def test_is_rollover(self):
inst_dict = {'name': 'TEST', 'futures': []}
dinst = DummyInstrument(inst_dict)
rh = RolloverHelper(dinst)
rh.rollover_months = [1, 3]
rh.days_before_expiration = 10
contr = DummyContract({
'days': 20,
'name': 'fut1',
'expiration': datetime(2015, 1, 10),
'options': []
})
self.assertEqual(rh.is_rollover(contr), False)
contr = DummyContract({
'days': 10,
'name': 'fut1',
'expiration': datetime(2015, 1, 10),
'options': []
})
self.assertEqual(rh.is_rollover(contr), True)
contr = DummyContract({
'days': 1,
'name': 'fut1',
'expiration': datetime(2015, 1, 10),
'options': []
})
self.assertEqual(rh.is_rollover(contr), True)
def is_rollover(self):
if len(self.position) != 0:
for p in self.position.legs.values():
rh = RolloverHelper(p.instrument)
if rh.is_rollover(p):
return True
return False