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)
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)
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)