def contracts_with_price_data_for_instrument_code(self, instrument_code):
"""
Valid contracts for a given instrument code
:param instrument_code: str
:return: list of contracts
"""
new_log = self.log.setup(instrument_code=instrument_code)
instrument_object_with_ib_config = self._get_instrument_object_with_IB_metadata(
instrument_code)
if instrument_object_with_ib_config is missing_instrument:
new_log.warn(
"Can't get list of contracts for illdefined instrument %s" %
instrument_code,
instrument_code=instrument_code)
return listOfFuturesContracts([])
list_of_contract_dates = self.ibconnection.broker_get_futures_contract_list(
instrument_object_with_ib_config)
list_of_contracts = [
futuresContract(instrument_code, contract_date)
for contract_date in list_of_contract_dates
]
return listOfFuturesContracts(list_of_contracts)
def get_contract_chain(instrument_code, data):
diag_contracts = diagContracts(data)
diag_prices = diagPrices(data)
roll_parameters = diag_contracts.get_roll_parameters(instrument_code)
# Get the last contract currently being used
multiple_prices = diag_prices.get_multiple_prices(instrument_code)
current_contract_dict = multiple_prices.current_contract_dict()
current_contract_list = list(current_contract_dict.values())
furthest_out_contract_date = max(current_contract_list)
furthest_out_contract = contractDateWithRollParameters(
roll_parameters, furthest_out_contract_date)
# To give us wiggle room, and ensure we start collecting the new forward a
# little in advance
final_contract = furthest_out_contract.next_priced_contract()
contract_date_chain = (
final_contract.get_unexpired_contracts_from_now_to_contract_date())
# We have a list of contract_date objects, need futureContracts
# create a 'bare' instrument object
instrument_object = futuresInstrument(instrument_code)
contract_object_chain_as_list = [
futuresContract(instrument_object, contract_date_object)
for contract_date_object in contract_date_chain
]
contract_object_chain = listOfFuturesContracts(
contract_object_chain_as_list)
return contract_object_chain