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_from_mongo(instrument_code):
mongo_roll_parameters = mongoRollParametersData()
roll_parameters = mongo_roll_parameters.get_roll_parameters(instrument_code)
if roll_parameters.empty():
raise Exception("Instrument %s missing from %s" % (instrument_code, mongo_roll_parameters))
return roll_parameters
def get_roll_parameters_from_mongo(instrument_code):
mongo_roll_parameters = mongoRollParametersData()
roll_parameters = mongo_roll_parameters.get_roll_parameters(
instrument_code)
if roll_parameters.empty():
raise Exception("Instrument %s missing from %s" %
(instrument_code, mongo_roll_parameters))
return roll_parameters
def process_multiple_prices_single_instrument(
instrument_code,
adjust_calendar_to_prices=True,
csv_multiple_data_path=arg_not_supplied,
csv_roll_data_path=arg_not_supplied,
ADD_TO_ARCTIC=True,
ADD_TO_CSV=False,
):
(
csv_roll_calendars,
arctic_individual_futures_prices,
arctic_multiple_prices,
csv_multiple_prices,
) = _get_data_inputs(csv_roll_data_path, csv_multiple_data_path)
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())
roll_calendar = csv_roll_calendars.get_roll_calendar(instrument_code)
# Add first phantom row so that the last calendar entry won't be consumed by adjust_roll_calendar()
m = mongoRollParametersData()
roll_parameters = m.get_roll_parameters(instrument_code)
roll_calendar = add_phantom_row(roll_calendar,
dict_of_futures_contract_closing_prices,
roll_parameters)
if adjust_calendar_to_prices:
roll_calendar = adjust_roll_calendar(instrument_code, roll_calendar)
# Second phantom row is needed in order to process the whole set of closing prices (and not stop after the last roll-over)
roll_calendar = add_phantom_row(roll_calendar,
dict_of_futures_contract_closing_prices,
roll_parameters)
multiple_prices = futuresMultiplePrices.create_from_raw_data(
roll_calendar, dict_of_futures_contract_closing_prices)
print(multiple_prices)
if ADD_TO_ARCTIC:
arctic_multiple_prices.add_multiple_prices(instrument_code,
multiple_prices,
ignore_duplication=True)
if ADD_TO_CSV:
csv_multiple_prices.add_multiple_prices(instrument_code,
multiple_prices,
ignore_duplication=True)
return 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 process_multiple_prices_single_instrument(
instrument_code,
adjust_calendar_to_prices=True,
csv_multiple_data_path=arg_not_supplied,
csv_roll_data_path=arg_not_supplied,
ADD_TO_ARCTIC=True,
ADD_TO_CSV=False,
):
(
csv_roll_calendars,
arctic_individual_futures_prices,
arctic_multiple_prices,
csv_multiple_prices,
) = _get_data_inputs(csv_roll_data_path, csv_multiple_data_path)
roll_calendar = csv_roll_calendars.get_roll_calendar(instrument_code)
if adjust_calendar_to_prices:
roll_calendar = adjust_roll_calendar(instrument_code, roll_calendar)
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())
m = mongoRollParametersData()
roll_parameters = m.get_roll_parameters(instrument_code)
roll_calendar = add_phantom_row(roll_calendar,
dict_of_futures_contract_closing_prices,
roll_parameters)
multiple_prices = futuresMultiplePrices.create_from_raw_data(
roll_calendar, dict_of_futures_contract_closing_prices)
print(multiple_prices)
if ADD_TO_ARCTIC:
arctic_multiple_prices.add_multiple_prices(instrument_code,
multiple_prices,
ignore_duplication=True)
if ADD_TO_CSV:
csv_multiple_prices.add_multiple_prices(instrument_code,
multiple_prices,
ignore_duplication=True)
return multiple_prices
def get_instrument_spec_from_mongo(instrument_code):
mongo_instruments = mongoFuturesInstrumentData()
mongo_roll_data = mongoRollParametersData()
instrument_object = mongo_instruments.get_instrument_data(instrument_code)
if instrument_object.empty():
raise Exception("Instrument %s missing from %s" %
(instrument_code, mongo_instruments))
roll_parameters = mongo_roll_data.get_roll_parameters(instrument_code)
if roll_parameters.empty():
raise Exception("Instrument %s missing from %s" %
(instrument_code, mongo_roll_data))
return (instrument_object, roll_parameters)
from sysdata.sim.csv_futures_sim_data import csvFuturesSimData
from sysobjects.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)
multiple_prices = sim_futures_data.get_all_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)
# We ignore duplicates since this is run regularly
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
"""
Populate a mongo DB collection with roll data from a csv
"""
from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
from sysinit.futures.rolldata_from_csv import initCsvFuturesRollData
data_out = mongoRollParametersData()
data_in = initCsvFuturesRollData()
instrument_list = data_in.get_list_of_instruments()
for instrument_code in instrument_list:
instrument_object = data_in.get_roll_parameters(instrument_code)
data_out.delete_roll_parameters(instrument_code, are_you_sure=True)
data_out.add_roll_parameters(instrument_object, instrument_code)
# check
instrument_added = data_out.get_roll_parameters(instrument_code)
print("Added %s: %s to %s" % (instrument_code, instrument_added, data_out))
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)
"""
Populate a mongo DB collection with roll data from a csv
"""
from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
from sysinit.futures.csv_data_readers.rolldata_from_csv import initCsvFuturesRollData
data_out = mongoRollParametersData()
data_in = initCsvFuturesRollData()
instrument_list = data_in.get_list_of_instruments()
for instrument_code in instrument_list:
instrument_object = data_in.get_roll_parameters(instrument_code)
data_out.delete_roll_parameters(instrument_code, are_you_sure=True)
data_out.add_roll_parameters(instrument_object, instrument_code)
# check
instrument_added = data_out.get_roll_parameters(instrument_code)
print("Added %s: %s to %s" % (instrument_code, instrument_added, data_out))
