def test_rollcycle(self):
data = quandlFuturesContractPriceData()
ans = data.get_prices_for_instrument_code_and_contract_date(
"EDOLLAR", "200203")
self.assertAlmostEqual(ans[ans.index == ans.index[0]].SETTLE[0],
92.62,
places=2)
def get_and_write_prices_for_contract_list_from_quandl_to_arctic(list_of_contracts):
quandl_prices_data = quandlFuturesContractPriceData()
arctic_prices_data = arcticFuturesContractPriceData()
for contract_object in list_of_contracts:
print("Processing %s" % contract_object.ident())
quandl_price = quandl_prices_data.get_prices_for_contract_object(contract_object)
if quandl_price.empty:
print("Problem reading price data this contract - skipping")
else:
print("Read ok, trying to write to arctic")
try:
arctic_prices_data.write_prices_for_contract_object(contract_object, quandl_price)
except:
raise Exception("Some kind of issue with arctic - stopping so you can fix it")
def get_vol_atr_compare(list_of_contracts):
quandl_prices_data = quandlFuturesContractPriceData()
ratio_list = []
for contract_object in list_of_contracts:
price_frame = quandl_prices_data.get_prices_for_contract_object(
contract_object)
price_returns = price_frame.SETTLE.diff()
std_series = price_returns.rolling(20).std()
atr_series = atr(price_frame)
ratio_series = std_series / atr_series
avg_ratio = ratio_series.mean()
print(avg_ratio)
ratio_list.append(avg_ratio)
print("Average ratio DAILY STD DEV /ATR = %.3f" % np.nanmean(ratio_list))
def get_and_write_prices_for_contract_list_from_quandl_to_arctic(
list_of_contracts):
quandl_prices_data = quandlFuturesContractPriceData()
arctic_prices_data = arcticFuturesContractPriceData()
for contract_object in list_of_contracts:
print("Processing %s" % contract_object.ident())
quandl_price = quandl_prices_data.get_prices_for_contract_object(
contract_object)
if quandl_price.empty:
print("Problem reading price data this contract - skipping")
else:
print("Read ok, trying to write to arctic")
try:
arctic_prices_data.write_prices_for_contract_object(
contract_object, quandl_price)
except:
raise Exception(
"Some kind of issue with arctic - stopping so you can fix it"
)