def get_futures_daily_close_data(tickers: list,
start_date: datetime = None,
end_date: datetime = None) -> pd.DataFrame:
"""
Returns a DataFrame with the daily close of futures between start and end dates. N/A are rolled forward if they
exists before the last observation date of the resp. futures contract.
:param tickers: list of strings
:param start_date: datetime
:param end_date: datetime
:return: DataFrame
"""
# get the raw data from the financial database
fin_db = FinancialDatabase(__MY_DATABASE_NAME__)
raw_futures_data = fin_db.get_close_price_df(tickers, start_date, end_date)
# clean the data by rolling N/A forward
cleaned_futures_data = raw_futures_data.fillna(method='ffill')
# get last observation date per ticker
ticker_last_obs_date_dict = fin_db.get_ticker_underlying_attribute_dict(
tickers, Underlying.latest_observation_date_with_values)
# loop through each column and set each row to N/A if it is after the last observation date for the resp. ticker
for col_i in range(cleaned_futures_data.shape[1]):
last_obs_date = ticker_last_obs_date_dict[list(cleaned_futures_data)
[col_i]]
try:
last_obs_date_index = cleaned_futures_data.index.get_loc(
last_obs_date)
except KeyError: # in case when the last observation period is after end_date
last_obs_date_index = cleaned_futures_data.shape[0]
cleaned_futures_data.iloc[last_obs_date_index + 1:, col_i] = np.nan
return cleaned_futures_data
def get_expiry_date_dict(tickers: list) -> dict:
"""
Return a dictionary: keys = tickers (str), values = expiry dates (datetime)
:param tickers: list of strings
:return: dictionary
"""
fin_db = FinancialDatabase(__MY_DATABASE_NAME__)
asset_class = fin_db.get_ticker_underlying_attribute_dict(
tickers, Underlying.underlying_type)
desc = fin_db.get_ticker_underlying_attribute_dict(tickers,
Underlying.description)
result_dict = {}
for ticker in tickers:
if asset_class[ticker] == 'FUTURE':
expiry_desc = desc[ticker]
result_dict.update({
ticker:
datetime.strptime(expiry_desc.split()[1], '%Y-%m-%d')
})
else:
logger.warning(
'{} is of type {} and does not have a expiry date.'.format(
ticker, asset_class[ticker]))
return result_dict
