コード例 #1
0
    def test_is_rollover(self):
        inst_dict = {'name': 'TEST', 'futures': []}

        dinst = DummyInstrument(inst_dict)
        rh = RolloverHelper(dinst)
        rh.rollover_months = [1, 3]
        rh.days_before_expiration = 10

        contr = DummyContract({
            'days': 20,
            'name': 'fut1',
            'expiration': datetime(2015, 1, 10),
            'options': []
        })

        self.assertEqual(rh.is_rollover(contr), False)

        contr = DummyContract({
            'days': 10,
            'name': 'fut1',
            'expiration': datetime(2015, 1, 10),
            'options': []
        })

        self.assertEqual(rh.is_rollover(contr), True)

        contr = DummyContract({
            'days': 1,
            'name': 'fut1',
            'expiration': datetime(2015, 1, 10),
            'options': []
        })

        self.assertEqual(rh.is_rollover(contr), True)
コード例 #2
0
    def test_active_chains_rollover_options_no_options_chains(self):
        inst_dict = {
            'name':
            'TEST',
            'futures': [{
                'days': 20,
                'name': 'fut1',
                'expiration': datetime(2015, 1, 10),
                'options': []
            }, {
                'days': 20,
                'name': 'fut2',
                'expiration': datetime(2015, 2, 10),
                'options': []
            }, {
                'days': 40,
                'name': 'fut3',
                'expiration': datetime(2015, 3, 10),
                'options': []
            }]
        }

        dinst = DummyInstrument(inst_dict)
        rh = RolloverHelper(dinst)
        rh.rollover_months = [1, 3]
        rh.days_before_expiration = 10

        fut, opt = rh.get_active_chains()
        self.assertEqual(fut.name, 'fut1')
        self.assertEqual(opt, None)
コード例 #3
0
    def test_active_chains_rollover_options_no_futures(self):
        inst_dict = {'name': 'TEST', 'futures': []}

        dinst = DummyInstrument(inst_dict)
        rh = RolloverHelper(dinst)
        rh.rollover_months = [1, 3]
        rh.days_before_expiration = 10

        fut, opt = rh.get_active_chains()
        self.assertEqual(fut, None)
        self.assertEqual(opt, None)