def get_futures_ivol_by_series(futures_series=None,
maturity_type=None,
start_date=history_default_start_date,
end_date=market_data_date,
option_type="call",
option_deltas=None):
# Get series id
series_id = db.get_futures_series(futures_series)['id'].values.tolist()
# Handle maturity type choice
if maturity_type == 'constant_maturity':
table_name = "futures_ivol_constant_maturity_by_delta"
elif maturity_type == 'futures_contract':
table_name = "futures_ivol_fixed_maturity_by_delta"
else:
raise ValueError("maturity_type must be constant_maturity"
" or futures_contract")
# TODO: move this to someplace central
if option_type.lower() == "c":
option_type = "call"
if option_type.lower() == "p":
option_type = "put"
if not option_type.lower() in ["put", "call"]:
raise ValueError("option_type must be put or call")
where_str = " option_type = '{0}'".format(option_type)
where_str += " and date >= '{0}'".format(start_date)
where_str += " and date <= '{0}'".format(end_date)
where_str += " and series_id in {0}".format(
dbutils.format_for_query(series_id))
# Case: specific delta requested
if option_deltas is not None and option_type is not None:
delta_str = list()
for delta in option_deltas:
if delta in option_delta_grid:
if delta < 10:
delta_str.append('ivol_0' + str(delta) + 'd')
else:
delta_str.append('ivol_' + str(delta) + 'd')
s = " select series_id, date, days_to_maturity, {0}".format(delta_str)
s += " from " + table_name
else:
s = " select * from " + table_name
s += " where " + where_str + " order by date asc, days_to_maturity asc"
data = db.read_sql(s)
return data
def get_cftc_positioning_by_series(futures_series=None,
start_date=market_data_date,
end_date=None,
cftc_financial=True,
columns=None):
table_name = 'staging_cftc_positioning_financial'
if not cftc_financial:
table_name = 'staging_cftc_positioning_commodity'
if columns is None:
columns = [
'report_date_as_mm_dd_yyyy', 'open_interest_all',
'dealer_positions_long_all', 'dealer_positions_short_all',
'asset_mgr_positions_long_all', 'asset_mgr_positions_short_all',
'lev_money_positions_long_all', 'lev_money_positions_short_all'
]
# Ensure that we get the most recent data
one_week_prior = start_date - BDay(5)
fs = db.get_futures_series(futures_series)
if len(fs) == 0:
return None
cftc_code = str(fs['cftc_code'].values[0])
s = "select {0}".format(columns)\
.replace('[', '').replace(']', '').replace("'", '') + \
" from " + table_name + \
' where cftc_contract_market_code in {0}'.format(
dbutils.format_for_query([cftc_code]))
s += " and report_date_as_mm_dd_yyyy >= '{0}'".format(one_week_prior)
if end_date is not None:
s += " and report_date_as_mm_dd_yyyy <= '{0}'".format(end_date)
s += ' order by report_date_as_mm_dd_yyyy asc'
data = db.read_sql(s)
data = data.rename(columns={'report_date_as_mm_dd_yyyy': 'date'})
return data
def get_futures_calendar_name(futures_series=None):
s = db.get_futures_series(futures_series=futures_series)
exchange_code = s.iloc[0]['exchange']
calendar_name = utils.DateUtils.exchange_calendar_map[exchange_code]
return calendar_name