def test_future_ticker_to_contract_mapping(self):
""" Test mapping of future tickers onto IB contracts. """
mapping = {
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
}
contract_ticker_mapper = IBContractTickerMapper(
mapping, self.data_provider)
# Map a specific ticker to contract
ticker = BloombergTicker("HGH20 Comdty", SecurityType.FUTURE, 250)
actual_contract = contract_ticker_mapper.ticker_to_contract(ticker)
expected_contract = IBContract("HG", SecurityType.FUTURE,
"NYMEX", "25000", "USD",
str_to_date("2020-03-20"))
self.assertEqual(actual_contract, expected_contract)
# Map a future ticker to contract
future_ticker = Mock(spec=BloombergFutureTicker)
future_ticker.get_current_specific_ticker.return_value = BloombergTicker(
"HGN20 Comdty", SecurityType.FUTURE, 250)
actual_contract = contract_ticker_mapper.ticker_to_contract(
future_ticker)
expected_contract = IBContract("HG", SecurityType.FUTURE,
"NYMEX", "25000", "USD",
str_to_date("2020-06-20"))
self.assertEqual(actual_contract, expected_contract)
def test_contract_to_ticker_no_valid_mapping(self):
""" Test contract to ticker mapping if no mapping for the ticker exists. """
contract_ticker_mapper = IBContractTickerMapper({})
contract = IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-27"))
with self.assertRaises(ValueError):
contract_ticker_mapper.contract_to_ticker(contract)
def test_invalid_contract_to_specific_future_ticker_mapping(self):
""" Test futures contract to ticker mapping in case if the last trade date is invalid. """
mapping = {
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
}
contract_ticker_mapper = IBContractTickerMapper(
mapping, self.data_provider)
contract = IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000",
"USD", str_to_date("2020-06-25"))
with self.assertRaises(ValueError):
contract_ticker_mapper.contract_to_ticker(contract)
def test_futures_contract_to_ticker_invalid_last_trade_date(self):
""" Test contract to ticker mapping, in case if the last trade date in the IBContract is invalid. """
mapping = {
BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100):
IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-27"))
}
contract_ticker_mapper = IBContractTickerMapper(mapping)
contract = IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-10"))
with self.assertRaises(ValueError):
contract_ticker_mapper.contract_to_ticker(contract)
def test_contract_to_specific_future_ticker_mapping(self):
mapping = {
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
}
contract_ticker_mapper = IBContractTickerMapper(
mapping, self.data_provider)
contract = IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000",
"USD", str_to_date("2020-06-20"))
actual_ticker = contract_ticker_mapper.contract_to_ticker(contract)
expected_ticker = BloombergTicker("HGN20 Comdty", SecurityType.FUTURE,
250)
self.assertEqual(actual_ticker, expected_ticker)
def test_contract_ticker_mapping_many_future_tickers(self):
""" Test futures contract to ticker mapping in case if many future tickers correspond to the given ticker. """
mapping = {
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 17, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "250", "USD"),
}
contract_ticker_mapper = IBContractTickerMapper(
mapping, self.data_provider)
with self.assertRaises(ValueError):
ticker = BloombergTicker("HGH20 Comdty", SecurityType.FUTURE, 250)
contract_ticker_mapper.ticker_to_contract(ticker)
def test_ticker_to_futures_contract_mapping(self):
""" Test contract to ticker mapping, in case of a futures contract when the mapping between a specific futures
ticker and an IBContract was provided. """
mapping = {
BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100):
IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-27"))
}
contract_ticker_mapper = IBContractTickerMapper(mapping)
ticker = BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100)
actual_contract = contract_ticker_mapper.ticker_to_contract(ticker)
expected_contract = IBContract("PA", SecurityType.FUTURE, "NYMEX",
"100", "", str_to_date("2020-03-27"))
self.assertEqual(expected_contract, actual_contract)
def test_no_data_provider(self):
fut_ticker = BloombergFutureTicker("Copper", "HG{} Comdty", 1, 4)
bbg_ib_symbols_mapping = {
fut_ticker: IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000")
}
with self.assertRaises(ValueError):
contract_ticker_mapper = IBContractTickerMapper(
bbg_ib_symbols_mapping, data_provider=None)
contract_ticker_mapper.contract_to_ticker(
IBContract("HG",
SecurityType.FUTURE,
"NYMEX",
"25000",
last_trade_date=datetime(2021, 9, 9)))
def test_duplicate_future_and_equity_tickers(self):
future_ticker_1 = BloombergFutureTicker("Copper", "HG{} Comdty", 1, 4)
bbg_ib_symbols_mapping = {
future_ticker_1:
IBContract("EXAMPLE", SecurityType.FUTURE, "DIFFERENT_EXCHANGE",
"25000"),
BloombergTicker("Example Index"):
IBContract("EXAMPLE", SecurityType.STOCK, "EXAMPLE_EXCHANGE"),
}
contract_ticker_mapper = IBContractTickerMapper(
bbg_ib_symbols_mapping, self.data_provider)
contract = IBContract("EXAMPLE", SecurityType.STOCK,
"EXAMPLE_EXCHANGE")
ticker = contract_ticker_mapper.contract_to_ticker(contract)
self.assertEqual(ticker.as_string(), "Example Index")
def test_duplicate_stock_tickers(self):
bbg_ib_symbols_mapping = {
BloombergTicker("Example Index"):
IBContract("EXAMPLE", SecurityType.STOCK, "EXAMPLE_EXCHANGE"),
BloombergTicker("Example 2 Index"):
IBContract("EXAMPLE", SecurityType.STOCK, "EXAMPLE_EXCHANGE"),
}
with self.assertRaises(Exception):
IBContractTickerMapper(bbg_ib_symbols_mapping)
def test_contract_ticker_mapping_multiple_tickers_matching_contract(self):
""" Test contract to ticker mapping in case if many tickers correspond to the same contract. """
mapping = {
BloombergFutureTicker('Copper1', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
BloombergFutureTicker('Copper2', 'HG{} Comdty', 1, 2, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
}
with self.assertRaises(AssertionError):
IBContractTickerMapper(mapping, self.data_provider)
def test_duplicate_future_tickers(self):
future_ticker_1 = BloombergFutureTicker("Copper", "HG{} Comdty", 1, 4)
future_ticker_2 = BloombergFutureTicker("Example", "Example{} Comdty",
1, 4)
bbg_ib_symbols_mapping = {
future_ticker_1:
IBContract("EXAMPLE", SecurityType.FUTURE, "DIFFERENT_EXCHANGE",
"25000"),
future_ticker_2:
IBContract("EXAMPLE", SecurityType.FUTURE, "EXAMPLE_EXCHANGE",
"25000"),
}
with self.assertRaises(Exception):
IBContractTickerMapper(bbg_ib_symbols_mapping, self.data_provider)
def map_future_ticker_to_contract():
mapping = {
BloombergFutureTicker('Copper', 'HG{} Comdty', 1, 1, 250):
IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD"),
BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100):
IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-27"))
}
data_provider = container.resolve(BloombergDataProvider)
contract_ticker_mapper = IBContractTickerMapper(mapping, data_provider)
current_time = str_to_date("2020-12-01")
for future_ticker in mapping.keys():
if isinstance(future_ticker, BloombergFutureTicker):
future_ticker.initialize_data_provider(SettableTimer(current_time),
data_provider)
print("\nMapping PAH20 Comdty ticker to IB contract")
ticker = BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100)
contract = contract_ticker_mapper.ticker_to_contract(ticker)
print(f"Ticker mapped onto the following contract: {contract}")
print("\nMapping IBContract onto ticker")
contract = IBContract("PA", SecurityType.FUTURE, "NYMEX", "100", "",
str_to_date("2020-03-27"))
ticker = contract_ticker_mapper.contract_to_ticker(contract)
print(f"Contract mapped onto the following ticker: {ticker}")
print(
"\nMapping HGH20 Comdty ticker - Copper, March 2020 futures contracts")
ticker = BloombergTicker("HGH20 Comdty", SecurityType.FUTURE, 250)
contract = contract_ticker_mapper.ticker_to_contract(ticker)
print(f"Ticker mapped onto the following contract: {contract}")
print("\nMapping IBContract onto ticker")
contract = IBContract("HG", SecurityType.FUTURE, "NYMEX", "25000", "USD",
str_to_date("2021-01-27"))
ticker = contract_ticker_mapper.contract_to_ticker(contract)
print(f"Contract mapped onto the following ticker: {ticker}")
def test_ticker_to_contract_no_valid_mapping(self):
""" Test ticker to contract mapping if no mapping for the ticker exists. """
contract_ticker_mapper = IBContractTickerMapper({})
ticker = BloombergTicker("PAH20 Comdty", SecurityType.FUTURE, 100)
with self.assertRaises(ValueError):
contract_ticker_mapper.ticker_to_contract(ticker)