future.FutureInstrument Class Reference

Inheritance diagram for future.FutureInstrument:

Public Member Functions
def	__init__ (self, *args, **kwargs)
def	create_instrument (self)
def	initialize_instrument (self)
def	update (self)
def	load_roll_schedule (self, data_sources)
def	create_symbol_from_salientdb_contract (self, ticker, expiry)
def	get_futures_chain (self, ticker=None)
def	load_srf_data (self)
def	create_security_symbol_with_expiry (self, ticker, expiration_year, symbol=None)
def	create_security_symbol (self, ticker, symbol=None)
Public Member Functions inherited from instrument.Instrument
def	__init__ (self, symbol, library_name, create=False, data_sources=None, additional_data_functions=None)
def	load_historical_data (self)
def	create_instrument (self, data_sources)
def	load_quandl_data (self, database=None, symbol=None)
def	update_quandl_data (self)
def	load_bloomberg_data (self)
def	update_bloomberg_data (self)
def	load_salientdb_data (self)
def	update_salientdb_data (self)

Public Attributes
	type
	metadata
	Adding to instrument list.
	roll_schedule
	symbol
	data
Public Attributes inherited from instrument.Instrument
	symbol
	library
	data_functions
	data_sources
	root_symbol
	bloomberg_class
	metadata
	data

Static Public Attributes
string	SYMBOL_TEMPLATE = "{exchange}::{exchange_symbol}::{contract}::{year}"
string	INSTRUMENT_SYMBOL_TEMPLATE = "INSTRUMENT::FUTURE::{exchange}::{exchange_symbol}"
Static Public Attributes inherited from instrument.Instrument
dictionary	DATA_ADAPTERS

Member Function Documentation

create_instrument()

def future.FutureInstrument.create_instrument

(

self

)

Uses the local cache only for now.

create_security_symbol()

def future.FutureInstrument.create_security_symbol	(		self,
			ticker,
			symbol = None
	)

Creates symbol

create_security_symbol_with_expiry()

def future.FutureInstrument.create_security_symbol_with_expiry	(		self,
			ticker,
			expiration_year,
			symbol = None
	)

Creates security symbol if we have expiration year.

load_roll_schedule()

def future.FutureInstrument.load_roll_schedule	(		self,
			data_sources
	)

Loads roll schedule from BBG if it has it, if not the QuantDB.

load_srf_data()

def future.FutureInstrument.load_srf_data

(

self

)

Loads data from Stephen's Reference Futures file.

update()

def future.FutureInstrument.update

(

self

)

Updates all of the contract's data.

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The documentation for this class was generated from the following file:

• future.py