def _get_multiple_prices_without_checking(
self, instrument_code: str) -> futuresMultiplePrices:
instr_all_price_data = self._read_instrument_prices(instrument_code)
for contract_col_name in list_of_contract_column_names:
instr_all_price_data[contract_col_name] = instr_all_price_data[
contract_col_name].apply(str_of_int)
return futuresMultiplePrices(instr_all_price_data)
def update_multiple_prices_on_roll(
data: dataBlob,
current_multiple_prices: futuresMultiplePrices,
instrument_code: str,
allow_forward_fill: bool = False) -> futuresMultiplePrices:
"""
Roll multiple prices
Adds rows to multiple prices
First row: (optionally) Inferred price and forward prices
If there is no (old) forward contract price, one needs to be inferred
If there is no (old) price contract price, one needs to be inferred
Time index = Last time index + 1 second
Second row:
Time index: Last time index + 1 second
PRICE = last price of the forward contract
PRICE_CONTRACT = previous forward contract
FORWARD_CONTRACT = the new forward contract
FORWARD_PRICE = the new forward price, this can be Nan; it will get filled in
CARRY_CONTRACT = the new carry contract
CARRY_PRICE = the new carry price: if possible infer from price, this can be Nan
:param data: dataBlob
:param current_multiple_prices: futuresMultiplePrices
:return: new futuresMultiplePrices
"""
new_multiple_prices = futuresMultiplePrices(copy(current_multiple_prices))
if allow_forward_fill:
new_multiple_prices = new_multiple_prices.ffill()
# If the last row is all Nans, we can't do this
new_multiple_prices = new_multiple_prices.sort_index()
new_multiple_prices = new_multiple_prices.drop_trailing_nan()
price_column = price_column_names["PRICE"]
fwd_column = price_column_names["FORWARD"]
current_contract_dict = new_multiple_prices.current_contract_dict()
old_forward_contract = current_contract_dict.forward
old_priced_contract_last_price, price_inferred = get_or_infer_latest_price(
new_multiple_prices, price_col=price_column)
old_forward_contract_last_price, forward_inferred = get_or_infer_latest_price(
new_multiple_prices, price_col=fwd_column)
diag_contracts = dataContracts(data)
instrument_object = futuresInstrument(instrument_code)
# Old forward contract -> New price contract
new_price_contract_date_object = (
diag_contracts.get_contract_date_object_with_roll_parameters(
instrument_code, old_forward_contract))
new_forward_contract_date = new_price_contract_date_object.next_held_contract(
)
new_carry_contract_date = new_price_contract_date_object.carry_contract()
new_price_contract_object = futuresContract(
instrument_object, new_price_contract_date_object.contract_date)
new_forward_contract_object = futuresContract(
instrument_object, new_forward_contract_date.contract_date)
new_carry_contract_object = futuresContract(
instrument_object, new_carry_contract_date.contract_date)
new_price_price = old_forward_contract_last_price
new_forward_price = get_final_matched_price_from_contract_object(
data, new_forward_contract_object, new_multiple_prices)
new_carry_price = get_final_matched_price_from_contract_object(
data, new_carry_contract_object, new_multiple_prices)
new_price_contractid = new_price_contract_object.date_str
new_forward_contractid = new_forward_contract_object.date_str
new_carry_contractid = new_carry_contract_object.date_str
# If any prices had to be inferred, then add row with both current priced and forward prices
# Otherwise adjusted prices will break
if price_inferred or forward_inferred:
new_single_row = singleRowMultiplePrices(
price=old_priced_contract_last_price,
forward=old_forward_contract_last_price,
)
new_multiple_prices = new_multiple_prices.add_one_row_with_time_delta(
new_single_row)
# SOME KIND OF WARNING HERE...?
# Now we add a row with the new rolled contracts
newer_single_row = singleRowMultiplePrices(
price=new_price_price,
forward=new_forward_price,
carry=new_carry_price,
price_contract=new_price_contractid,
forward_contract=new_forward_contractid,
carry_contract=new_carry_contractid,
)
newer_multiple_prices = new_multiple_prices.add_one_row_with_time_delta(
newer_single_row)
return newer_multiple_prices
def _get_multiple_prices_without_checking(self, instrument_code: str) ->futuresMultiplePrices:
data =self.arctic.read(instrument_code)
return futuresMultiplePrices(data)
