def build_and_write_roll_calendar(instrument_code,
output_datapath=arg_not_supplied,
check_before_writing=True):
if output_datapath is arg_not_supplied:
print(
"*** WARNING *** This will overwrite the provided roll calendar. Might be better to use a temporary directory!"
)
else:
print("Writing to %s" % output_datapath)
arctic_prices = arcticFuturesContractPriceData()
mongo_rollparameters = mongoRollParametersData()
csv_roll_calendars = csvRollCalendarData(output_datapath)
dict_of_all_futures_contract_prices = arctic_prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices(
)
roll_parameters_object = mongo_rollparameters.get_roll_parameters(
instrument_code)
# might take a few seconds
print("Prepping roll calendar... might take a few seconds")
roll_calendar = rollCalendar.create_from_prices(
dict_of_futures_contract_prices, roll_parameters_object)
# checks - this might fail
roll_calendar.check_if_date_index_monotonic()
# this should never fail
roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices)
# Write to csv
# Will not work if an existing calendar exists
if check_before_writing:
check_happy_to_write = input(
"Are you ok to write this csv to path %s? [might be worth writing and hacking manually] (yes/other)?"
% csv_roll_calendars.datapath)
else:
check_happy_to_write = "yes"
if check_happy_to_write == "yes":
print("Adding roll calendar")
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
else:
print("Not writing")
return roll_calendar
def build_and_write_roll_calendar(instrument_code,
output_datapath=None,
check_before_writing=True):
artic_prices = arcticFuturesContractPriceData()
mongo_rollparameters = mongoRollParametersData()
csv_roll_calendars = csvRollCalendarData(output_datapath)
dict_of_all_futures_contract_prices = artic_prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices(
)
roll_parameters_object = mongo_rollparameters.get_roll_parameters(
instrument_code)
# might take a few seconds
print("Prepping roll calendar... might take a few seconds")
roll_calendar = rollCalendar.create_from_prices(
dict_of_futures_contract_prices, roll_parameters_object)
# checks - this might fail
assert roll_calendar.check_if_date_index_monotonic()
# this should never fail
assert roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices)
# Write to csv
# Will not work if an existing calendar exists
if check_before_writing:
check_happy_to_write = input(
"Are you ok to write this csv? [might be worth writing and hacking manually] (yes/other)?"
)
else:
check_happy_to_write = "yes"
if check_happy_to_write == "yes":
csv_roll_calendars.add_roll_calendar(roll_calendar,
instrument_code,
ignore_duplication=True)
else:
print("Not writing")
return roll_calendar