Complete the CME holiday calendars through 2029

[AlexCatarino]

Fill in the CME, CBOT, NYMEX and COMEX holiday calendars for 2027, 2028 and 2029, and correct how Good Friday is recorded on Employment Situation release days.

Description

The CME-family calendars were complete only through 2026. Everything past that was 1/1/2027, the observed Juneteenth 6/18/2027, and nothing else, so every session and every expiry computed beyond 2026 counted the rest of the calendar as ordinary business days. Futures reach a lot further than that: Henry Hub Natural Gas is listed monthly for the next twelve years.

All fifteen holidays are now filled in for 2027-2029 across the 183 per-ticker entries, plus Columbus Day and Veterans Day on the four market-wide entries. 12,384 dates in total. Each entry keeps its own schedule rather than being flattened onto the market entry: a shortened session closes at the time that entry already uses, grains reopen at 19:00 where equity index reopens at 18:00, and livestock stays shut for the whole date because it has no evening session to reopen into.

Two details drive the differences between years.

• A Friday holiday closes the entire date, because there is no evening session after it; Monday through Thursday it is a bank holiday with a late open instead. Christmas 2027 is observed on Friday 24 December and is a full close, while Christmas 2028 falls on a Monday and is not. Corn shows the rule directly: Juneteenth is bankHolidays + a 19:00 late open in 2023, 2024 and 2025, and a plain holiday in 2026 when it lands on a Friday.
• New Year's Day 2028 falls on a Saturday. CME trades Friday 31 December 2027 to its regular close, so that date is a bank holiday with no early close, matching 31 December 2021. There is no Christmas Eve early close in 2028 either, since 24 December is a Sunday.

Good Friday

Good Friday is not unconditionally a full close. When it carries the Employment Situation release CME runs an abbreviated session for the financial products and closes everything else, which is why Future-cme-[*] deliberately omits 4/2/2010, 4/6/2012, 4/3/2015, 4/2/2021, 4/7/2023 and 4/3/2026.

Future-cbot-[*] still listed the first four as full holidays. Since every per-ticker entry is unioned with its market entry, that overrode the early close those same products record for themselves: ZB, ZN, ZF, ZT, UB, TN, 10Y, 2YY, 30Y and 5YY each carry 10:15 on all six of those dates and YM and MYM carry 09:15, yet all twelve were reported shut for the whole day on four of them. The dates now sit on the eleven CBOT products that really are closed, so nothing changes for the grains, oilseeds and ethanol. Same holiday-versus-early-close mix-up #9205 fixed for the Dairy, Livestock and Lumber calendars.

The same comparison exposed further gaps, all fixed here:

• CME agricultural, livestock and dairy - CB, CSC, DC, DY, GDK, GNF, GF, HE and LE - had no record at all for 2010 or 2012 and were reported open, though every later Good Friday closes them. LBR was likewise open on 4/7/2023.
• F1U had no calendar of its own. It is the 5-Year USD MAC Swap, so it takes the 10:15 close its ten CBOT rate siblings use.
• M6C, M6J and M6S were missing 4/3/2026 that 6C, 6J and 6S record; MJY was missing 4/3/2015; RX was missing 4/3/2026.
• GD, MIB and MRB recorded 4/2/2021 as 8:15:00, the only three values in the file without the leading zero.

Every Good Friday is now consistent across all six Employment Situation years, and the non-release ones are a full close for all 187 tickers. None of 2027-2029 carries a release, so all three are full closes; the next that do are 7 April 2034 and 3 April 2037, which will need the 2026 treatment.

Notes

• The 2027 dates match CME's published holiday notes exactly, including the observed dates for Juneteenth (18 June), Independence Day (5 July) and Christmas (24 December). CME publishes only as far as New Year's Day 2028, so 2028 and 2029 are projected: for each entry and holiday the shape comes from the most recent year that fell on the same kind of weekday, and the early-close time from the most recent year outright, since CME keeps moving those - energy went from 14:30 to 13:00 for Independence Day in 2025 and for Juneteenth in 2026. Projecting 2026 from 2025 and earlier reproduces 91.4% of the recorded values exactly, and the model abstains rather than guessing where it has no precedent.
• The calendars stop at 2029, so the isolated 2030 and 2031 dates from the first two commits are removed; leaving them would give those years one holiday each and nothing else.
• Nine entries whose newest record predates 2025 are left inheriting their market entry rather than guessed at: LBS and GE are delisted, and CSW, HCL, HRC, M5F, MRB, RX and F1U have stale calendars that should be filled from their product-group template separately.
• Future-cfe-[*] still stops at 12/25/2026 with an empty bankHolidays, so VX has the same cliff this removes for the CME family. Left for a separate change.

Related Issue

n/a

Motivation and Context

Keeps LEAN's trading calendars and futures expiry dates correct past 2026 for the CME family, and stops twelve CBOT products being reported closed on days they actually traded.

Requires Documentation Change

N/A. The QuantConnect/Documentation repo regenerates MHDB-related docs on a weekly schedule.

How Has This Been Tested?

FuturesExpiryFunctionsTests, MarketHoursDatabaseTests, SecurityExchangeHoursTests, SymbolPropertiesDatabaseTests, SymbolRepresentationTests - 522/522 pass.

Three recorded rows in FuturesExpiryFunctionsTestData.xml move, all in December 2027 and all because 31 December is now a bank holiday. BK and CSX cease trading on the last business day of the contract month, so December 2027 goes from the 31st to the 30th, and HH's January 2028 contract goes from the 29th to the 28th. December 2021 was the same situation and is already recorded that way: BK and CSX on 2021-12-30, HH's January 2022 contract on 2021-12-28. No other recorded row moves, and the Good Friday correction moves none at all.

The earlier Memorial Day work was also verified live against Interactive Brokers (paper) by subscribing to every enumerable contract of a set of roots and seeing which IB resolves, with SIL as a positive control. GC and SI May-2027 and May-2028 were rejected before the change and resolve after; HH26M27 and NG26M27 stream on 2027-05-26, HO28M27 and RB28M27 on 2027-05-28.

Types of changes

• Bug fix / data update (non-breaking)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• All new and existing tests passed.