version 0.16.7

Author: [email protected]

DONE_TO_DO.md

@@ -1,5 +1,8 @@
 # Release notes
 
+## Version 0.16.6
+Created classses for individual futures contracts, and included example of how to use Quandl to get them
+
 ## Version 0.16.5
 Updated .csv data and moved to seperate section - now stored under Github LFS
 

README.md

@@ -38,10 +38,12 @@ For a longer explanation of the motivation and point of this project see my [blo
 
 [User guide](docs/userguide.md)
 
+[Working with futures data](/docs/futures.md)
 
 ## Dependencies
 
-Python 3.x, pandas, matplotlib, pyyaml, numpy, scipy
+Python 3.x, pandas, matplotlib, pyyaml, numpy, scipy, quandl
+
 See [requirements.txt](requirements.txt) for full details.
 
 Make sure you get the python3 versions of the relevant packages, i.e. use:

docs/futures.md

@@ -0,0 +1,3 @@
+TBC
+
+(QUANDL code is [here](/examples/futuresdata/quandldata.py) )

docs/userguide.md

@@ -592,6 +592,14 @@ brokers and quandl data in the future.
 If you want to use a different set of data values (eg equity EP ratios,
 interest rates...) you'll need to [create your own Data object](#create_data).
 
+*WORK IN PROGRESS*
+I'm currently working on including support so that you can:
+
+- Get futures data from Quandl
+- Store it individually in a database
+- Stitch contracts together to make an adjusted price
+
+See [working with futures data](/docs/futures.md)
 
 ## How do I... Save my work
 
@@ -658,6 +666,15 @@ particular **source** (for example .csv files, databases and so on).
 Only one kind of specific data object is provided with the system in the
 current version - `csvFutures`.
 
+*WORK IN PROGRESS*
+I'm currently working on including support so that you can:
+
+- Get futures data from Quandl
+- Store it individually in a database
+- Stitch contracts together to make an adjusted price
+
+See [working with futures data](/docs/futures.md)
+
 #### Generic data objects
 
 You can get use data objects directly:

examples/futuresdata/quandldata.py

@@ -0,0 +1,22 @@
+"""
+Here is an example of how we get individual futures price data from quandl
+"""
+
+from sysdata.futuresdata import listOfFuturesContracts
+from sysdata.quandl.futures import quandl_get_futures_contract_historic_data, listOfQuandlFuturesContracts
+
+import quandl
+import datetime
+
+instrument_code = "EDOLLAR"
+first_date = datetime.datetime(2000,1,1)
+last_date = datetime.datetime(2002,1,1)
+rollcycle_string = "HMUZ"
+
+#quandl.ApiConfig.api_key = 'your key here'
+list_of_contracts = listOfFuturesContracts.series_of_contracts_within_daterange(instrument_code, first_date,
+                                                                                last_date, rollcycle_string)
+
+list_of_quandl_contracts = listOfQuandlFuturesContracts(list_of_contracts)
+
+q_data = dict([(contract.ident(), quandl_get_futures_contract_historic_data(contract)) for contract in list_of_quandl_contracts])

requirements.txt

@@ -3,3 +3,4 @@ matplotlib>=1.4.3
 pyyaml>=3.11
 numpy>=1.13.3
 scipy>=1.0.0
+quandl>=3.3.0

syscore/dateutils.py

@@ -32,6 +32,25 @@
 
 UNIXTIME_IN_YEAR = UNIXTIME_CONVERTER * SECONDS_IN_YEAR
 
+MONTH_LIST = ["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"]
+
+
+def month_from_contract_letter(contract_letter):
+    """
+    Returns month number (1 is January) from contract letter
+
+    :param contract_letter:
+    :return:
+    """
+
+    try:
+        month_number = MONTH_LIST.index(contract_letter)
+    except ValueError:
+        return None
+
+    return month_number+1
+
+
 def contract_month_from_number(month_number):
     """
     Returns standard month letters used in futures land
@@ -40,7 +59,6 @@ def contract_month_from_number(month_number):
     :return: str
     """
 
-    MONTH_LIST=["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"]
     return MONTH_LIST[month_number-1]
 
 def expiry_date(expiry_ident):