# # Copyright 2016 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from pandas import Timestamp from zipline.utils.input_validation import expect_types class FutureChain(object): """ Allows users to look up future contracts. Parameters ---------- root_symbol : str The root symbol of a future chain. as_of_date : pandas.Timestamp Date at which the chain determination is rooted. I.e. the existing contract whose notice date is first after this date is the primary contract, etc. chain: list List of assets that represent the chain of contracts for the given root symbol at the given as_of_date. Attributes ---------- root_symbol : str The root symbol of the future chain. as_of_date: Timestamp The current as-of date of this future chain. """ @expect_types(root_symbol=str, as_of_date=Timestamp) def __init__(self, root_symbol, as_of_date, contracts): self._root_symbol = root_symbol self._as_of_date = as_of_date self._contracts = contracts def __repr__(self): return "FutureChain('%s', '%s')" % ( self.root_symbol, self.as_of_date.strftime('%Y-%m-%d')) @property def root_symbol(self): """ The root symbol for this future chain. Returns ------- root_symbol: str The root symbol for this chain. """ return self._root_symbol @property def as_of_date(self): """ The as-of date of this future chain. Returns ------- as_of_date: pd.Timestamp The as_of date for this chain. """ return self._as_of_date @property def contracts(self): """ Returns ------- contracts: list The contracts wrapped by this chain. """ return list(self._contracts) def __getitem__(self, key): return self._contracts[key] def __len__(self): return len(self._contracts) def __iter__(self): return iter(self._contracts) # http://www.cmegroup.com/product-codes-listing/month-codes.html CME_CODE_TO_MONTH = dict(zip('FGHJKMNQUVXZ', range(1, 13))) MONTH_TO_CME_CODE = dict(zip(range(1, 13), 'FGHJKMNQUVXZ')) def cme_code_to_month(code): """ Convert a CME month code to a month index. The month codes are as follows: 'F' -> 1 (January) 'G' -> 2 (February) 'H' -> 3 (March) 'J' -> 4 (April) 'K' -> 5 (May) 'M' -> 6 (June) 'N' -> 7 (July) 'Q' -> 8 (August) 'U' -> 9 (September) 'V' -> 10 (October) 'X' -> 11 (November) 'Z' -> 12 (December) Parameters ---------- code : str The month code to look up. Returns ------- month : int The month number (starting at 1 for January) corresponding to the requested code. See Also -------- month_to_cme_code Inverse of this function. """ return CME_CODE_TO_MONTH[code] def month_to_cme_code(month): """ Convert a month to a CME code. The month codes are as follows: 1 (January) -> 'F' 2 (February) -> 'G' 3 (March) -> 'H' 4 (April) -> 'J' 5 (May) -> 'K' 6 (June) -> 'M' 7 (July) -> 'N' 8 (August) -> 'Q' 9 (September) -> 'U' 10 (October) -> 'V' 11 (November) -> 'X' 12 (December) -> 'Z' Parameters ---------- month : int The month number (starting at 1 for January) corresponding to the requested code. Returns ------- code : str The month code to look up. See Also -------- cme_code_to_month Inverse of this function. """ return MONTH_TO_CME_CODE[month]