rollcalendars_from_providedcsv_prices.py

from syscore.constants import arg_not_supplied
from sysdata.sim.csv_futures_sim_data import csvFuturesSimData
from sysobjects.roll_calendars import rollCalendar
from sysdata.csv.csv_roll_calendars import csvRollCalendarData

"""
Generate the roll calendars from existing data
"""


def generate_roll_calendars_from_provided_multiple_csv_prices(
    output_datapath=arg_not_supplied,
):
    if output_datapath is arg_not_supplied:
        print("USING DEFAULT DATAPATH WILL OVERWRITE PROVIDED DATA in /data/futures/")
    else:
        print("Writing to %s" % output_datapath)
    input(
        "This will overwrite any existing roll calendars to %s: CRTL-C if you aren't sure!"
        % str(output_datapath)
    )
    csv_roll_calendars = csvRollCalendarData(datapath=output_datapath)
    sim_futures_data = csvFuturesSimData()

    instrument_list = sim_futures_data.get_instrument_list()

    for instrument_code in instrument_list:
        print(instrument_code)
        multiple_prices = sim_futures_data.get_multiple_prices(instrument_code)

        roll_calendar = rollCalendar.back_out_from_multiple_prices(multiple_prices)
        print("Calendar:")
        print(roll_calendar)

        # We ignore duplicates since this is run regularly
        csv_roll_calendars.add_roll_calendar(
            instrument_code, roll_calendar, ignore_duplication=True
        )


if __name__ == "__main__":
    generate_roll_calendars_from_provided_multiple_csv_prices()