def _add_carry_calendar(roll_calendar, roll_parameters_object,
dict_of_futures_contract_prices):
"""
:param roll_calendar: pdDataFrame with current_contract and next_contract
:param roll_parameters_object: rollData
:return: data frame ready to be rollCalendar
"""
list_of_contract_dates = list(roll_calendar.current_contract.values)
contracts_with_roll_data = [
contractDateWithRollParameters(contractDate(str(contract_date)),
roll_parameters_object)
for contract_date in list_of_contract_dates
]
carry_contract_dates = [
contract.carry_contract().date_str
for contract in contracts_with_roll_data
]
# Special case if first carry contract missing with a negative offset
first_carry_contract = carry_contract_dates[0]
if first_carry_contract not in dict_of_futures_contract_prices:
# drop the first roll entirely
carry_contract_dates.pop(0)
# do the same with the calendar or will misalign
first_roll_date = roll_calendar.index[0]
roll_calendar = roll_calendar.drop(first_roll_date)
roll_calendar["carry_contract"] = carry_contract_dates
return roll_calendar
def get_contract_chain(instrument_code, data):
diag_contracts = diagContracts(data)
diag_prices = diagPrices(data)
roll_parameters = diag_contracts.get_roll_parameters(instrument_code)
# Get the last contract currently being used
multiple_prices = diag_prices.get_multiple_prices(instrument_code)
current_contract_dict = multiple_prices.current_contract_dict()
current_contract_list = list(current_contract_dict.values())
furthest_out_contract_date = max(current_contract_list)
furthest_out_contract = contractDateWithRollParameters(
contractDate(furthest_out_contract_date), roll_parameters)
# To give us wiggle room, and ensure we start collecting the new forward a
# little in advance
final_contract = furthest_out_contract.next_priced_contract()
contract_date_chain = (
final_contract.get_unexpired_contracts_from_now_to_contract_date())
# We have a list of contract_date objects, need futureContracts
# create a 'bare' instrument object
instrument_object = futuresInstrument(instrument_code)
contract_object_chain_as_list = [
futuresContract(instrument_object, contract_date_object)
for contract_date_object in contract_date_chain
]
contract_object_chain = listOfFuturesContracts(
contract_object_chain_as_list)
return contract_object_chain
def add_phantom_row(roll_calendar, dict_of_futures_contract_prices: dictFuturesContractFinalPrices,
roll_parameters: rollParameters):
final_row = roll_calendar.iloc[-1]
if datetime.datetime.now()<final_row.name:
return roll_calendar
virtual_datetime = datetime.datetime.now() + datetime.timedelta(days=5)
current_contract_date_str = str(final_row.next_contract)
current_contract = contractDateWithRollParameters(contractDate(current_contract_date_str),
roll_parameters)
next_contract = current_contract.next_held_contract()
carry_contract = current_contract.carry_contract()
list_of_contract_names = dict_of_futures_contract_prices.keys()
try:
assert current_contract.date_str in list_of_contract_names
except:
print("Can't add extra row as data missing")
return roll_calendar
new_row = pd.DataFrame(dict(current_contract = current_contract_date_str,
next_contract = next_contract.date_str,
carry_contract = carry_contract.date_str), index=[virtual_datetime])
roll_calendar = pd.concat([roll_calendar, new_row], axis=0)
return roll_calendar
def get_contract_date_object_with_roll_parameters(self, instrument_code,
contract_date_id):
roll_parameters = self.get_roll_parameters(instrument_code)
contract_date_with_roll_parameters = contractDateWithRollParameters(
contractDate(contract_date_id), roll_parameters)
return contract_date_with_roll_parameters
def create_furthest_out_contract_with_roll_parameters_from_contract_date(
data: dataBlob, instrument_code: str, furthest_out_contract_date: str):
diag_contracts = dataContracts(data)
roll_parameters = diag_contracts.get_roll_parameters(instrument_code)
furthest_out_contract = contractDateWithRollParameters(
contractDate(furthest_out_contract_date), roll_parameters)
return furthest_out_contract
def get_contract_date_object_with_roll_parameters(
self, instrument_code: str,
contract_date_str: str) -> contractDateWithRollParameters:
roll_parameters = self.get_roll_parameters(instrument_code)
contract_date = self.get_contract_date_object(instrument_code,
contract_date_str)
contract_date_with_roll_parameters = contractDateWithRollParameters(
contract_date, roll_parameters)
return contract_date_with_roll_parameters
def extend_current_contracts(self, instrument_code, current_contracts):
price_contract_date = current_contracts.price
forward_contract_date = current_contracts.forward
carry_contract_date = current_contracts.carry
roll_parameters = self.get_roll_parameters(instrument_code)
price_contract = contractDateWithRollParameters(
contractDate(price_contract_date), roll_parameters)
forward_contract = contractDateWithRollParameters(
contractDate(forward_contract_date), roll_parameters)
carry_contract = contractDateWithRollParameters(
contractDate(carry_contract_date), roll_parameters)
preceeding_price_contract_date = price_contract.previous_priced_contract(
)
preceeding_forward_contract_date = forward_contract.previous_priced_contract(
)
subsequent_forward_contract_date = forward_contract.next_held_contract(
)
# Could be up to 6 contracts
# HOW TO PAD THESE ?
all_contracts = [
price_contract,
forward_contract,
preceeding_forward_contract_date,
preceeding_price_contract_date,
subsequent_forward_contract_date,
carry_contract,
]
all_contracts_dates = [contract.date_str for contract in all_contracts]
unique_all_contract_dates = sorted(set(all_contracts_dates))
unique_all_contract_dates = unique_all_contract_dates + \
[missing_contract] * (6 - len(unique_all_contract_dates))
return unique_all_contract_dates
def _initial_contract_to_try_with(list_of_contract_dates: list,
roll_parameters_object: rollParameters,
price_dict: dictFuturesContractFinalPrices)\
->contractWithRollParametersAndPrices:
plausible_earliest_contract_date = list_of_contract_dates[0]
plausible_earliest_contract = contractDateWithRollParameters(
contractDate(plausible_earliest_contract_date), roll_parameters_object
)
try_contract = contractWithRollParametersAndPrices(
plausible_earliest_contract, price_dict
)
return try_contract
