def get_futures():
date = get_db_date()
quotes = futures.query_historical("VX", date)
vix_quote = stocks.query_historical(["VIX"], date).get("VIX", 10)
if vix_quote is None:
return jsonify()
data1 = [
{
"x": dates.business_dates_diff(date, quote.expiration),
"y": quote.close,
"name": quote.expiration.strftime("%b'%y"),
"suffix": "%+.2f, %+.0f %%, " % (quote.close - vix_quote.close, (quote.close / vix_quote.close - 1) * 100),
}
for quote in quotes
]
if len(data1) > 0:
first_point = data1[0]
first_point.update({"marker": {"enabled": "false"}})
data2 = [{"x": 0, "y": vix_quote.close, "name": "VIX"}, first_point]
else:
data2 = []
return jsonify({"part1": data1, "part2": data2})
def get_term_structure():
date = get_db_date()
data = structures.atm_term_structure("SPX", date)
data = [
{"x": dates.business_dates_diff(date, expiration), "y": iv, "name": expiration.strftime("%b'%y")}
for expiration, iv in data
]
return jsonify({"root": data})
def get_dates():
date = request.args.get("date", None, type=str)
current_date = dates.get_current_timestamp().date()
if date is not None:
try:
date = datetime.strptime(date, "%Y-%m-%d").date()
date = min(date, current_date)
except ValueError:
date = current_date
data = {"date": date.strftime("%d.%m.%Y")}
for name, lst in EXPIRATIONS.items():
pos = bisect.bisect_left(lst, date)
if pos != len(lst):
days_left = dates.business_dates_diff(date, lst[pos])
if days_left == 0:
data[name] = "<strong>today</strong>"
elif days_left == 1:
data[name] = "<strong>tomorrow</strong>"
else:
data[name] = "in <strong>%d</strong> days" % days_left
else:
data[name] = ""
return jsonify(data)
def test_friday_to_friday_backwards(self):
self.assertEqual(dates.business_dates_diff(
date(2015, 12, 11), date(2015, 12, 4)), -5)
def test_friday_to_friday(self):
self.assertEqual(dates.business_dates_diff(
date(2015, 12, 4), date(2015, 12, 11)), 5)
def test_sunday_to_monday(self):
self.assertEqual(dates.business_dates_diff(
date(2015, 12, 6), date(2015, 12, 7)), 1)
def test_same_day_holiday(self):
self.assertEqual(dates.business_dates_diff(
date(2015, 12, 12), date(2015, 12, 12)), 0)
def test_same_day_business(self):
self.assertEqual(dates.business_dates_diff(
date(2015, 12, 9), date(2015, 12, 9)), 0)
