In SOFR Discount Curve Construction in Nov 2021, @dm63 does an excellent job describing the way to build the SOFR discount curve. A few questions:
What is the market convention for building the front-end of the curve?
Do folks use the SOFR fixings or SOFR futures more commonly?
What are the pros and cons of each method in question 2?
When using SOFR futures to build the curve, is it common to use SOFR futures expiries past 2 years (i.e. similar to when folks would use a strip of 4 or 5 years of Eurodollar futures to build the LIBOR discount curve, then use swaps beyond that point)?