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setup not properly merged
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Rob Carver committed Feb 8, 2024
1 parent cd1f3b5 commit aa3ab67
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Showing 9 changed files with 328 additions and 7 deletions.
73 changes: 73 additions & 0 deletions data/futures/roll_calendars_csv/BITCOIN#1.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2017-12-18 15:00:00,20180100,20180200,20180200
2018-01-18 00:00:00,20180200,20180300,20180300
2018-02-15 02:00:00,20180300,20180400,20180400
2018-03-19 01:00:00,20180400,20180500,20180500
2018-04-17 08:00:00,20180500,20180600,20180600
2018-05-18 07:00:00,20180600,20180700,20180700
2018-06-25 07:00:00,20180700,20180800,20180800
2018-07-18 04:00:00,20180800,20180900,20180900
2018-08-19 23:00:00,20180900,20181000,20181000
2018-09-17 12:00:00,20181000,20181100,20181100
2018-10-18 04:00:00,20181100,20181200,20181200
2018-11-16 09:00:00,20181200,20190100,20190100
2018-12-18 08:00:00,20190100,20190200,20190200
2019-01-18 18:00:00,20190200,20190300,20190300
2019-02-15 10:00:00,20190300,20190400,20190400
2019-03-18 10:00:00,20190400,20190500,20190500
2019-04-17 03:00:00,20190500,20190600,20190600
2019-05-17 00:00:00,20190600,20190700,20190700
2019-06-17 00:00:00,20190700,20190800,20190800
2019-07-18 00:00:00,20190800,20190900,20190900
2019-08-19 15:00:00,20190900,20191000,20191000
2019-09-17 05:00:00,20191000,20191100,20191100
2019-10-18 00:00:00,20191100,20191200,20191200
2019-11-18 14:00:00,20191200,20200100,20200100
2019-12-18 14:00:00,20200100,20200200,20200200
2020-01-17 00:00:00,20200200,20200300,20200300
2020-02-17 00:00:00,20200300,20200400,20200400
2020-03-18 00:00:00,20200400,20200500,20200500
2020-04-17 00:00:00,20200500,20200600,20200600
2020-05-18 00:00:00,20200600,20200700,20200700
2020-06-17 12:00:00,20200700,20200800,20200800
2020-07-17 01:00:00,20200800,20200900,20200900
2020-08-18 00:00:00,20200900,20201000,20201000
2020-09-17 00:00:00,20201000,20201100,20201100
2020-10-19 00:00:00,20201100,20201200,20201200
2020-11-17 00:00:00,20201200,20210100,20210100
2020-12-18 01:00:00,20210100,20210200,20210200
2021-01-18 00:00:00,20210200,20210300,20210300
2021-02-15 00:00:00,20210300,20210400,20210400
2021-03-18 00:00:00,20210400,20210500,20210500
2021-04-16 00:00:00,20210500,20210600,20210600
2021-05-18 01:00:00,20210600,20210700,20210700
2021-06-17 02:00:00,20210700,20210800,20210800
2021-07-19 08:00:00,20210800,20210900,20210900
2021-08-18 01:00:00,20210900,20211000,20211000
2021-09-17 02:00:00,20211000,20211100,20211100
2021-10-18 01:00:00,20211100,20211200,20211200
2021-11-17 04:00:00,20211200,20220100,20220100
2021-12-17 01:00:00,20220100,20220200,20220200
2022-01-18 01:00:00,20220200,20220300,20220300
2022-02-15 01:00:00,20220300,20220400,20220400
2022-03-18 01:00:00,20220400,20220500,20220500
2022-04-18 01:00:00,20220500,20220600,20220600
2022-05-18 03:00:00,20220600,20220700,20220700
2022-06-17 02:00:00,20220700,20220800,20220800
2022-07-18 01:00:00,20220800,20220900,20220900
2022-08-18 01:00:00,20220900,20221000,20221000
2022-09-16 14:00:00,20221000,20221100,20221100
2022-10-18 01:00:00,20221100,20221200,20221200
2022-11-17 23:00:00,20221200,20230100,20230100
2022-12-19 16:00:00,20230100,20230200,20230200
2023-01-18 14:30:00,20230200,20230300,20230300
2023-02-15 15:00:00,20230300,20230400,20230400
2023-03-17 13:30:00,20230400,20230500,20230500
2023-04-17 14:30:00,20230500,20230600,20230600
2023-05-18 15:00:00,20230600,20230700,20230700
2023-06-16 20:00:00,20230700,20230800,20230800
2023-07-18 14:30:00,20230800,20230900,20230900
2023-08-18 14:30:00,20230900,20231000,20231000
2023-09-18 18:00:00,20231000,20231100,20231100
2023-10-18 14:30:00,20231100,20231200,20231200
2023-11-17 14:30:00,20231200,20240100,20240100
73 changes: 73 additions & 0 deletions data/futures/roll_calendars_csv/BITCOIN#2.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2017-12-18 15:00:00,20180200,20180300,20180300
2018-01-18 00:00:00,20180300,20180400,20180400
2018-02-15 02:00:00,20180400,20180500,20180500
2018-03-19 01:00:00,20180500,20180600,20180600
2018-04-17 08:00:00,20180600,20180700,20180700
2018-05-18 07:00:00,20180700,20180800,20180800
2018-06-25 07:00:00,20180800,20180900,20180900
2018-07-18 04:00:00,20180900,20181000,20181000
2018-08-19 23:00:00,20181000,20181100,20181100
2018-09-17 12:00:00,20181100,20181200,20181200
2018-10-18 04:00:00,20181200,20190100,20190100
2018-11-16 09:00:00,20190100,20190200,20190200
2018-12-18 08:00:00,20190200,20190300,20190300
2019-01-18 18:00:00,20190300,20190400,20190400
2019-02-15 10:00:00,20190400,20190500,20190500
2019-03-18 10:00:00,20190500,20190600,20190600
2019-04-17 03:00:00,20190600,20190700,20190700
2019-05-17 00:00:00,20190700,20190800,20190800
2019-06-17 00:00:00,20190800,20190900,20190900
2019-07-18 00:00:00,20190900,20191000,20191000
2019-08-19 15:00:00,20191000,20191100,20191100
2019-09-17 05:00:00,20191100,20191200,20191200
2019-10-18 00:00:00,20191200,20200100,20200100
2019-11-18 14:00:00,20200100,20200200,20200200
2019-12-18 14:00:00,20200200,20200300,20200300
2020-01-17 00:00:00,20200300,20200400,20200400
2020-02-17 00:00:00,20200400,20200500,20200500
2020-03-18 00:00:00,20200500,20200600,20200600
2020-04-17 00:00:00,20200600,20200700,20200700
2020-05-18 00:00:00,20200700,20200800,20200800
2020-06-17 12:00:00,20200800,20200900,20200900
2020-07-17 01:00:00,20200900,20201000,20201000
2020-08-18 00:00:00,20201000,20201100,20201100
2020-09-17 00:00:00,20201100,20201200,20201200
2020-10-19 00:00:00,20201200,20210100,20210100
2020-11-17 00:00:00,20210100,20210200,20210200
2020-12-18 01:00:00,20210200,20210300,20210300
2021-01-18 00:00:00,20210300,20210400,20210400
2021-02-15 00:00:00,20210400,20210500,20210500
2021-03-18 00:00:00,20210500,20210600,20210600
2021-04-16 00:00:00,20210600,20210700,20210700
2021-05-18 01:00:00,20210700,20210800,20210800
2021-06-17 02:00:00,20210800,20210900,20210900
2021-07-19 08:00:00,20210900,20211000,20211000
2021-08-18 01:00:00,20211000,20211100,20211100
2021-09-17 02:00:00,20211100,20211200,20211200
2021-10-18 01:00:00,20211200,20220100,20220100
2021-11-17 04:00:00,20220100,20220200,20220200
2021-12-17 01:00:00,20220200,20220300,20220300
2022-01-18 01:00:00,20220300,20220400,20220400
2022-02-15 01:00:00,20220400,20220500,20220500
2022-03-18 01:00:00,20220500,20220600,20220600
2022-04-18 01:00:00,20220600,20220700,20220700
2022-05-18 03:00:00,20220700,20220800,20220800
2022-06-17 02:00:00,20220800,20220900,20220900
2022-07-18 01:00:00,20220900,20221000,20221000
2022-08-18 01:00:00,20221000,20221100,20221100
2022-09-16 14:00:00,20221100,20221200,20221200
2022-10-18 01:00:00,20221200,20230100,20230100
2022-11-17 23:00:00,20230100,20230200,20230200
2022-12-19 16:00:00,20230200,20230300,20230300
2023-01-18 14:30:00,20230300,20230400,20230400
2023-02-15 15:00:00,20230400,20230500,20230500
2023-03-17 13:30:00,20230500,20230600,20230600
2023-04-17 14:30:00,20230600,20230700,20230700
2023-05-18 15:00:00,20230700,20230800,20230800
2023-06-16 20:00:00,20230800,20230900,20230900
2023-07-18 14:30:00,20230900,20231000,20231000
2023-08-18 14:30:00,20231000,20231100,20231100
2023-09-18 18:00:00,20231100,20231200,20231200
2023-10-18 14:30:00,20231200,20240100,20240100
2023-11-17 14:30:00,20240100,20240200,20240200
73 changes: 73 additions & 0 deletions data/futures/roll_calendars_csv/BITCOIN#3.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2017-12-18 15:00:00,20180300,20180400,20180400
2018-01-18 00:00:00,20180400,20180500,20180500
2018-03-14 12:00:00,20180500,20180600,20180600
2018-03-19 01:00:00,20180600,20180700,20180700
2018-04-17 08:00:00,20180700,20180800,20180800
2018-05-18 07:00:00,20180800,20180900,20180900
2018-06-25 07:00:00,20180900,20181000,20181000
2018-07-18 04:00:00,20181000,20181100,20181100
2018-08-19 23:00:00,20181100,20181200,20181200
2018-09-17 23:00:00,20181200,20190100,20190100
2018-10-18 04:00:00,20190100,20190200,20190200
2018-11-16 09:00:00,20190200,20190300,20190300
2018-12-18 08:00:00,20190300,20190400,20190400
2019-01-18 18:00:00,20190400,20190500,20190500
2019-02-15 10:00:00,20190500,20190600,20190600
2019-03-18 10:00:00,20190600,20190700,20190700
2019-04-17 03:00:00,20190700,20190800,20190800
2019-05-17 00:00:00,20190800,20190900,20190900
2019-06-17 00:00:00,20190900,20191000,20191000
2019-07-18 00:00:00,20191000,20191100,20191100
2019-08-19 15:00:00,20191100,20191200,20191200
2019-09-17 05:00:00,20191200,20200100,20200100
2019-10-18 00:00:00,20200100,20200200,20200200
2019-11-18 14:00:00,20200200,20200300,20200300
2019-12-18 14:00:00,20200300,20200400,20200400
2020-01-17 00:00:00,20200400,20200500,20200500
2020-02-17 00:00:00,20200500,20200600,20200600
2020-03-18 00:00:00,20200600,20200700,20200700
2020-04-17 00:00:00,20200700,20200800,20200800
2020-05-18 00:00:00,20200800,20200900,20200900
2020-06-17 12:00:00,20200900,20201000,20201000
2020-07-17 01:00:00,20201000,20201100,20201100
2020-08-18 00:00:00,20201100,20201200,20201200
2020-09-17 00:00:00,20201200,20210100,20210100
2020-10-19 00:00:00,20210100,20210200,20210200
2020-11-17 00:00:00,20210200,20210300,20210300
2020-12-18 01:00:00,20210300,20210400,20210400
2021-01-18 00:00:00,20210400,20210500,20210500
2021-02-15 00:00:00,20210500,20210600,20210600
2021-03-18 00:00:00,20210600,20210700,20210700
2021-04-16 00:00:00,20210700,20210800,20210800
2021-05-18 01:00:00,20210800,20210900,20210900
2021-06-17 02:00:00,20210900,20211000,20211000
2021-07-19 08:00:00,20211000,20211100,20211100
2021-08-18 01:00:00,20211100,20211200,20211200
2021-09-17 02:00:00,20211200,20220100,20220100
2021-10-18 01:00:00,20220100,20220200,20220200
2021-11-17 04:00:00,20220200,20220300,20220300
2021-12-17 01:00:00,20220300,20220400,20220400
2022-01-18 01:00:00,20220400,20220500,20220500
2022-02-15 01:00:00,20220500,20220600,20220600
2022-03-18 01:00:00,20220600,20220700,20220700
2022-04-18 01:00:00,20220700,20220800,20220800
2022-05-18 03:00:00,20220800,20220900,20220900
2022-06-17 02:00:00,20220900,20221000,20221000
2022-07-18 01:00:00,20221000,20221100,20221100
2022-08-18 01:00:00,20221100,20221200,20221200
2022-09-16 14:00:00,20221200,20230100,20230100
2022-10-18 01:00:00,20230100,20230200,20230200
2022-11-17 23:00:00,20230200,20230300,20230300
2022-12-19 16:00:00,20230300,20230400,20230400
2023-01-18 14:30:00,20230400,20230500,20230500
2023-02-15 15:00:00,20230500,20230600,20230600
2023-03-17 13:30:00,20230600,20230700,20230700
2023-04-17 14:30:00,20230700,20230800,20230800
2023-05-18 15:00:00,20230800,20230900,20230900
2023-06-16 20:00:00,20230900,20231000,20231000
2023-07-18 14:30:00,20231000,20231100,20231100
2023-08-18 14:30:00,20231100,20231200,20231200
2023-09-18 18:00:00,20231200,20240100,20240100
2023-10-18 14:30:00,20240100,20240200,20240200
2023-11-17 14:30:00,20240200,20240300,20240300
5 changes: 4 additions & 1 deletion data/futures/roll_calendars_csv/EDOLLAR#1.csv
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Expand Up @@ -120,4 +120,7 @@ DATE_TIME,current_contract,next_contract,carry_contract
2022-03-21 13:00:00,20240300,20240600,20231200
2022-06-21 14:00:00,20240600,20240900,20240300
2022-09-20 14:30:00,20240900,20241200,20240600
2022-11-03 13:30:00,20241200,20250300,20240900
2022-12-20 14:30:00,20241200,20250300,20240900
2023-03-20 13:30:00,20250300,20250600,20241200
2023-06-20 23:00:00,20250600,20250900,20250300
2023-06-20 23:00:00,20250900,20251200,20250600
35 changes: 35 additions & 0 deletions data/futures/roll_calendars_csv/ETHEREUM#1.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-02-07 23:00:00,20210200,20210300,20210300
2021-02-08 19:00:00,20210300,20210400,20210400
2021-03-08 01:00:00,20210400,20210500,20210500
2021-04-06 01:00:00,20210500,20210600,20210600
2021-05-07 12:00:00,20210600,20210700,20210700
2021-06-07 02:00:00,20210700,20210800,20210800
2021-07-07 02:00:00,20210800,20210900,20210900
2021-08-06 01:00:00,20210900,20211000,20211000
2021-09-06 03:00:00,20211000,20211100,20211100
2021-10-07 01:00:00,20211100,20211200,20211200
2021-11-05 13:00:00,20211200,20220100,20220100
2021-12-07 12:00:00,20220100,20220200,20220200
2022-01-07 03:00:00,20220200,20220300,20220300
2022-02-04 03:00:00,20220300,20220400,20220400
2022-03-07 08:00:00,20220400,20220500,20220500
2022-04-06 01:00:00,20220500,20220600,20220600
2022-05-06 09:00:00,20220600,20220700,20220700
2022-06-06 23:00:00,20220700,20220800,20220800
2022-07-07 14:00:00,20220800,20220900,20220900
2022-08-07 23:00:00,20220900,20221000,20221000
2022-09-06 12:00:00,20221000,20221100,20221100
2022-10-07 13:00:00,20221100,20221200,20221200
2022-11-07 15:00:00,20221200,20230100,20230100
2022-12-07 16:00:00,20230100,20230200,20230200
2023-01-06 20:00:00,20230200,20230300,20230300
2023-02-03 23:00:00,20230300,20230400,20230400
2023-03-07 23:00:00,20230400,20230500,20230500
2023-04-06 14:30:00,20230500,20230600,20230600
2023-05-08 23:00:00,20230600,20230700,20230700
2023-06-06 23:00:00,20230700,20230800,20230800
2023-07-07 23:00:00,20230800,20230900,20230900
2023-08-07 23:00:00,20230900,20231000,20231000
2023-09-06 15:00:00,20231000,20231100,20231100
2023-10-06 23:00:00,20231100,20231200,20231200
35 changes: 35 additions & 0 deletions data/futures/roll_calendars_csv/ETHEREUM#2.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-02-07 23:00:00,20210300,20210400,20210400
2021-02-08 19:00:00,20210400,20210500,20210500
2021-03-08 01:00:00,20210500,20210600,20210600
2021-04-06 01:00:00,20210600,20210700,20210700
2021-05-07 12:00:00,20210700,20210800,20210800
2021-06-07 02:00:00,20210800,20210900,20210900
2021-07-07 02:00:00,20210900,20211000,20211000
2021-08-06 01:00:00,20211000,20211100,20211100
2021-09-06 03:00:00,20211100,20211200,20211200
2021-10-07 01:00:00,20211200,20220100,20220100
2021-11-05 13:00:00,20220100,20220200,20220200
2021-12-07 12:00:00,20220200,20220300,20220300
2022-01-07 03:00:00,20220300,20220400,20220400
2022-02-04 03:00:00,20220400,20220500,20220500
2022-03-07 08:00:00,20220500,20220600,20220600
2022-04-06 01:00:00,20220600,20220700,20220700
2022-05-06 09:00:00,20220700,20220800,20220800
2022-06-06 23:00:00,20220800,20220900,20220900
2022-07-07 14:00:00,20220900,20221000,20221000
2022-08-07 23:00:00,20221000,20221100,20221100
2022-09-06 12:00:00,20221100,20221200,20221200
2022-10-07 13:00:00,20221200,20230100,20230100
2022-11-07 15:00:00,20230100,20230200,20230200
2022-12-07 16:00:00,20230200,20230300,20230300
2023-01-06 20:00:00,20230300,20230400,20230400
2023-02-03 23:00:00,20230400,20230500,20230500
2023-03-07 23:00:00,20230500,20230600,20230600
2023-04-06 14:30:00,20230600,20230700,20230700
2023-05-08 23:00:00,20230700,20230800,20230800
2023-06-06 23:00:00,20230800,20230900,20230900
2023-07-07 23:00:00,20230900,20231000,20231000
2023-08-07 23:00:00,20231000,20231100,20231100
2023-09-06 15:00:00,20231100,20231200,20231200
2023-10-06 23:00:00,20231200,20240100,20240100
35 changes: 35 additions & 0 deletions data/futures/roll_calendars_csv/ETHEREUM#3.csv
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DATE_TIME,current_contract,next_contract,carry_contract
2021-02-07 23:00:00,20210400,20210500,20210500
2021-02-08 19:00:00,20210500,20210600,20210600
2021-03-08 01:00:00,20210600,20210700,20210700
2021-04-06 01:00:00,20210700,20210800,20210800
2021-05-07 12:00:00,20210800,20210900,20210900
2021-06-07 02:00:00,20210900,20211000,20211000
2021-07-07 02:00:00,20211000,20211100,20211100
2021-08-06 01:00:00,20211100,20211200,20211200
2021-09-06 03:00:00,20211200,20220100,20220100
2021-10-07 01:00:00,20220100,20220200,20220200
2021-11-05 13:00:00,20220200,20220300,20220300
2021-12-07 12:00:00,20220300,20220400,20220400
2022-01-07 03:00:00,20220400,20220500,20220500
2022-02-04 03:00:00,20220500,20220600,20220600
2022-03-07 08:00:00,20220600,20220700,20220700
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5 changes: 0 additions & 5 deletions setup.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -84,13 +84,8 @@ def dir_this_file():
package_data=package_data,
long_description=read("README.md"),
install_requires=[
<<<<<<< HEAD
"pandas==2.1.3",
"matplotlib>=3.0.0",
=======
"pandas==1.0.5",
"matplotlib>=3.0.0,<3.8.0",
>>>>>>> bcfd9668056ff6748edd37538e079dbf22c657e4
"ib-insync==0.9.86",
"PyYAML>=5.3",
"numpy>=1.24.0",
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1 change: 0 additions & 1 deletion sysexecution/stack_handler/roll_orders.py
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Original file line number Diff line number Diff line change
Expand Up @@ -454,7 +454,6 @@ def create_instrument_roll_order_closing_priced_contract(
return instrument_order



def get_strategy_name_with_largest_position_for_instrument(
data: dataBlob, instrument_code: str
) -> str:
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