def init_arctic_with_csv_futures_contract_prices_for_code(
instrument_code: str, datapath: str, csv_config=arg_not_supplied
):
print(instrument_code)
csv_prices = csvFuturesContractPriceData(datapath, config=csv_config)
arctic_prices = arcticFuturesContractPriceData()
print("Getting .csv prices may take some time")
csv_price_dict = csv_prices.get_all_prices_for_instrument(instrument_code)
print("Have .csv prices for the following contracts:")
print(str(csv_price_dict.keys()))
for contract_date_str, prices_for_contract in csv_price_dict.items():
print("Processing %s" % contract_date_str)
print(".csv prices are \n %s" % str(prices_for_contract))
contract = futuresContract(instrument_code, contract_date_str)
print("Contract object is %s" % str(contract))
print("Writing to arctic")
arctic_prices.write_prices_for_contract_object(
contract, prices_for_contract, ignore_duplication=True
)
print("Reading back prices from arctic to check")
written_prices = arctic_prices.get_prices_for_contract_object(contract)
print("Read back prices are \n %s" % str(written_prices))
def test_check_saved_roll_calendar(self):
"""
Tests the function that checks a roll calendar generated from individual contract prices
"""
sample_prices = csvFuturesContractPriceData(
datapath="sysinit.futures.tests.price", config=self.csv_config)
check_saved_roll_calendar(
"AUD",
input_datapath="sysinit.futures.tests.roll_cal",
input_prices=sample_prices,
)
def init_arctic_with_csv_futures_contract_prices(datapath: str):
csv_prices = csvFuturesContractPriceData(datapath)
input(
"WARNING THIS WILL ERASE ANY EXISTING ARCTIC PRICES WITH DATA FROM %s ARE YOU SURE?! (CTRL-C TO STOP)"
% csv_prices.datapath)
instrument_codes = csv_prices.get_list_of_instrument_codes_with_price_data(
)
instrument_codes.sort()
for instrument_code in instrument_codes:
init_arctic_with_csv_futures_contract_prices_for_code(
instrument_code, datapath)
def test_check_saved_roll_calendar(self):
"""
Tests the function that checks a roll calendar generated from individual contract prices
*** FAILING TEST: once the function is working the annotation can be removed ***
"""
sample_prices = csvFuturesContractPriceData(
datapath='sysinit.futures.tests.price', config=self.csv_config)
check_saved_roll_calendar(
'AUD',
input_datapath='sysinit.futures.tests.roll_cal',
input_prices=sample_prices)
def init_arctic_with_csv_futures_contract_prices_for_code(
instrument_code: str, datapath: str, csv_config=arg_not_supplied):
print(instrument_code)
csv_prices = csvFuturesContractPriceData(datapath, config=csv_config)
arctic_prices = arcticFuturesContractPriceData()
print("Getting .csv prices may take some time")
csv_price_dict = csv_prices.get_all_prices_for_instrument(instrument_code)
for contract_date_str, prices_for_contract in csv_price_dict.items():
print(contract_date_str)
contract = futuresContract(instrument_code, contract_date_str)
arctic_prices.write_prices_for_contract_object(contract,
prices_for_contract,
ignore_duplication=True)
def test_build_roll_calendar(self, tmp_path, monkeypatch):
"""
Tests the function that builds roll calendars from individual contract prices. Mocks user input
and writes output to temp file
"""
monkeypatch.setattr('builtins.input', lambda _: "AUD")
sample_prices = csvFuturesContractPriceData(
datapath='sysinit.futures.tests.price', config=self.csv_config)
output_dir = tmp_path / 'output'
build_and_write_roll_calendar('AUD',
output_datapath=output_dir,
input_prices=sample_prices,
input_config=csvRollParametersData())
def test_build_roll_calendar(self, tmp_path, monkeypatch):
"""
Tests the function that builds roll calendars from individual contract prices. Mocks user input
and writes output to temp file
"""
monkeypatch.setattr("builtins.input", lambda _: "AUD")
sample_prices = csvFuturesContractPriceData(
datapath="sysinit.futures.tests.price", config=self.csv_config)
output_dir = str(tmp_path)
build_and_write_roll_calendar(
"AUD",
output_datapath=output_dir,
input_prices=sample_prices,
input_config=csvRollParametersData(),
check_before_writing=False,
)