def get_diffs(contract, diff_length, start=None, end=None):
"""
Get the price differences for the diff_length
for a given contract from the start to end date.
The diff_length param should be an int representing
the number of months.
"""
collapse, diff_length = helpers.get_collapse(diff_length)
start = helpers.convert_start_date(start, diff_length)
data = _get_data(contract, start=start, end=end, collapse=collapse)
diffs = pd.Series()
for i in xrange(diff_length, len(data)):
diffs[data.index[i]] = data[i] - data[i - diff_length]
return diffs
def get_diffs(contract, diff_length, start=None, end=None):
"""
Get the price differences for the diff_length
for a given contract from the start to end date.
The diff_length param should be an int representing
the number of months.
"""
collapse, diff_length = helpers.get_collapse(diff_length)
start = helpers.convert_start_date(start, diff_length)
data = _get_data(
contract, start=start, end=end, collapse=collapse
)
diffs = pd.Series()
for i in xrange(diff_length, len(data)):
diffs[data.index[i]] = data[i] - data[i - diff_length]
return diffs
def get_quarterly_diffs(contract, diff_length, start, end):
collapse, diff_length = helpers.get_collapse(diff_length)
start = helpers.convert_start_date(start, diff_length)
start_c = '{}{}'.format(QUARTERS_REVERSE[start[5:]], start[:3])
end_c = '{}{}'.format(QUARTERS_REVERSE[end[5:]], end[:3])
starting_index = contracts.QUARTERLY.index(start_c)
ending_index = contracts.QUARTERLY.index(end_c)
all_data = pd.Series()
for i in xrange(starting_index, ending_index + 1):
current = contracts.QUARTERLY[i]
# end_date = '{}-{}'.format(current[1:], QUARTERS[current[0]])
# start_date = datetime.strptime(end_date, '%Y-%m-%d')
# start_date = start_date - relativedelta(months=6)
data = _get_data(
contract + contracts.QUARTERLY[i],
start=start, end=end, collapse=collapse
)
all_data[data.index[-1]] = data[-1] - data[0]
return all_data
def get_quarterly_diffs(contract, diff_length, start, end):
collapse, diff_length = helpers.get_collapse(diff_length)
start = helpers.convert_start_date(start, diff_length)
start_c = '{}{}'.format(QUARTERS_REVERSE[start[5:]], start[:3])
end_c = '{}{}'.format(QUARTERS_REVERSE[end[5:]], end[:3])
starting_index = contracts.QUARTERLY.index(start_c)
ending_index = contracts.QUARTERLY.index(end_c)
all_data = pd.Series()
for i in xrange(starting_index, ending_index + 1):
current = contracts.QUARTERLY[i]
# end_date = '{}-{}'.format(current[1:], QUARTERS[current[0]])
# start_date = datetime.strptime(end_date, '%Y-%m-%d')
# start_date = start_date - relativedelta(months=6)
data = _get_data(contract + contracts.QUARTERLY[i],
start=start,
end=end,
collapse=collapse)
all_data[data.index[-1]] = data[-1] - data[0]
return all_data