def _iterate_contract(self, direction_function_name, rollcycle_name):
"""
Used for going backward or forwards
:param direction_function_name: str, attribute method of a roll cycle, eithier 'next_year_month' or 'previous_year_month'
:param rollcycle_name: str, attribute method of self.roll_parameters, eithier 'priced_rollcycle' or 'held_rollcycle'
:return: new contractDate object
"""
self._check_valid_date_in_named_rollcycle(rollcycle_name)
rollcycle_to_use = getattr(self.roll_parameters, rollcycle_name)
direction_function = getattr(rollcycle_to_use, direction_function_name)
current_month_str = self.letter_month()
current_year_int = self.year()
new_year_int, new_month_str = direction_function(current_year_int, current_month_str)
new_month_int = month_from_contract_letter(new_month_str)
if self._only_has_month:
new_day_number = 0
else:
new_day_number=self.day()
## we don't pass expiry date as that will change
return contractDateWithRollParameters.contract_date_from_numbers(self.roll_parameters,
new_year_int, new_month_int, new_day_number = new_day_number,
approx_expiry_offset = self.roll_parameters.approx_expiry_offset)
def yearmonth_inrollcycle_after_date(self, reference_date):
"""
Returns a tuple (month,year) which is in this roll cycle; and which is just before reference_date
:param reference_date: datetime.datetime
:return: tuple (int, int)
"""
relevant_year = reference_date.year
relevant_month = reference_date.month
roll_cycle_as_list = self.as_list()
closest_month_index = bisect_right(roll_cycle_as_list, relevant_month)
if closest_month_index==len(roll_cycle_as_list):
## fallen into the next year
# go forward one from the last month
last_month_in_year_as_str = self.cyclestring[-1]
adjusted_year_int, adjusted_month_str = self.next_year_month( relevant_year, last_month_in_year_as_str)
adjusted_month_int = month_from_contract_letter(adjusted_month_str)
else:
adjusted_month_int = roll_cycle_as_list[closest_month_index]
adjusted_year_int = relevant_year
return (adjusted_year_int, adjusted_month_int)
def yearmonth_inrollcycle_before_date(self, reference_date):
"""
Returns a tuple (month,year) which is in this roll cycle; and which is just before reference_date
:param reference_date: datetime.datetime
:return: tuple (int, int)
"""
relevant_year = reference_date.year
relevant_month = reference_date.month
roll_cycle_as_list = self.as_list()
closest_month_index = bisect_left(roll_cycle_as_list,
relevant_month) - 1
if closest_month_index == -1:
# We are to the left of, or equal to the first month, go back one
first_month_in_year_as_str = self.cyclestring[0]
adjusted_year_int, adjusted_month_str = self.previous_year_month(
relevant_year, first_month_in_year_as_str)
adjusted_month_int = month_from_contract_letter(adjusted_month_str)
else:
adjusted_month_int = roll_cycle_as_list[closest_month_index]
adjusted_year_int = relevant_year
return (adjusted_year_int, adjusted_month_int)
def strip_file_names(pathname):
# These won't have .csv attached
file_names = files_with_extension_in_pathname(pathname)
for filename in file_names:
identifier = filename.split("_")[0]
yearcode = int(identifier[len(identifier)-2:])
monthcode = identifier[len(identifier)-3]
if yearcode>50:
year = 1900+yearcode
else:
year = 2000+yearcode
month = month_from_contract_letter(monthcode)
marketcode = identifier[:len(identifier)-3]
instrument = market_map[marketcode]
datecode = str(year)+'{0:02d}'.format(month)
new_file_name = "%s_%s00.csv" % (instrument, datecode)
new_full_name = "%s%s" % (pathname, new_file_name)
old_full_name = "%s%s.csv" % (pathname, filename)
print("Rename %s to\n %s" % (old_full_name, new_full_name))
os.rename(old_full_name, new_full_name)
return None
def yearmonth_inrollcycle_after_date(self, reference_date):
"""
Returns a tuple (month,year) which is in this roll cycle; and which is just before reference_date
:param reference_date: datetime.datetime
:return: tuple (int, int)
"""
relevant_year = reference_date.year
relevant_month = reference_date.month
roll_cycle_as_list = self.as_list()
closest_month_index = bisect_right(roll_cycle_as_list, relevant_month)
if closest_month_index==len(roll_cycle_as_list):
## fallen into the next year
# go forward one from the last month
last_month_in_year_as_str = self.cyclestring[-1]
adjusted_year_int, adjusted_month_str = self.next_year_month( relevant_year, last_month_in_year_as_str)
adjusted_month_int = month_from_contract_letter(adjusted_month_str)
else:
adjusted_month_int = roll_cycle_as_list[closest_month_index]
adjusted_year_int = relevant_year
return (adjusted_year_int, adjusted_month_int)
def _iterate_contract(self, direction_function_name, rollcycle_name):
"""
Used for going backward or forwards
:param direction_function_name: str, attribute method of a roll cycle, eithier 'next_year_month' or 'previous_year_month'
:param rollcycle_name: str, attribute method of self.roll_parameters, eithier 'priced_rollcycle' or 'held_rollcycle'
:return: new contractDate object
"""
self._check_valid_date_in_named_rollcycle(rollcycle_name)
rollcycle_to_use = getattr(self.roll_parameters, rollcycle_name)
direction_function = getattr(rollcycle_to_use, direction_function_name)
current_month_str = self.letter_month()
current_year_int = self.year()
new_year_int, new_month_str = direction_function(current_year_int, current_month_str)
new_month_int = month_from_contract_letter(new_month_str)
if self._only_has_month:
new_day_number = 0
else:
new_day_number=self.day()
## we don't pass expiry date as that will change
return contractDateWithRollParameters.contract_date_from_numbers(self.roll_parameters,
new_year_int, new_month_int, new_day_number = new_day_number,
approx_expiry_offset = self.roll_parameters.approx_expiry_offset)
def _yearmonth_inrollcycle_before_dateNOTUSED(self, reference_date):
## FEELS LIKE WE SHOULD BE WORKING IN CONTRACT DATES RATHER THAN TUPLES HERE...
## IS THIS CODE USED??
"""
Returns a tuple (month,year) which is in this roll cycle; and which is just before reference_date
:param reference_date: datetime.datetime
:return: tuple (int, int)
"""
relevant_year = reference_date.year
relevant_month = reference_date.month
roll_cycle_as_list = self._as_list()
closest_month_index = bisect_left(roll_cycle_as_list,
relevant_month) - 1
if closest_month_index == -1:
# We are to the left of, or equal to the first month, go back one
first_month_in_year_as_str = self._cyclestring[0]
adjusted_year_int, adjusted_month_str = self._previous_year_month_given_tuple(
relevant_year, first_month_in_year_as_str)
adjusted_month_int = month_from_contract_letter(adjusted_month_str)
else:
adjusted_month_int = roll_cycle_as_list[closest_month_index]
adjusted_year_int = relevant_year
return (adjusted_year_int, adjusted_month_int)
def __init__(self, cyclestring):
assert type(cyclestring) is str
self.cyclestring = ''.join(sorted(cyclestring))
self.cycle_as_list = [
month_from_contract_letter(contract_letter)
for contract_letter in self.cyclestring
]
def _as_list(self) -> list:
"""
:return: list with int values referring to month numbers eg January =12 etc
"""
return [
month_from_contract_letter(contract_letter)
for contract_letter in self.cyclestring
]
def contract_given_tuple(contract_date: contractDate, year_value:int, month_str: str):
if contract_date.only_has_month:
new_day_number = 0
else:
new_day_number = contract_date.day()
month_int = month_from_contract_letter(month_str)
date_str = from_contract_numbers_to_contract_string(year_value, month_int, new_day_number)
return contractDate(date_str)
def __init__(self, cyclestring):
assert type(cyclestring) is str
self.cyclestring = ''.join(sorted(cyclestring))
self.cycle_as_list = [month_from_contract_letter(contract_letter)
for contract_letter in self.cyclestring]
if cyclestring == EMPTY_ROLL_CYCLE_STRING:
self._isempty = True
else:
self._isempty = False
def __init__(self, cyclestring):
assert type(cyclestring) is str
self.cyclestring = ''.join(sorted(cyclestring))
self.cycle_as_list = [month_from_contract_letter(contract_letter)
for contract_letter in self.cyclestring]
if cyclestring == EMPTY_ROLL_CYCLE_STRING:
self._isempty = True
else:
self._isempty = False
def _iterate_contract(self, direction_function_name, rollcycle_name):
"""
Used for going backward or forwards
:param direction_function_name: str, attribute method of a roll cycle, either 'next_year_month' or 'previous_year_month'
:param rollcycle_name: str, attribute method of self.roll_parameters, either 'priced_rollcycle' or 'held_rollcycle'
:return: new contractDate object
"""
rollcycle_to_use = getattr(self.roll_parameters, rollcycle_name)
direction_function = getattr(rollcycle_to_use, direction_function_name)
try:
assert self.valid_date_in_named_rollcycle(rollcycle_name) is True
except BaseException:
raise Exception(
"ContractDate %s with %s roll cycle, must be in %s %s"
% (self.date, rollcycle_name, str(rollcycle_to_use))
)
current_month_str = self.letter_month()
current_year_int = self.year()
new_year_int, new_month_str = direction_function(
current_year_int, current_month_str
)
new_month_int = month_from_contract_letter(new_month_str)
if self.only_has_month:
new_day_number = 0
else:
new_day_number = self.day()
# we don't pass expiry date as that will change
return contractDateWithRollParameters.contract_date_from_numbers(
self.roll_parameters,
new_year_int,
new_month_int,
new_day_number=new_day_number,
approx_expiry_offset=self.roll_parameters.approx_expiry_offset,
)
def previous_contract_date(self):
"""
cycle back in contractDate space
:return: a new contractDate
"""
self.check_for_rollcycle()
current_month = self.letter_month()
if self.rollcycle.month_is_first(current_month):
## first period
new_year_number = self.year() - 1
else:
new_year_number = self.year()
new_month_letter = self.rollcycle.previous_month(current_month)
new_month_number = month_from_contract_letter(new_month_letter)
return self.contract_date_from_numbers(
new_year_number,
new_month_number,
new_day_number=self.day(),
rollcycle_string=self.rollcycle.cyclestring
) ## we don't pass expiry date as that will change
def next_contract_date(self):
"""
cycle forwards
:return: a new contractDate
"""
self.check_for_rollcycle()
current_month = self.letter_month()
if self.rollcycle.month_is_last(current_month):
## last period
new_year_number = self.year() + 1
else:
new_year_number = self.year()
new_month_letter = self.rollcycle.next_month(current_month)
new_month_number = month_from_contract_letter(new_month_letter)
return self.contract_date_from_numbers(
new_year_number,
new_month_number,
new_day_number=self.day(),
rollcycle_string=self.rollcycle.cyclestring
) ## we don't pass expiry date as that will change
def yearmonth_inrollcycle_before_date(self, reference_date):
"""
Returns a tuple (month,year) which is in this roll cycle; and which is just before reference_date
:param reference_date: datetime.datetime
:return: tuple (int, int)
"""
relevant_year = reference_date.year
relevant_month = reference_date.month
roll_cycle_as_list = self.as_list()
closest_month_index = bisect_left(roll_cycle_as_list, relevant_month)-1
if closest_month_index==-1:
# We are to the left of, or equal to the first month, go back one
first_month_in_year_as_str = self.cyclestring[0]
adjusted_year_int, adjusted_month_str = self.previous_year_month(relevant_year, first_month_in_year_as_str)
adjusted_month_int = month_from_contract_letter(adjusted_month_str)
else:
adjusted_month_int = roll_cycle_as_list[closest_month_index]
adjusted_year_int = relevant_year
return (adjusted_year_int, adjusted_month_int)
