Data/future/krx/margins/KM.csv

@@ -0,0 +1,3 @@
+# we don't have historical information for this symbol
+date,initial,maintenance
+19900101,7087500,4725000