def get_roll_data_for_instrument(instrument_code, data):
"""
Get roll data for an individual instrument
:param instrument_code: str
:param data: dataBlob
:return:
"""
c_data = diagContracts(data)
relevant_contract_dict = c_data.get_labelled_list_of_relevant_contracts(
instrument_code)
relevant_contracts = relevant_contract_dict['contracts']
contract_labels = relevant_contract_dict['labels']
current_contracts = relevant_contract_dict['current_contracts']
v_data = diagVolumes(data)
volumes = v_data.get_normalised_smoothed_volumes_of_contract_list(
instrument_code, relevant_contracts)
# price curve
p_data = diagPrices(data)
contracts_to_match = [current_contracts[k] for k in ('PRICE', 'FORWARD')]
last_matched_prices = p_data.get_last_matched_prices_for_contract_list(
instrument_code,
relevant_contracts,
contracts_to_match=contracts_to_match)
# length to expiries / length to suggested roll
price_expiry = c_data.get_priced_expiry(instrument_code)
carry_expiry = c_data.get_carry_expiry(instrument_code)
when_to_roll = c_data.when_to_roll_priced_contract(instrument_code)
now = datetime.datetime.now()
price_expiry_days = (price_expiry - now).days
carry_expiry_days = (carry_expiry - now).days
when_to_roll_days = (when_to_roll - now).days
# roll status
s_data = diagPositions(data)
roll_status = s_data.get_roll_state(instrument_code)
# Positions
positions = s_data.get_positions_for_instrument_and_contract_list(
instrument_code, relevant_contracts)
results_dict_code = dict(code=instrument_code,
status=roll_status,
roll_expiry=when_to_roll_days,
price_expiry=price_expiry_days,
carry_expiry=carry_expiry_days,
contract_labels=contract_labels,
volumes=volumes,
curve=last_matched_prices,
positions=positions)
return results_dict_code
def relative_volume_in_forward_contract_and_price(
data: dataBlob, instrument_code: str) -> list:
c_data = dataContracts(data)
forward_contract_id = c_data.get_forward_contract_id(instrument_code)
current_contract = c_data.get_priced_contract_id(instrument_code)
v_data = diagVolumes(data)
volumes = v_data.get_normalised_smoothed_volumes_of_contract_list(
instrument_code, [current_contract, forward_contract_id])
return volumes
def get_roll_data_for_instrument(instrument_code, data):
"""
Get roll data for an individual instrument
:param instrument_code: str
:param data: dataBlob
:return:
"""
c_data = diagContracts(data)
relevant_contract_dict = c_data.get_labelled_list_of_relevant_contracts(
instrument_code)
list_of_relevant_contract_date_str = relevant_contract_dict["contracts"]
contract_labels = relevant_contract_dict["labels"]
current_contracts = relevant_contract_dict["current_contracts"]
v_data = diagVolumes(data)
volumes = v_data.get_normalised_smoothed_volumes_of_contract_list(
instrument_code, list_of_relevant_contract_date_str)
# length to expiries / length to suggested roll
price_expiry = c_data.get_priced_expiry(instrument_code)
carry_expiry = c_data.get_carry_expiry(instrument_code)
when_to_roll = c_data.when_to_roll_priced_contract(instrument_code)
now = datetime.datetime.now()
price_expiry_days = (price_expiry - now).days
carry_expiry_days = (carry_expiry - now).days
when_to_roll_days = (when_to_roll - now).days
# roll status
diag_positions = diagPositions(data)
roll_status = diag_positions.get_name_of_roll_state(instrument_code)
# Positions
positions = diag_positions.get_positions_for_instrument_and_contract_list(
instrument_code, list_of_relevant_contract_date_str)
results_dict_code = dict(
code=instrument_code,
status=roll_status,
roll_expiry=when_to_roll_days,
price_expiry=price_expiry_days,
carry_expiry=carry_expiry_days,
contract_labels=contract_labels,
volumes=volumes,
positions=positions,
)
return results_dict_code