def _build_all_price_data(set_of_price_data, contract_date_info):
current_price_data, next_price_data, carry_price_data = set_of_price_data
all_price_data = pd.concat(
[current_price_data, next_price_data, carry_price_data], axis=1)
all_price_data.columns = [
price_name,
forward_name,
carry_name,
]
all_price_data[contract_name_from_column_name(
price_name)] = contract_date_info.current_contract
all_price_data[contract_name_from_column_name(
forward_name)] = contract_date_info.next_contract
all_price_data[contract_name_from_column_name(
carry_name)] = contract_date_info.carry_contract
return all_price_data
def _change_contracts_to_str(multiple_price_data_aspd):
for price_column in list_of_price_column_names:
multiple_price_data_aspd[price_column] = multiple_price_data_aspd[
price_column].astype(float)
contract_column = contract_name_from_column_name(price_column)
multiple_price_data_aspd[contract_column] = multiple_price_data_aspd[
contract_column].astype(str)
return multiple_price_data_aspd
def as_aligned_pd_row(self,
time_index: datetime.timedelta) -> pd.DataFrame:
new_dict = {
price_name: self.price,
carry_name: self.carry,
forward_name: self.forward,
contract_name_from_column_name(price_name): self.price_contract,
contract_name_from_column_name(carry_name): self.carry_contract,
contract_name_from_column_name(forward_name): self.forward_contract
}
new_dict_with_nones_removed = dict([(key, value)
for key, value in new_dict.items()
if value is not None])
new_df_row = pd.DataFrame(new_dict_with_nones_removed,
index=[time_index])
return new_df_row
def _calc_new_multiple_prices(existing_adjusted_prices: futuresAdjustedPrices,
updated_multiple_prices: futuresMultiplePrices)\
-> (futuresMultiplePrices, str):
last_date_in_current_adj = existing_adjusted_prices.index[-1]
multiple_prices_as_dict = updated_multiple_prices.as_dict()
prices_in_multiple_prices = multiple_prices_as_dict[price_name]
price_contract_column = contract_name_from_column_name(price_name)
last_contract_in_price_data = prices_in_multiple_prices[
price_contract_column][:last_date_in_current_adj][-1]
new_multiple_price_data = prices_in_multiple_prices.prices_after_date(
last_date_in_current_adj)
return new_multiple_price_data, last_contract_in_price_data
def as_dict(self) -> dictFuturesNamedContractFinalPricesWithContractID:
"""
Split up and transform into dict
:return: dictFuturesContractFinalPricesWithContractID, keys PRICE, FORWARD, CARRY
"""
self_as_dict = {}
for price_column_name in list_of_price_column_names:
contract_column_name = contract_name_from_column_name(
price_column_name)
self_as_dict[
price_column_name] = futuresNamedContractFinalPricesWithContractID(
self[price_column_name],
self[contract_column_name],
price_column_name=price_column_name)
self_as_dict = dictFuturesNamedContractFinalPricesWithContractID(
self_as_dict)
return self_as_dict
import pandas as pd
from syscore.objects import missing_instrument
from sysdata.sim.sim_data import simData
from sysobjects.adjusted_prices import futuresAdjustedPrices
from sysobjects.instruments import assetClassesAndInstruments, instrumentCosts, futuresInstrumentWithMetaData
from sysobjects.multiple_prices import futuresMultiplePrices
from sysobjects.dict_of_named_futures_per_contract_prices import price_name, carry_name, forward_name, contract_name_from_column_name
price_contract_name = contract_name_from_column_name(price_name)
carry_contract_name = contract_name_from_column_name(carry_name)
forward_contract_name = contract_name_from_column_name(forward_name)
class futuresSimData(simData):
def __repr__(self):
return "futuresSimData object with %d instruments" % len(
self.get_instrument_list())
def all_asset_classes(self) -> list:
asset_class_data = self.get_instrument_asset_classes()
return asset_class_data.all_asset_classes()
def all_instruments_in_asset_class(self, asset_class: str) -> list:
"""
Return all the instruments in a given asset class
:param asset_class: str
:return: list of instrument codes
