def check_saved_roll_calendar(instrument_code,
input_datapath=arg_not_supplied,
input_prices=arg_not_supplied):
if input_datapath is None:
print(
"This will check the roll calendar in the default directory : are you are that's what you want to do?"
)
csv_roll_calendars = csvRollCalendarData(input_datapath)
roll_calendar = csv_roll_calendars.get_roll_calendar(instrument_code)
if input_prices is arg_not_supplied:
prices = arcticFuturesContractPriceData()
else:
prices = input_prices
dict_of_all_futures_contract_prices = prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices(
)
print(roll_calendar)
# checks - this might fail
roll_calendar.check_if_date_index_monotonic()
# this should never fail
roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices)
return roll_calendar
def generate_roll_calendars_from_provided_multiple_csv_prices(
output_datapath=arg_not_supplied, ):
if output_datapath is arg_not_supplied:
print(
"USING DEFAULT DATAPATH WILL OVERWRITE PROVIDED DATA in /data/futures/"
)
else:
print("Writing to %s" % output_datapath)
input(
"This will overwrite any existing roll calendars to %s: CRTL-C if you aren't sure!"
% str(output_datapath))
csv_roll_calendars = csvRollCalendarData(datapath=output_datapath)
sim_futures_data = csvFuturesSimData()
instrument_list = sim_futures_data.get_instrument_list()
for instrument_code in instrument_list:
print(instrument_code)
multiple_prices = sim_futures_data.get_multiple_prices(instrument_code)
roll_calendar = rollCalendar.back_out_from_multiple_prices(
multiple_prices)
print("Calendar:")
print(roll_calendar)
# We ignore duplicates since this is run regularly
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
def _get_data_inputs(csv_roll_data_path, csv_multiple_data_path):
csv_roll_calendars = csvRollCalendarData(csv_roll_data_path)
arctic_individual_futures_prices = arcticFuturesContractPriceData()
arctic_multiple_prices = arcticFuturesMultiplePricesData()
csv_multiple_prices = csvFuturesMultiplePricesData(csv_multiple_data_path)
return csv_roll_calendars, arctic_individual_futures_prices, arctic_multiple_prices, csv_multiple_prices
def build_and_write_roll_calendar(instrument_code,
output_datapath=arg_not_supplied,
check_before_writing=True):
if output_datapath is arg_not_supplied:
print(
"*** WARNING *** This will overwrite the provided roll calendar. Might be better to use a temporary directory!"
)
else:
print("Writing to %s" % output_datapath)
arctic_prices = arcticFuturesContractPriceData()
mongo_rollparameters = mongoRollParametersData()
csv_roll_calendars = csvRollCalendarData(output_datapath)
dict_of_all_futures_contract_prices = arctic_prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices(
)
roll_parameters_object = mongo_rollparameters.get_roll_parameters(
instrument_code)
# might take a few seconds
print("Prepping roll calendar... might take a few seconds")
roll_calendar = rollCalendar.create_from_prices(
dict_of_futures_contract_prices, roll_parameters_object)
# checks - this might fail
roll_calendar.check_if_date_index_monotonic()
# this should never fail
roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices)
# Write to csv
# Will not work if an existing calendar exists
if check_before_writing:
check_happy_to_write = input(
"Are you ok to write this csv to path %s? [might be worth writing and hacking manually] (yes/other)?"
% csv_roll_calendars.datapath)
else:
check_happy_to_write = "yes"
if check_happy_to_write == "yes":
print("Adding roll calendar")
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
else:
print("Not writing")
return roll_calendar
def build_and_write_roll_calendar(
instrument_code, output_datapath=None, check_before_writing=True
):
artic_prices = arcticFuturesContractPriceData()
mongo_rollparameters = mongoRollParametersData()
csv_roll_calendars = csvRollCalendarData(output_datapath)
dict_of_all_futures_contract_prices = artic_prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices()
roll_parameters_object = mongo_rollparameters.get_roll_parameters(
instrument_code)
# might take a few seconds
print("Prepping roll calendar... might take a few seconds")
roll_calendar = rollCalendar.create_from_prices(
dict_of_futures_contract_prices, roll_parameters_object
)
# checks - this might fail
check_monotonic = roll_calendar.check_if_date_index_monotonic()
# this should never fail
check_valid = roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices
)
# Write to csv
# Will not work if an existing calendar exists
if check_before_writing:
check_happy_to_write = input(
"Are you ok to write this csv? [might be worth writing and hacking manually] (yes/other)?"
)
else:
check_happy_to_write = "yes"
if check_happy_to_write == "yes":
csv_roll_calendars.add_roll_calendar(
roll_calendar, instrument_code, ignore_duplication=True
)
else:
print("Not writing")
return roll_calendar
def generate_roll_calendars_from_provided_multiple_csv_prices(output_datapath):
input(
"This will overwrite the roll calendars in %s : CRTL-C if you aren't sure!"
% output_datapath)
csv_roll_calendars = csvRollCalendarData(datapath=output_datapath)
sim_futures_data = csvFuturesSimData()
instrument_list = sim_futures_data.get_instrument_list()
for instrument_code in instrument_list:
print(instrument_code)
multiple_prices = sim_futures_data.get_multiple_prices(instrument_code)
roll_calendar = rollCalendar.back_out_from_multiple_prices(
multiple_prices)
print("Calendar:")
print(roll_calendar)
# We ignore duplicates since this is run regularly
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
import matplotlib
matplotlib.use("TkAgg")
from sysdata.arctic.arctic_futures_per_contract_prices import arcticFuturesContractPriceData
from sysdata.csv.csv_roll_calendars import csvRollCalendarData
from sysdata.csv.csv_multiple_prices import csvFuturesMultiplePricesData
from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
from sysdata.futures.multiple_prices import futuresMultiplePrices
# could get these from stdin
ADD_TO_ARCTIC = True
ADD_TO_CSV = False
if __name__ == '__main__':
csv_roll_calendars = csvRollCalendarData()
arctic_individual_futures_prices = arcticFuturesContractPriceData()
arctic_multiple_prices = arcticFuturesMultiplePricesData()
csv_multiple_prices = csvFuturesMultiplePricesData()
instrument_list = arctic_individual_futures_prices.get_instruments_with_price_data(
)
instrument_list = ["LIVECOW"]
for instrument_code in instrument_list:
print(instrument_code)
roll_calendar = csv_roll_calendars.get_roll_calendar(instrument_code)
dict_of_futures_contract_prices = arctic_individual_futures_prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_closing_prices = dict_of_futures_contract_prices.final_prices(
)
from syscore.objects import arg_not_supplied
from sysobjects.roll_calendars import rollCalendar
from sysdata.csv.csv_roll_calendars import csvRollCalendarData
from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
"""
Generate the roll calendars from existing data
"""
if __name__ == "__main__":
input("Will overwrite existing data are you sure?! CTL-C to abort")
output_datapath = arg_not_supplied
csv_roll_calendars = csvRollCalendarData(arg_not_supplied)
mongo_rollparameters = mongoRollParametersData()
arctic_multiple_prices = arcticFuturesMultiplePricesData()
instrument_list = arctic_multiple_prices.get_list_of_instruments()
for instrument_code in instrument_list:
print(instrument_code)
multiple_prices = arctic_multiple_prices.get_multiple_prices(
instrument_code)
roll_parameters = mongo_rollparameters.get_roll_parameters(
instrument_code)
roll_calendar = rollCalendar.back_out_from_multiple_prices(
multiple_prices)
print("Calendar:")
print(roll_calendar)
from sysdata.csv.csv_sim_futures_data import csvFuturesSimData
from sysdata.futures.roll_calendars import rollCalendar
from sysdata.csv.csv_roll_calendars import csvRollCalendarData
from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
"""
Generate the roll calendars from existing data
"""
if __name__ == '__main__':
csv_roll_calendars = csvRollCalendarData()
sim_futures_data = csvFuturesSimData()
mongo_rollparameters = mongoRollParametersData()
instrument_list = sim_futures_data.get_instrument_list()
for instrument_code in instrument_list:
print(instrument_code)
current_and_forward_data = sim_futures_data.get_current_and_forward_price_data(instrument_code)
roll_parameters = mongo_rollparameters.get_roll_parameters(instrument_code)
roll_calendar = rollCalendar.back_out_from_current_and_forward_data(current_and_forward_data, roll_parameters)
print("Calendar:")
print(roll_calendar)
## We ignore duplicates since this is run regularly
csv_roll_calendars.add_roll_calendar(roll_calendar, instrument_code, ignore_duplication=True)
