def test_roll_with_date(self):
roll_data = rollParameters(priced_rollcycle="HMUZ", hold_rollcycle="Z", approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201801")
self.assertRaises(Exception, rollwithdate.next_priced_contract)
roll_data_no_price_cycle = rollParameters(hold_rollcycle="F", approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201801")
self.assertRaises(Exception, rollwithdate.next_priced_contract)
roll_data = rollParameters(priced_rollcycle="HMUZ", hold_rollcycle="MZ", approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201806")
self.assertEqual(rollwithdate.contract_date, "20180600")
self.assertEqual(rollwithdate.expiry_date, datetime.datetime(2018,6,16))
self.assertEqual(rollwithdate.check_if_expiry_after_date(datetime.datetime(2018,1,1)), True)
next_held = rollwithdate.next_held_contract()
prior_held = rollwithdate.previous_held_contract()
next_priced = rollwithdate.next_priced_contract()
prior_priced = rollwithdate.previous_priced_contract()
self.assertEqual(next_held.contract_date, "20181200")
self.assertEqual(prior_held.contract_date, "20171200")
self.assertEqual(next_priced.contract_date, "20180900")
self.assertEqual(prior_priced.contract_date, "20180300")
def test_rolldata(self):
roll_data_blank = rollParameters()
self.assertRaises(Exception, roll_data_blank.check_for_price_cycle)
self.assertRaises(Exception, roll_data_blank.check_for_hold_cycle)
roll_data_empty = rollParameters.create_empty()
self.assertEqual(roll_data_empty.empty(), True)
roll_data = rollParameters(priced_rollcycle="HMUZ",
hold_rollcycle="Z",
contract_offset=1,
approx_expiry_offset=15)
contract_date = roll_data.approx_first_priced_contractDate_after_date(
datetime.datetime(2008, 1, 1))
self.assertEqual(contract_date.contract_date, "20080300")
self.assertEqual(contract_date.expiry_date,
datetime.datetime(2008, 3, 16))
contract_date_held = roll_data.approx_first_held_contractDate_after_date(
datetime.datetime(2008, 1, 1))
self.assertEqual(contract_date_held.contract_date, "20091200")
self.assertEqual(contract_date_held.expiry_date,
datetime.datetime(2009, 12, 16))
def test_roll_parameters(self):
data = mongoRollParametersData(database_name='test')
# test db so okay to do this
data._mongo.db.drop_collection(data._mongo.collection_name)
codes = data.get_list_of_instruments()
self.assertEqual(codes, [])
roll_object = data.get_roll_parameters("EDOLLAR")
self.assertTrue(roll_object.empty())
roll_object = rollParameters(hold_rollcycle ="HMUZ", priced_rollcycle="HM")
data.add_roll_parameters(roll_object, "EDOLLAR")
self.assertEqual(data.get_list_of_instruments(), ['EDOLLAR'])
found_object = data.get_roll_parameters("EDOLLAR")
self.assertEqual(found_object.hold_rollcycle.cyclestring, "HMUZ")
found_object = data['EDOLLAR']
self.assertEqual(found_object.priced_rollcycle.cyclestring, "HM")
codes = data.get_list_of_instruments()
self.assertEqual(codes, ['EDOLLAR'])
data.delete_roll_parameters("EDOLLAR", are_you_sure=True)
found_object = data.get_roll_parameters("EDOLLAR")
self.assertTrue(found_object.empty())
codes = data.get_list_of_instruments()
self.assertEqual(codes, [])
def _get_roll_parameters_without_checking(self, instrument_code):
config_for_this_instrument = self._get_config_information().loc[instrument_code]
roll_parameters_object = rollParameters(hold_rollcycle= config_for_this_instrument.HoldRollCycle,
roll_offset_day = config_for_this_instrument.RollOffsetDays,
carry_offset = config_for_this_instrument.CarryOffset,
priced_rollcycle = config_for_this_instrument.PricedRollCycle,
approx_expiry_offset=config_for_this_instrument.ExpiryOffset)
return roll_parameters_object
def test_rolldata(self):
roll_data_blank = rollParameters()
self.assertRaises(Exception, roll_data_blank.check_for_price_cycle)
self.assertRaises(Exception, roll_data_blank.check_for_hold_cycle)
roll_data_empty = rollParameters.create_empty()
self.assertEqual(roll_data_empty.empty(), True)
roll_data = rollParameters(priced_rollcycle="HMUZ", hold_rollcycle="Z", approx_expiry_offset=15)
contract_date = roll_data.approx_first_held_contractDate_at_date(datetime.datetime(2008,1,1))
self.assertEqual(contract_date.contract_date, "20081200")
self.assertEqual(contract_date.expiry_date, datetime.datetime(2008,12,16))
roll_data = rollParameters(priced_rollcycle="HMUZ", hold_rollcycle="HMUZ", roll_offset_day=-365)
contract_date_held = roll_data.approx_first_held_contractDate_at_date(datetime.datetime(2008,1,1))
self.assertEqual(contract_date_held.contract_date, "20090300")
self.assertEqual(contract_date_held.expiry_date, datetime.datetime(2009,3,1))
def test_list_of_futures_contracts(self):
instrument_object = futuresInstrument("EDOLLAR")
roll_parameters = rollParameters(priced_rollcycle="HMUZ",
hold_rollcycle="MZ",
approx_expiry_offset=15, roll_offset_day=-70)
flist = listOfFuturesContracts.historical_price_contracts(instrument_object,
roll_parameters,
"200003", pd.datetime(2001,1,1))
self.assertEqual(len(flist), 5)
self.assertEqual(flist[0].date, "20000300")
self.assertEqual(flist[-1].date, "20010300")
def test_roll_with_date(self):
roll_data = rollParameters(priced_rollcycle="HMUZ",
hold_rollcycle="Z",
contract_offset=1,
approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201801")
self.assertRaises(Exception, rollwithdate.next_priced_contract)
roll_data_no_price_cycle = rollParameters(hold_rollcycle="F",
contract_offset=1,
approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201801")
self.assertRaises(Exception, rollwithdate.next_priced_contract)
roll_data = rollParameters(priced_rollcycle="HMUZ",
hold_rollcycle="MZ",
contract_offset=1,
approx_expiry_offset=15)
rollwithdate = contractDateWithRollParameters(roll_data, "201806")
self.assertEqual(rollwithdate.contract_date, "20180600")
self.assertEqual(rollwithdate.expiry_date,
datetime.datetime(2018, 6, 16))
self.assertEqual(
rollwithdate.check_if_expiry_after_date(
datetime.datetime(2018, 1, 1)), True)
next_held = rollwithdate.next_held_contract()
prior_held = rollwithdate.previous_held_contract()
next_priced = rollwithdate.next_priced_contract()
prior_priced = rollwithdate.previous_priced_contract()
self.assertEqual(next_held.contract_date, "20181200")
self.assertEqual(prior_held.contract_date, "20171200")
self.assertEqual(next_priced.contract_date, "20180900")
self.assertEqual(prior_priced.contract_date, "20180300")
def test_list_of_futures_contracts(self):
instrument_object = futuresInstrument("EDOLLAR")
roll_parameters = rollParameters(priced_rollcycle="HMUZ",
hold_rollcycle="MZ",
approx_expiry_offset=15,
roll_offset_day=-70)
flist = listOfFuturesContracts.historical_price_contracts(
instrument_object, roll_parameters, "200003",
pd.datetime(2001, 1, 1))
self.assertEqual(len(flist), 5)
self.assertEqual(flist[0].date, "20000300")
self.assertEqual(flist[-1].date, "20010300")
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018, 12, 1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(
contract1_as_dict,
dict(instrument_code="EDOLLAR",
expiry_date=(2018, 12, 1),
contract_date="201812",
approx_expiry_offset=0))
contract1_fromdict = futuresContract.create_from_dict(
contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date,
datetime.datetime(2018, 12, 1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR",
"20181215",
expiry_date=(2018, 12, 15))
self.assertEqual(contract2.expiry_date,
datetime.datetime(2018, 12, 15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR",
"20181215",
approx_expiry_offset=4)
self.assertEqual(contract3.expiry_date,
datetime.datetime(2018, 12, 19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(
dict(instrument_code="EDOLLAR", contract_date="201812"),
dict(priced_rollcycle="HMUZ"))
contract1a = contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b = contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract3 = futuresContract.approx_first_priced_futuresContract_after_date(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(1970, 12, 1))
self.assertEqual(contract3.date, "19710300")
list_of_contracts = listOfFuturesContracts.series_of_price_contracts_within_daterange(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(2016, 1, 1), datetime.datetime(2018, 1, 1))
self.assertEqual(list_of_contracts[0].date, "20160300")
self.assertEqual(list_of_contracts[-1].date, "20180300")
contract_ident = futuresContract.identGivenCodeAndContractDate(
"EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")