def _get_contract_data_without_checking(self, instrument_code, contract_date):
result_dict = self._mongo.collection.find_one(dict(instrument_code=instrument_code, contract_date = contract_date))
result_dict.pop(MONGO_ID_KEY)
# NOTE: The instrument object inside this contract will be 'bare', with only the instrument code
contract_object = futuresContract.create_from_dict(result_dict)
return contract_object
def _get_contract_data_without_checking(self, instrument_code, contract_date):
result_dict = self._mongo.collection.find_one(dict(instrument_code=instrument_code, contract_date = contract_date))
result_dict.pop(MONGO_ID_KEY)
# NOTE: The instrument object inside this contract will be 'bare', with only the instrument code
contract_object = futuresContract.create_from_dict(result_dict)
return contract_object
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018,12,1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(contract1_as_dict, dict(instrument_code = "EDOLLAR", expiry_date = (2018,12,1),
contract_date = "201812", approx_expiry_offset=0))
contract1_fromdict = futuresContract.create_from_dict(contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date, datetime.datetime(2018,12,1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR", "20181215", expiry_date=(2018,12,15))
self.assertEqual(contract2.expiry_date, datetime.datetime(2018,12,15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR", "20181215", approx_expiry_offset = 4)
self.assertEqual(contract3.expiry_date, datetime.datetime(2018,12,19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(dict(instrument_code = "EDOLLAR",
contract_date = "201812"),
dict(priced_rollcycle = "HMUZ",
hold_rollcycle = "Z",
carry_offset = 1))
contract1a=contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b=contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract1c = contract1_with_roll_data.carry_contract()
self.assertEqual(contract1c.date, "20190300")
contract1d = contract1_with_roll_data.next_held_contract()
self.assertEqual(contract1d.date, "20191200")
contract1e = contract1_with_roll_data.previous_held_contract()
self.assertEqual(contract1e.date, "20171200")
contract_ident = futuresContract.identGivenCodeAndContractDate("EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")
def from_mongo_record_to_contract_dict(mongo_record_dict):
"""
Mongo records contain additional entries: instrument_code, contract_date
These are embedded within the nested dicts, so strip out
:param mongo_record_dict:
:return: dict to pass to futuresContract.create_from_dict
"""
mongo_record_dict.pop("instrument_code")
mongo_record_dict.pop("contract_date")
contract_object = futuresContract.create_from_dict(mongo_record_dict)
return contract_object
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018, 12, 1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(
contract1_as_dict,
dict(instrument_code="EDOLLAR",
expiry_date=(2018, 12, 1),
contract_date="201812",
approx_expiry_offset=0))
contract1_fromdict = futuresContract.create_from_dict(
contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date,
datetime.datetime(2018, 12, 1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR",
"20181215",
expiry_date=(2018, 12, 15))
self.assertEqual(contract2.expiry_date,
datetime.datetime(2018, 12, 15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR",
"20181215",
approx_expiry_offset=4)
self.assertEqual(contract3.expiry_date,
datetime.datetime(2018, 12, 19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(
dict(instrument_code="EDOLLAR", contract_date="201812"),
dict(priced_rollcycle="HMUZ"))
contract1a = contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b = contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract3 = futuresContract.approx_first_priced_futuresContract_after_date(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(1970, 12, 1))
self.assertEqual(contract3.date, "19710300")
list_of_contracts = listOfFuturesContracts.series_of_price_contracts_within_daterange(
futuresInstrument("EDOLLAR"),
rollParameters(priced_rollcycle="HMUZ"),
datetime.datetime(2016, 1, 1), datetime.datetime(2018, 1, 1))
self.assertEqual(list_of_contracts[0].date, "20160300")
self.assertEqual(list_of_contracts[-1].date, "20180300")
contract_ident = futuresContract.identGivenCodeAndContractDate(
"EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")
def test_futuresContract(self):
contract0 = futuresContract(futuresInstrument.create_empty(), "201801")
contract1 = futuresContract.simple("EDOLLAR", "201812")
self.assertEqual(contract1.date, "20181200")
self.assertEqual(contract1.instrument_code, "EDOLLAR")
self.assertTrue(contract1.expiry_date, datetime.datetime(2018, 12, 1))
# dictionaries
contract1_as_dict = contract1.as_dict()
self.assertEqual(
contract1_as_dict,
dict(
instrument_code="EDOLLAR",
expiry_date=(2018, 12, 1),
contract_date="201812",
approx_expiry_offset=0,
),
)
contract1_fromdict = futuresContract.create_from_dict(
contract1_as_dict)
self.assertEqual(contract1_fromdict.instrument_code, "EDOLLAR")
self.assertEqual(contract1_fromdict.expiry_date,
datetime.datetime(2018, 12, 1))
self.assertEqual(contract1_fromdict.date, "20181200")
contract2 = futuresContract.simple("EDOLLAR",
"20181215",
expiry_date=(2018, 12, 15))
self.assertEqual(contract2.expiry_date,
datetime.datetime(2018, 12, 15))
self.assertEqual(contract2.date, "20181215")
contract3 = futuresContract.simple("EDOLLAR",
"20181215",
approx_expiry_offset=4)
self.assertEqual(contract3.expiry_date,
datetime.datetime(2018, 12, 19))
# rolling
contract1_with_roll_data = futuresContract.create_from_dict_with_rolldata(
dict(instrument_code="EDOLLAR", contract_date="201812"),
dict(priced_rollcycle="HMUZ", hold_rollcycle="Z", carry_offset=1),
)
contract1a = contract1_with_roll_data.next_priced_contract()
self.assertEqual(contract1a.date, "20190300")
contract1b = contract1_with_roll_data.previous_priced_contract()
self.assertEqual(contract1b.date, "20180900")
contract1c = contract1_with_roll_data.carry_contract()
self.assertEqual(contract1c.date, "20190300")
contract1d = contract1_with_roll_data.next_held_contract()
self.assertEqual(contract1d.date, "20191200")
contract1e = contract1_with_roll_data.previous_held_contract()
self.assertEqual(contract1e.date, "20171200")
contract_ident = futuresContract.identGivenCodeAndContractDate(
"EDOLLAR", "201801")
self.assertEqual(contract_ident, "EDOLLAR/20180100")