fix #1346

data/futures/csvconfig/instrumentconfig.csv

@@ -4,7 +4,7 @@ Instrument,Description,Pointsize,Currency,AssetClass,PerBlock,Percentage,PerTrad
 AEX,Netherlands equity index AEX,200,EUR,Equity,2.8,0,0,EMEA
 AEX_mini,AEX mini,20,EUR,Equity,0.2,0,0,EMEA
 ALUMINIUM,NYMEX Aluminum Index,25,USD,Metals,1.5,0,0,US
-ALUMINIUM_LME,High-Grade Primary Aluminium,25,USD,Metals,0,0,0,EMEA
+ALUMINIUM_LME,High-Grade Primary Aluminium,25,USD,Metals,1.05,0,0,EMEA
 AMERIBOR-1M,CBOE One-Month AMERIBOR Average Rate Index,50,USD,STIR,0,0,0,US
 AMERIBOR-3M,CBOE AMERIBOR Term-90,25,USD,STIR,0,0,0,US
 AMERIBOR-T30,Cboe AMERIBOR Term-30 Futures Index,25,USD,STIR,0,0,0,US
@@ -34,7 +34,7 @@ BOVESPA,Bovespa Index - USD,1,USD,Equity,0.85,0,0,US
 BOVESPA-HK,Brazil Bovespa Stock Index HK,5,HKD,Equity,0,0,0,ASIA
 BRE,BREUSD currency,100000,USD,FX,2.47,0,0,US
 BRENT,NYMEX Brent Financial Futures Index,1000,USD,OilGas,0.85,0,0,US
-BRENT_W,Brent crude summer,1000,USD,OilGas,0,0,0,EMEA
+BRENT_W,Brent crude summer,1000,USD,OilGas,1.05,0,0,EMEA
 BRENT-LAST,Brent Crude Oil - Last Day,1000,USD,OilGas,2.47,0,0,US
 BRR,CME CF Bitcoin Reference Rate,5,USD,Metals,0,0,0,US
 BRREUR,CME CF Bitcoin-Euro Reference Rate,5,EUR,Metals,0,0,0,US
@@ -67,19 +67,19 @@ CHF_micro,CHFUSD micro,12500,USD,FX,0.85,0,0,US
 CHFJPY,CHFJPY,250000,JPY,FX,85,0,0,US
 CHFJPY-ICE,CHFJPY,250000,JPY,FX,85,0,0,US
 CHINA120,CES China 120 Index,50,HKD,Equity,0,0,0,ASIA
-CHINAA-CON,MSCI China A 50 Connect Index,25,USD,Equity,0,0,0,ASIA
+CHINAA-CON,MSCI China A 50 Connect Index,25,USD,Equity,1.05,0,0,ASIA
 CLP,Chilean peso,50000000,USD,FX,0.85,0,0,US
 CNH,SGX US Dollar in offshore Chinese Renminbi (CNH),100000,CNH,FX,11.2,0,0,ASIA
 CNH-CME,CNHUSD on CME,1000000,USD,FX,0,0,0,US
 CNH-CME_micro,CHNHUSD micro CME,10000,CNH,FX,0,0,0,US
 CNH-HK,CNHUSD on HK,100000,CNH,FX,0,0,0,ASIA
 CNH-onshore,SGX onshore Chinese Renminbi (CNY) in US Dollar Futures (CY@SGX),500000,USD,FX,1.8,0,0,ASIA
 CNHEUR,CNHEUR,1000000,EUR,FX,0,0,0,US
-COAL,ICE Rotterdam Coal,1000,USD,OilGas,0,0,0,EMEA
-COAL-GEORDIE,ICE Coals to Newcastle,1000,USD,OilGas,0,0,0,EMEA
+COAL,ICE Rotterdam Coal,1000,USD,OilGas,1.05,0,0,EMEA
+COAL-GEORDIE,ICE Coals to Newcastle,1000,USD,OilGas,1.05,0,0,EMEA
 COAL-RICH-BAY,ICE Richards Bay Coal,1000,USD,OilGas,0,0,0,EMEA
 COCOA,Cocoa NY,10,USD,Ags,3,0,0,US
-COCOA_LDN,Cocoa London,10,GBP,Ags,0,0,0,EMEA
+COCOA_LDN,Cocoa London,10,GBP,Ags,1,0,0,EMEA
 COFFEE,Coffee,375,USD,Ags,3,0,0,US
 COPPER,Copper,25000,USD,Metals,2.42,0,0,US
 COPPER_LME,Grade A Copper - LME,25,USD,Metals,0,0,0,EMEA
@@ -298,8 +298,8 @@ KOSDAQ,KOSDAQ 150 Index,10000,KRW,Equity,2000,0,0,ASIA
 KOSPI,Korean equity index KOSPI,250000,KRW,Equity,0,0.0004,0,ASIA
 KOSPI_mini,KOSPI mini,50000,KRW,Equity,8500,0,0,ASIA
 KOSPI300,KOSPI300 Index,50000,KRW,Equity,0,0,0,ASIA
-KR10,Korean 10 year bond,1000000,KRW,Bond,0,4E-05,0,ASIA
-KR3,Korean 3 year bond,1000000,KRW,Bond,0,4E-05,0,ASIA
+KR10,Korean 10 year bond,1000000,KRW,Bond,0,0.00004,0,ASIA
+KR3,Korean 3 year bond,1000000,KRW,Bond,0,0.00004,0,ASIA
 KRW,KRWUSD SGX,125000,USD,FX,4.5,0,0,ASIA
 KRWJPY,SGX Korean Won in Japanese Yen Futures,25000000,JPY,FX,285,0,0,ASIA
 KRWUSD,Korean Won,125000000,USD,FX,0.85,0,0,US

sysinit/futures/check_instrument_listst.py

@@ -0,0 +1,55 @@
+"""
+This little utility allows you to keep up with your various sets of instruments, basically designed for those that add a
+big load of instruments in one go as is my wont
+
+"""
+import pandas as pd
+from syscore.interactive.progress_bar import progressBar
+from sysproduction.data.prices import diagPrices
+
+
+diag_prices = diagPrices()
+
+all_instruments_with_prices = diag_prices.get_list_of_instruments_with_contract_prices()
+all_instruments_with_prices.sort()
+
+## check for high correlations, likely to be repeats
+
+
+def check_for_high_correlations():
+
+    checked=[]
+    all_dups = []
+    returns = dict()
+    p =progressBar((len(all_instruments_with_prices)**2)/2)
+    for instrument1 in all_instruments_with_prices:
+        if instrument1 not in returns.keys():
+            returns[instrument1] = weekly_perc_returns_last_year(instrument1)
+        for instrument2 in all_instruments_with_prices:
+            if instrument1==instrument2:
+                continue
+            if (instrument2, instrument1) in checked:
+                continue
+            checked.append((instrument1, instrument2))
+            if instrument2 not in returns.keys():
+                returns[instrument2] = weekly_perc_returns_last_year(instrument2)
+
+            ret1 = returns[instrument1]
+            ret2 = returns[instrument2]
+            both = pd.concat([ret1, ret2], axis=1)
+            both.columns=['1','2']
+            both = both.dropna()
+            corr = both.corr()['1']['2']
+            if corr>0.9:
+                all_dups.append("Possible duplicates %s %s corr %.3f" % (instrument1,
+                                                     instrument2, corr))
+                print(all_dups)
+
+            p.iterate()
+
+    return all_dups
+
+def weekly_perc_returns_last_year(instrument_code):
+    weekly_prices = diag_prices.get_adjusted_prices(instrument_code).resample("1W").ffill()
+    weekly_prices_last_year=weekly_prices[-52:]
+    return (weekly_prices_last_year/ weekly_prices_last_year.shift(1))-1

sysinit/futures/repocsv_spotfx_prices.py

@@ -4,9 +4,9 @@
 WARNING WILL OVERWRITE EXISTING!
 """
 from sysdata.csv.csv_spot_fx import csvFxPricesData
-from sysproduction.data.currency_data import fxPricesData
+from sysproduction.data.currency_data import dataCurrency
 
-db_fx_price_data = fxPricesData()
+db_fx_price_data = dataCurrency()
 
 if __name__ == "__main__":
     input("Will overwrite existing prices are you sure?! CTL-C to abort")
@@ -23,6 +23,6 @@
         fx_prices = csv_fx_prices.get_fx_prices(currency_code)
         print(fx_prices)
 
-        db_fx_price_data.add_fx_prices(
+        db_fx_price_data.db_fx_prices_data.add_fx_prices(
             code=currency_code, fx_price_data=fx_prices, ignore_duplication=True
         )