def process_adjusted_prices_single_instrument(instrument_code,
csv_adj_data_path=None,
ADD_TO_ARCTIC=True,
ADD_TO_CSV=False):
(
arctic_multiple_prices,
arctic_adjusted_prices,
csv_adjusted_prices,
) = _get_data_inputs(csv_adj_data_path)
multiple_prices = arctic_multiple_prices.get_multiple_prices(
instrument_code)
adjusted_prices = futuresAdjustedPrices.stich_multiple_prices(
multiple_prices, forward_fill=True)
print(adjusted_prices)
if ADD_TO_ARCTIC:
arctic_adjusted_prices.add_adjusted_prices(instrument_code,
adjusted_prices,
ignore_duplication=True)
if ADD_TO_CSV:
csv_adjusted_prices.add_adjusted_prices(instrument_code,
adjusted_prices,
ignore_duplication=True)
return adjusted_prices
def _roll_adjusted_and_multiple_prices(data, instrument_code):
"""
Roll multiple and adjusted prices
THE POSITION MUST BE ZERO IN THE PRICED CONTRACT! WE DON'T CHECK THIS HERE
:param data: dataBlob
:param instrument_code: str
:return:
"""
print(landing_strip(80))
print("")
print("Rolling adjusted prices!")
print("")
diag_prices = diagPrices(data)
current_multiple_prices = diag_prices.get_multiple_prices(instrument_code)
# Only required for potential rollback
current_adjusted_prices = diag_prices.get_adjusted_prices(instrument_code)
try:
updated_multiple_prices = update_multiple_prices_on_roll(data, current_multiple_prices, instrument_code)
new_adj_prices = futuresAdjustedPrices.stich_multiple_prices(updated_multiple_prices)
except Exception as e:
data.log.warn("%s : went wrong when rolling: No roll has happened" % e)
return failure
# We want user input before we do anything
compare_old_and_new_prices([current_multiple_prices, updated_multiple_prices,
current_adjusted_prices, new_adj_prices],
["Current multiple prices", "New multiple prices",
"Current adjusted prices", "New adjusted prices"])
print("")
confirm_roll = input("Confirm roll adjusted prices for %s are you sure y/n:" % instrument_code)
if confirm_roll!="y":
print("\nUSER DID NOT WANT TO ROLL: Setting roll status back to previous state")
return failure
try:
# Apparently good let's try and write rolled data
price_updater = updatePrices(data)
price_updater.add_adjusted_prices(instrument_code, new_adj_prices,
ignore_duplication=True)
price_updater.add_multiple_prices(instrument_code, updated_multiple_prices,
ignore_duplication=True)
except Exception as e:
data.log.warn("%s went wrong when rolling: Going to roll-back to original multiple/adjusted prices" % e)
rollback_adjustment(data, instrument_code, current_adjusted_prices, current_multiple_prices)
return failure
return success
"""
We create adjusted prices using multiple prices stored in arctic
We then store those adjusted prices in arctic
"""
from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
from sysdata.arctic.arctic_adjusted_prices import arcticFuturesAdjustedPricesData
from sysdata.futures.adjusted_prices import futuresAdjustedPrices
if __name__ == '__main__':
arctic_multiple_prices = arcticFuturesMultiplePricesData()
artic_adjusted_prices = arcticFuturesAdjustedPricesData()
instrument_list = arctic_multiple_prices.get_list_of_instruments()
for instrument_code in instrument_list:
print(instrument_code)
multiple_prices = arctic_multiple_prices.get_multiple_prices(instrument_code)
adjusted_prices = futuresAdjustedPrices.stich_multiple_prices(multiple_prices)
print(adjusted_prices)
artic_adjusted_prices.add_adjusted_prices(instrument_code, adjusted_prices)
We create adjusted prices using multiple prices stored in arctic
We then store those adjusted prices in arctic
"""
from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
from sysdata.arctic.arctic_adjusted_prices import arcticFuturesAdjustedPricesData
from sysdata.futures.adjusted_prices import futuresAdjustedPrices
if __name__ == '__main__':
arctic_multiple_prices = arcticFuturesMultiplePricesData()
artic_adjusted_prices = arcticFuturesAdjustedPricesData()
instrument_list = arctic_multiple_prices.get_list_of_instruments()
for instrument_code in instrument_list:
print(instrument_code)
multiple_prices = arctic_multiple_prices.get_multiple_prices(
instrument_code)
adjusted_prices = futuresAdjustedPrices.stich_multiple_prices(
multiple_prices, forward_fill=True)
print(adjusted_prices)
artic_adjusted_prices.add_adjusted_prices(instrument_code,
adjusted_prices,
ignore_duplication=True)