def create_contract_roll_orders(data: dataBlob,
roll_spread_info: rollSpreadInformation,
instrument_order: instrumentOrder) -> listOfOrders:
diag_positions = diagPositions(data)
instrument_code = instrument_order.instrument_code
if roll_spread_info.position_in_priced == 0:
return missing_order
if diag_positions.is_roll_state_force(instrument_code):
contract_orders = create_contract_orders_spread(roll_spread_info)
elif diag_positions.is_roll_state_force_outright(instrument_code):
contract_orders = create_contract_orders_outright(roll_spread_info)
else:
log = instrument_order.log_with_attributes(data.log)
roll_state = diag_positions.get_roll_state(instrument_code)
log.warn("Roll state %s is unexpected, might have changed" % str(roll_state))
return missing_order
contract_orders = allocate_algo_to_list_of_contract_orders(
data, contract_orders, instrument_order
)
return contract_orders
def spawn_children_from_instrument_order(data, instrument_order):
spawn_function = function_to_process_instrument(
instrument_order.instrument_code)
list_of_contract_orders = spawn_function(data, instrument_order)
list_of_contract_orders = allocate_algo_to_list_of_contract_orders(
data, list_of_contract_orders, instrument_order=instrument_order)
return list_of_contract_orders
def create_force_roll_orders(data, instrument_code):
"""
:param data:
:param instrument_code:
:return: tuple; instrument_order (or missing_order), contract_orders
"""
diag_positions = diagPositions(data)
strategy = ROLL_PSEUDO_STRATEGY
trade = 0
instrument_order = instrumentOrder(
strategy,
instrument_code,
trade,
roll_order=True,
order_type="Zero-roll-order")
diag_contracts = diagContracts(data)
priced_contract_id = diag_contracts.get_priced_contract_id(instrument_code)
forward_contract_id = diag_contracts.get_forward_contract_id(
instrument_code)
position_in_priced = diag_positions.get_position_for_instrument_and_contract_date(
instrument_code, priced_contract_id)
if position_in_priced == 0:
return missing_order, []
if diag_positions.is_roll_state_force(instrument_code):
contract_orders = create_contract_orders_outright(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced,
)
elif diag_positions.is_roll_state_force_outright(instrument_code):
contract_orders = create_contract_orders_spread(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced,
)
else:
log = instrument_order.log_with_attributes(data.log)
log.warn("Roll state %s is unexpected, might have changed" % str(roll_state))
return missing_order, []
contract_orders = allocate_algo_to_list_of_contract_orders(
data, contract_orders, instrument_order=instrument_order
)
return instrument_order, contract_orders
def create_force_roll_orders(data, instrument_code):
"""
:param data:
:param instrument_code:
:return: tuple; instrument_order (or missing_order), contract_orders
"""
diag_positions = diagPositions(data)
roll_state = diag_positions.get_roll_state(instrument_code)
strategy = ROLL_PSEUDO_STRATEGY
trade = 0
instrument_order = instrumentOrder(strategy,
instrument_code,
trade,
roll_order=True,
order_type="Zero-roll-order")
diag_contracts = diagContracts(data)
priced_contract_id = diag_contracts.get_priced_contract_id(instrument_code)
forward_contract_id = diag_contracts.get_forward_contract_id(
instrument_code)
position_in_priced = diag_positions.get_position_for_instrument_and_contract_date(
instrument_code, priced_contract_id)
if position_in_priced == 0:
return missing_order, []
if roll_state == "Force_Outright":
contract_orders = create_contract_orders_outright(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced,
)
elif roll_state == "Force":
contract_orders = create_contract_orders_spread(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced,
)
else:
raise Exception("Roll state %s not recognised" % roll_state)
contract_orders = allocate_algo_to_list_of_contract_orders(
data, contract_orders, instrument_order=instrument_order)
return instrument_order, contract_orders
