def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018,12,1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(contract1_as_dict, dict(instrument_code = "EDOLLAR", expiry_date = (2018,12,1),
contract_date = "201812", approx_expiry_offset=0))
contract1_fromdict = futuresContract.create_from_dict(contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date, datetime.datetime(2018,12,1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR", "20181215", expiry_date=(2018,12,15))
self.assertEqual(contract2.expiry_date, datetime.datetime(2018,12,15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR", "20181215", approx_expiry_offset = 4)
self.assertEqual(contract3.expiry_date, datetime.datetime(2018,12,19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(dict(instrument_code = "EDOLLAR",
contract_date = "201812"),
dict(priced_rollcycle = "HMUZ",
hold_rollcycle = "Z",
carry_offset = 1))
contract1a=contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b=contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract1c = contract1_with_roll_data.carry_contract()
self.assertEqual(contract1c.date, "20190300")
contract1d = contract1_with_roll_data.next_held_contract()
self.assertEqual(contract1d.date, "20191200")
contract1e = contract1_with_roll_data.previous_held_contract()
self.assertEqual(contract1e.date, "20171200")
contract_ident = futuresContract.identGivenCodeAndContractDate("EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")
def get_contracts_with_price_data(self):
"""
:return: list of contracts
"""
list_of_contract_tuples = self._get_contract_tuples_with_price_data()
list_of_contracts = [futuresContract.simple(contract_tuple[0], contract_tuple[1]) for contract_tuple in list_of_contract_tuples]
return list_of_contracts
def get_contracts_with_price_data(self):
"""
:return: list of contracts
"""
list_of_contract_tuples = self._get_contract_tuples_with_price_data()
list_of_contracts = [futuresContract.simple(contract_tuple[0], contract_tuple[1]) for contract_tuple in list_of_contract_tuples]
return list_of_contracts
def _object_given_instrumentCode_and_contractDate(self, instrument_code, contract_date):
"""
Quickly go from eg "EDOLLAR" "201801" to an object
:param instrument_code: str
:param contract_date: str
:return: futuresContract
"""
contract_object = futuresContract.simple(instrument_code, contract_date)
return contract_object
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018, 12, 1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(
contract1_as_dict,
dict(instrument_code="EDOLLAR",
expiry_date=(2018, 12, 1),
contract_date="201812",
approx_expiry_offset=0))
contract1_fromdict = futuresContract.create_from_dict(
contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date,
datetime.datetime(2018, 12, 1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR",
"20181215",
expiry_date=(2018, 12, 15))
self.assertEqual(contract2.expiry_date,
datetime.datetime(2018, 12, 15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR",
"20181215",
approx_expiry_offset=4)
self.assertEqual(contract3.expiry_date,
datetime.datetime(2018, 12, 19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(
dict(instrument_code="EDOLLAR", contract_date="201812"),
dict(priced_rollcycle="HMUZ"))
contract1a = contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b = contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract3 = futuresContract.approx_first_priced_futuresContract_after_date(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(1970, 12, 1))
self.assertEqual(contract3.date, "19710300")
list_of_contracts = listOfFuturesContracts.series_of_price_contracts_within_daterange(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(2016, 1, 1), datetime.datetime(2018, 1, 1))
self.assertEqual(list_of_contracts[0].date, "20160300")
self.assertEqual(list_of_contracts[-1].date, "20180300")
contract_ident = futuresContract.identGivenCodeAndContractDate(
"EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")
def test_futures_prices(self):
data = arcticFuturesContractPriceData(database_name="test")
data._arctic.store.delete_library(data._arctic.library_name)
## we need some sham data
dummy_series = [5.0] * 5
dummy_series2 = [2.0] * 5
price_data = pd.DataFrame(dict(OPEN=dummy_series,
CLOSE=dummy_series,
HIGH=dummy_series,
LOW=dummy_series,
SETTLE=dummy_series),
index=pd.date_range(pd.datetime(2000, 1, 1),
pd.datetime(2000, 1, 5)))
price_data2 = pd.DataFrame(dict(OPEN=dummy_series2,
CLOSE=dummy_series2,
HIGH=dummy_series2,
LOW=dummy_series2,
SETTLE=dummy_series2),
index=pd.date_range(pd.datetime(2000, 1, 1),
pd.datetime(2000, 1,
5)))
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing one")
self.assertEqual(list_of_contracts, [])
empty_thing = data.get_prices_for_instrument_code_and_contract_date(
"thing one", "201801")
self.assertEqual(len(empty_thing.index), 0)
self.assertEqual(
data.has_data_for_instrument_code_and_contract_date(
"thing one", "201801"), False)
data.write_prices_for_contract_object(
futuresContract.simple("thing one", "201801"), price_data)
data.write_prices_for_contract_object(
futuresContract.simple("thing one", "20180215"), price_data)
data.write_prices_for_contract_object(
futuresContract.simple("thing two", "201803"), price_data2)
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing one")
self.assertEqual(list_of_contracts, ['20180100', '20180215'])
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing two")
self.assertEqual(list_of_contracts, ["20180300"])
self.assertEqual(
data.has_data_for_instrument_code_and_contract_date(
"thing one", "201801"), True)
self.assertEqual(
data.has_data_for_instrument_code_and_contract_date(
"thing one", "20180215"), True)
self.assertEqual(
data.has_data_for_instrument_code_and_contract_date(
"thing one", "201807"), False)
self.assertEqual(
data.has_data_for_contract(
futuresContract.simple("thing two", "201803")), True)
getback1 = data.get_prices_for_instrument_code_and_contract_date(
"thing one", "201801")
getback2 = data.get_prices_for_contract_object(
futuresContract.simple("thing two", "201803"))
self.assertEqual(getback1.OPEN.values[0], 5.0)
self.assertEqual(getback2.OPEN.values[0], 2.0)
data.delete_prices_for_contract_object(futuresContract.simple(
"thing one", "201807"),
areyousure=True)
data.delete_prices_for_contract_object(futuresContract.simple(
"thing one", "201801"),
areyousure=True)
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing one")
self.assertEqual(list_of_contracts, ['20180215'])
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing two")
self.assertEqual(list_of_contracts, ["20180300"])
data.delete_prices_for_contract_object(futuresContract.simple(
"thing one", "20180215"),
areyousure=True)
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing one")
self.assertEqual(list_of_contracts, [])
data.delete_prices_for_contract_object(futuresContract.simple(
"thing two", "201803"),
areyousure=True)
list_of_contracts = data.contracts_with_price_data_for_instrument_code(
"thing two")
self.assertEqual(list_of_contracts, [])
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018, 12, 1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(
contract1_as_dict,
dict(
instrument_code="EDOLLAR",
expiry_date=(2018, 12, 1),
contract_date="201812",
approx_expiry_offset=0,
),
)
contract1_fromdict = futuresContract.create_from_dict(
contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date,
datetime.datetime(2018, 12, 1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR",
"20181215",
expiry_date=(2018, 12, 15))
self.assertEqual(contract2.expiry_date,
datetime.datetime(2018, 12, 15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR",
"20181215",
approx_expiry_offset=4)
self.assertEqual(contract3.expiry_date,
datetime.datetime(2018, 12, 19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(
dict(instrument_code="EDOLLAR", contract_date="201812"),
dict(priced_rollcycle="HMUZ", hold_rollcycle="Z", carry_offset=1),
)
contract1a = contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b = contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract1c = contract1_with_roll_data.carry_contract()
self.assertEqual(contract1c.date, "20190300")
contract1d = contract1_with_roll_data.next_held_contract()
self.assertEqual(contract1d.date, "20191200")
contract1e = contract1_with_roll_data.previous_held_contract()
self.assertEqual(contract1e.date, "20171200")
contract_ident = futuresContract.identGivenCodeAndContractDate(
"EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")
