def test_vix_expiry(self):
sec = cont.SecurityDefinition()
fut = sec.get_next_expiry('VX', datetime.date(2017, 11, 14))
print(fut)
self.assertEqual(fut, 'VXX7')
fut = sec.get_next_expiry('VX', datetime.date(2017, 11, 15))
print(fut)
self.assertEqual(fut, 'VXZ7')
futures = sec.get_futures('VX', 3, datetime.date(2017, 11, 2))
print(futures)
self.assertEqual(futures, ['VXX7', 'VXZ7', 'VXF8'])
futures = sec.get_futures('VX', 2, datetime.date(2017, 11, 2))
print(futures)
self.assertEqual(futures, ['VXX7', 'VXZ7'])
futures = sec.get_futures('VX', 2, datetime.date(2017, 11, 15))
print(futures)
self.assertEqual(futures, ['VXZ7', 'VXF8'])
futures = sec.get_futures('VX', 3, datetime.date(2017, 12, 19))
print(futures)
self.assertEqual(futures, ['VXZ7', 'VXF8', 'VXG8'])
futures = sec.get_futures('VX', 2, datetime.date(2017, 12, 20))
print(futures)
self.assertEqual(futures, ['VXF8', 'VXG8'])
futures = sec.get_futures('VX', 3, datetime.date(2018, 1, 10))
print(futures)
self.assertEqual(futures, ['VXF8', 'VXG8', 'VXH8'])
def __init__(self, params):
self.secDef = contracts.SecurityDefinition()
self.Email = params.Email
self.Iam = params.Iam
self.User = params.User
self.Password = params.Password
self.Smtp = params.Smtp
self.Logger = logging.getLogger()
self.Logger.setLevel(logging.INFO)
ec2 = boto3.resource('ec2', region_name=params.Region)
self.__Instance = ec2.Instance(params.Instance)
db = boto3.resource('dynamodb', region_name=params.Region)
self.__QuotesEod = db.Table('Quotes.EOD')
self.__Securities = db.Table('Securities')
self.__Orders = db.Table('Orders')
s3 = boto3.resource('s3')
debug = os.environ['DEBUG_FOLDER']
self.__debug = s3.Object(debug, 'vix_roll.txt')
logging.basicConfig(
format='%(asctime)s - %(levelname)s - %(threadName)s - %(message)s'
)
self.Logger.info(
'InstanceController Created. Region: %s Instance: %s' %
(params.Region, params.Instance))
def test_one_day_after(self):
today = datetime.date(2017, 11, 16)
sec = cont.SecurityDefinition()
expiry = sec.get_vix_expiry_date(today)
print(expiry - relativedelta(days=+1))
self.assertGreater(today, expiry - relativedelta(days=+1))