closed robcarver17#832

Author: rob

data/futures/roll_calendars_csv/BOBL.csv

@@ -1,52 +1,63 @@
 DATE_TIME,current_contract,next_contract,carry_contract
-2008-06-04 23:00:00,20080600,20080900,20080900
-2008-09-04 23:00:00,20080900,20081200,20081200
-2008-12-04 23:00:00,20081200,20090300,20090300
-2009-03-04 23:00:00,20090300,20090600,20090600
-2009-06-04 23:00:00,20090600,20090900,20090900
+2007-12-05 23:00:00,20071200,20080300,20080300
+2008-03-05 23:00:00,20080300,20080600,20080600
+2008-06-05 23:00:00,20080600,20080900,20080900
+2008-09-05 23:00:00,20080900,20081200,20081200
+2008-12-05 23:00:00,20081200,20090300,20090300
+2009-03-05 23:00:00,20090300,20090600,20090600
+2009-06-05 23:00:00,20090600,20090900,20090900
 2009-09-04 23:00:00,20090900,20091200,20091200
 2009-12-04 23:00:00,20091200,20100300,20100300
-2010-03-04 23:00:00,20100300,20100600,20100600
+2010-03-05 23:00:00,20100300,20100600,20100600
 2010-06-04 23:00:00,20100600,20100900,20100900
 2010-09-06 23:00:00,20100900,20101200,20101200
 2010-12-06 23:00:00,20101200,20110300,20110300
 2011-03-04 23:00:00,20110300,20110600,20110600
 2011-06-06 23:00:00,20110600,20110900,20110900
-2011-09-06 23:00:00,20110900,20111200,20111200
-2011-12-06 23:00:00,20111200,20120300,20120300
-2012-03-06 23:00:00,20120300,20120600,20120600
+2011-09-05 23:00:00,20110900,20111200,20111200
+2011-12-05 23:00:00,20111200,20120300,20120300
+2012-03-05 23:00:00,20120300,20120600,20120600
 2012-06-05 23:00:00,20120600,20120900,20120900
-2012-09-06 07:00:00,20120900,20121200,20121200
-2012-12-03 07:30:00,20121200,20130300,20130300
-2013-03-01 07:30:00,20130300,20130600,20130600
-2013-06-03 07:30:00,20130600,20130900,20130900
-2013-09-06 23:00:00,20130900,20131200,20131200
-2013-12-04 09:00:17,20131200,20140300,20140300
-2014-03-05 07:32:13,20140300,20140600,20140600
-2014-06-04 07:41:53,20140600,20140900,20140900
-2014-09-04 23:00:00,20140900,20141200,20141200
-2014-12-04 23:00:00,20141200,20150300,20150300
-2015-03-04 07:37:57,20150300,20150600,20150600
-2015-06-04 07:31:10,20150600,20150900,20150900
-2015-09-04 07:00:00,20150900,20151200,20151200
-2015-12-02 07:30:00,20151200,20160300,20160300
-2016-03-02 07:30:00,20160300,20160600,20160600
-2016-06-02 07:30:00,20160600,20160900,20160900
-2016-09-02 07:30:00,20160900,20161200,20161200
-2016-12-02 07:30:00,20161200,20170300,20170300
-2017-03-02 07:30:00,20170300,20170600,20170600
-2017-06-02 07:30:00,20170600,20170900,20170900
-2017-09-01 07:30:00,20170900,20171200,20171200
-2017-12-01 07:30:00,20171200,20180300,20180300
-2018-03-02 07:30:00,20180300,20180600,20180600
-2018-06-01 07:30:00,20180600,20180900,20180900
-2018-09-03 07:30:00,20180900,20181200,20181200
-2018-12-03 07:30:00,20181200,20190300,20190300
-2019-03-01 04:15:00,20190300,20190600,20190600
-2019-06-03 01:45:00,20190600,20190900,20190900
-2019-09-02 02:45:00,20190900,20191200,20191200
-2019-12-02 01:00:00,20191200,20200300,20200300
-2020-03-02 00:45:00,20200300,20200600,20200600
-2020-05-29 02:00:00,20200600,20200900,20200900
-2020-09-01 02:00:00,20200900,20201200,20201200
-2020-11-24 09:00:00,20201200,20210300,20210300
+2012-09-05 23:00:00,20120900,20121200,20121200
+2012-12-05 07:00:00,20121200,20130300,20130300
+2013-03-05 07:00:00,20130300,20130600,20130600
+2013-06-05 07:00:00,20130600,20130900,20130900
+2013-09-05 23:00:00,20130900,20131200,20131200
+2013-12-05 23:00:00,20131200,20140300,20140300
+2014-03-04 23:00:00,20140300,20140600,20140600
+2014-06-05 23:00:00,20140600,20140900,20140900
+2014-09-05 23:00:00,20140900,20141200,20141200
+2014-12-05 23:00:00,20141200,20150300,20150300
+2015-03-05 23:00:00,20150300,20150600,20150600
+2015-06-05 23:00:00,20150600,20150900,20150900
+2015-09-04 23:00:00,20150900,20151200,20151200
+2015-12-04 07:00:00,20151200,20160300,20160300
+2016-03-04 07:00:00,20160300,20160600,20160600
+2016-06-06 07:00:00,20160600,20160900,20160900
+2016-09-05 07:00:00,20160900,20161200,20161200
+2016-12-05 07:00:00,20161200,20170300,20170300
+2017-03-06 07:00:00,20170300,20170600,20170600
+2017-06-05 07:00:00,20170600,20170900,20170900
+2017-09-05 07:00:00,20170900,20171200,20171200
+2017-12-05 07:00:00,20171200,20180300,20180300
+2018-03-05 07:00:00,20180300,20180600,20180600
+2018-06-05 07:00:00,20180600,20180900,20180900
+2018-09-05 07:00:00,20180900,20181200,20181200
+2018-12-05 07:00:00,20181200,20190300,20190300
+2019-03-05 00:15:00,20190300,20190600,20190600
+2019-06-05 01:15:00,20190600,20190900,20190900
+2019-09-05 01:15:00,20190900,20191200,20191200
+2019-12-05 00:30:00,20191200,20200300,20200300
+2020-03-05 00:15:00,20200300,20200600,20200600
+2020-06-05 01:15:00,20200600,20200900,20200900
+2020-09-04 01:15:00,20200900,20201200,20201200
+2020-11-30 01:00:00,20201200,20210300,20210300
+2021-03-05 00:15:00,20210300,20210600,20210600
+2021-06-04 02:15:00,20210600,20210900,20210900
+2021-09-06 01:15:00,20210900,20211200,20211200
+2021-12-06 00:15:00,20211200,20220300,20220300
+2022-03-04 00:15:00,20220300,20220600,20220600
+2022-06-06 02:00:00,20220600,20220900,20220900
+2022-09-05 01:15:00,20220900,20221200,20221200
+2022-12-05 00:15:00,20221200,20230300,20230300
+2022-12-29 23:00:00,20230300,20230600,20230600

sysdata/csv/csv_roll_parameters.py

@@ -10,6 +10,53 @@
 ROLLS_CONFIG_FILE = "rollconfig.csv"
 
 
+class allRollParameters(pd.DataFrame):
+    @classmethod
+    def read_from_file(allRollParameters, filename):
+        try:
+            roll_data = pd.read_csv(filename)
+        except BaseException:
+            raise Exception("Can't read file %s" % filename)
+
+        try:
+            roll_data.index = roll_data.Instrument
+            roll_data.drop(labels="Instrument", axis=1, inplace=True)
+
+        except BaseException:
+            raise Exception("Badly configured file %s" % (filename))
+
+        return allRollParameters(roll_data)
+
+    def get_list_of_instruments(self) -> list:
+        return list(self.index)
+
+    def get_roll_parameters_for_instrument(
+        self, instrument_code: str
+    ) -> rollParameters:
+        config_for_this_instrument = self.loc[instrument_code]
+        roll_parameters_object = rollParameters(
+            hold_rollcycle=config_for_this_instrument.HoldRollCycle,
+            roll_offset_day=config_for_this_instrument.RollOffsetDays,
+            carry_offset=config_for_this_instrument.CarryOffset,
+            priced_rollcycle=config_for_this_instrument.PricedRollCycle,
+            approx_expiry_offset=config_for_this_instrument.ExpiryOffset,
+        )
+
+        return roll_parameters_object
+
+    def update_roll_parameters_for_instrument(
+        self, instrument_code: str, roll_parameters: rollParameters
+    ):
+        self.at[instrument_code, "HoldRollCycle"] = roll_parameters.hold_rollcycle
+        self.at[instrument_code, "RollOffsetDays"] = rollParameters.roll_offset_day
+        self.at[instrument_code, "CarryOffset"] = roll_parameters.carry_offset
+        self.at[instrument_code, "PricedRollCycle"] = roll_parameters.priced_rollcycle
+        self.at[instrument_code, "ExpiryOffset"] = roll_parameters.approx_expiry_offset
+
+    def write_to_file(self, filename: str):
+        self.to_csv(filename, index_label="Instrument")
+
+
 class csvRollParametersData(rollParametersData):
     """
     Get data about instruments from a special configuration used for initialising the system
@@ -27,50 +74,19 @@ def __init__(
 
         self._config_file = config_file
 
-    def _get_config_information(self):
-        """
-        Get configuration information
-
-        :return: dict of config information
-        """
-
-        try:
-            config_data = pd.read_csv(self._config_file)
-        except BaseException:
-            raise Exception("Can't read file %s" % self._config_file)
-
-        try:
-            config_data.index = config_data.Instrument
-            config_data.drop(labels="Instrument", axis=1, inplace=True)
-
-        except BaseException:
-            raise Exception("Badly configured file %s" % (self._config_file))
-
-        return config_data
-
-    @property
-    def config_file(self):
-        return self._config_file
-
     def __repr__(self):
         return "Roll data for initialising system config"
 
     def get_list_of_instruments(self) -> list:
-        return list(self._get_config_information().index)
+        all_roll_parameters = self.get_roll_parameters_all_instruments()
+        return all_roll_parameters.get_list_of_instruments()
 
     def _get_roll_parameters_without_checking(
         self, instrument_code: str
     ) -> rollParameters:
-        config_for_this_instrument = self._get_config_information().loc[instrument_code]
-        roll_parameters_object = rollParameters(
-            hold_rollcycle=config_for_this_instrument.HoldRollCycle,
-            roll_offset_day=config_for_this_instrument.RollOffsetDays,
-            carry_offset=config_for_this_instrument.CarryOffset,
-            priced_rollcycle=config_for_this_instrument.PricedRollCycle,
-            approx_expiry_offset=config_for_this_instrument.ExpiryOffset,
-        )
 
-        return roll_parameters_object
+        all_parameters = self.get_roll_parameters_all_instruments()
+        return all_parameters.get_roll_parameters_for_instrument(instrument_code)
 
     def _delete_roll_parameters_data_without_any_warning_be_careful(
         self, instrument_code: str
@@ -80,17 +96,25 @@ def _delete_roll_parameters_data_without_any_warning_be_careful(
     def _add_roll_parameters_without_checking_for_existing_entry(
         self, instrument_code: str, roll_parameters: rollParameters
     ):
-        raise NotImplementedError("csv is read only")
+        ## We don't normally allow this, but a special case as we safe modify
+        all_parameters = self.get_roll_parameters_all_instruments()
+        all_parameters.update_roll_parameters_for_instrument(
+            instrument_code, roll_parameters
+        )
+        all_parameters.write_to_file(self.config_file)
 
-    def write_all_roll_parameters_data(self, roll_parameters_df: pd.DataFrame):
-        roll_parameters_df_to_write = pd.DataFrame(
-            dict(
-                HoldRollCycle=roll_parameters_df.hold_rollcycle,
-                RollOffsetDays=roll_parameters_df.roll_offset_day,
-                CarryOffset=roll_parameters_df.carry_offset,
-                PricedRollCycle=roll_parameters_df.priced_rollcycle,
-                ExpiryOffset=roll_parameters_df.approx_expiry_offset,
-            )
+        self.log.warn(
+            "*** WRITTEN NEW ROLL PARAMETERS TO %s - copy to /data/futures/csvconfig/rollconfig.csv NOW ***"
+            % self.config_file
         )
 
-        roll_parameters_df_to_write.to_csv(self._config_file, index_label="Instrument")
+    def write_all_roll_parameters_data(self, roll_parameters_df: pd.DataFrame):
+        all_roll_parameters = allRollParameters(roll_parameters_df)
+        all_roll_parameters.write_to_file(self.config_file)
+
+    def get_roll_parameters_all_instruments(self) -> allRollParameters:
+        return allRollParameters.read_from_file(self.config_file)
+
+    @property
+    def config_file(self):
+        return self._config_file

sysdata/mongodb/mongo_roll_data.py

@@ -9,7 +9,7 @@
 from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
 from sysdata.arctic.arctic_spotfx_prices import arcticFxPricesData
 from sysdata.csv.csv_instrument_data import csvFuturesInstrumentData
-from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
+from sysdata.csv.csv_roll_parameters import csvRollParametersData
 from sysdata.mongodb.mongo_spread_costs import mongoSpreadCostData
 from sysdata.data_blob import dataBlob
 from sysdata.sim.futures_sim_data_with_data_blob import genericBlobUsingFuturesSimData
@@ -30,7 +30,7 @@ def __init__(
                     arcticFuturesMultiplePricesData,
                     arcticFxPricesData,
                     csvFuturesInstrumentData,
-                    mongoRollParametersData,
+                    csvRollParametersData,
                     mongoSpreadCostData,
                 ],
             )

sysdata/sim/db_futures_sim_data.py

@@ -24,13 +24,13 @@
 
 from sysdata.csv.csv_roll_calendars import csvRollCalendarData
 from sysdata.csv.csv_multiple_prices import csvFuturesMultiplePricesData
+from sysdata.csv.csv_roll_parameters import csvRollParametersData
 from sysdata.arctic.arctic_multiple_prices import arcticFuturesMultiplePricesData
 from sysdata.arctic.arctic_futures_per_contract_prices import (
     arcticFuturesContractPriceData,
 )
 from sysinit.futures.build_roll_calendars import adjust_to_price_series
 from sysobjects.multiple_prices import futuresMultiplePrices
-from sysdata.mongodb.mongo_roll_data import mongoRollParametersData
 
 
 def _get_data_inputs(csv_roll_data_path, csv_multiple_data_path):
@@ -110,7 +110,7 @@ def process_multiple_prices_single_instrument(
 
     # Add first phantom row so that the last calendar entry won't be consumed by adjust_roll_calendar()
     if roll_parameters is arg_not_supplied:
-        m = mongoRollParametersData()
+        m = csvRollParametersData()
         roll_parameters = m.get_roll_parameters(instrument_code)
 
     roll_calendar = add_phantom_row(