[Feature idea] instrument term structures

[occasionallydavid]

I have a small set of metadata copied from project to project, currently looking a bit like this:

    'Hard Red Winter Wheat': {
        'is_rate': False,
        'slice': 2,
        'category': 'Grain & Oilseed',
        'yahoo_prefix': 'KE',
        'yahoo_suffix': '.CBT',
        'product_id': 348,
    },

For all instruments at CME.

I then have some code accepting one of these product names and scrapes the current calendar from the CME site, providing a data frame like:

eurodol.get_cme_ts(eurodol.CME_PRODUCTS['Hard Red Winter Wheat'])
Last Trade
2021-03-12    KEH21.CBT
2021-05-14    KEK21.CBT
2021-07-14    KEN21.CBT
2021-09-14    KEU21.CBT
2021-12-14    KEZ21.CBT
2022-03-14    KEH22.CBT
2022-05-13    KEK22.CBT
2022-07-14    KEN22.CBT
2022-09-14    KEU22.CBT
2022-12-14    KEZ22.CBT
2023-03-14    KEH23.CBT
2023-05-12    KEK23.CBT
2023-07-14    KEN23.CBT
Name: Symbol, dtype: object

Doing this generally for any instrument on any exchange requires a big database that nobody wants to maintain, but maybe if it lived in a project like exchange_calendars, there is a hope it could eventually build up over time.

What do you think? I notice there is currently no scraping in this project, but it seems to fit with the use case -- instrument calendars are still more or less calendars