restore csv to git from lfs

Author: [email protected]

sysdata/arctic/__init__.py

@@ -64,8 +64,6 @@ def __init__(self, datapath=None, absolute_datapath=None):
             else:
                 pyst_dir = os.path.dirname(os.path.dirname(sysdata.__file__) )
                 resolved_datapath = os.path.join(pyst_dir,'data', 'futures','legacycsv')
-                print ('using ' + resolved_datapath)
-               # resolved_datapath = get_pathname_for_package(LEGACY_DATA_PATH)
         """
         Most Data objects that read data from a specific place have a 'source' of some kind
         Here it's a directory

sysdata/arctic/futures_contracts.py

@@ -0,0 +1,50 @@
+
+import pandas as pd
+
+from sysdata.data import Data
+
+class FuturesData(Data):
+    """
+        Get futures specific data used for simulation and signal generation eg just adjusted prices and data for carry
+
+        Extends the Data class to add additional features for asset specific
+
+        Will normally be overriden by a method for a specific data source eg csv or arctic
+        See legacy.py
+
+    """
+
+    def __repr__(self):
+        return "FuturesData object with %d instruments" % len(
+            self.get_instrument_list())
+
+    def get_instrument_raw_carry_data(self, instrument_code):
+        """
+        Returns a pd. dataframe with the 4 columns PRICE, CARRY, PRICE_CONTRACT, CARRY_CONTRACT
+
+        These are specifically needed for futures trading
+
+        For other asset classes we'd probably pop in eg equities fundamental data, FX interest rates...
+
+        Normally we'd inherit from this method for a specific data source
+
+        :param instrument_code: instrument to get carry data for
+        :type instrument_code: str
+
+        :returns: pd.DataFrame
+
+        """
+        # Default method to get instrument price
+        # Will usually be overriden when inherited with specific data source
+        error_msg = "You have created a FuturesData() object or you probably need to replace this method to do anything useful"
+        self.log.critical(error_msg)
+
+
+
+
+
+
+
+if __name__ == '__main__':
+    import doctest
+    doctest.testmod()

sysdata/csv/__init__.py

@@ -0,0 +1,57 @@
+import pandas as pd
+from sysdata.data import baseData
+
+class futuresData(pd.DataFrame):
+    """
+    Data frame in specific format containing per contract information
+    """
+
+    def __init__(self, data):
+
+        data_present = list(data.columns)
+        data_present.sort()
+
+        try:
+            assert data_present == ['OPEN', 'CLOSE', 'HIGH', 'LOW', 'SETTLE', 'VOLUME', 'OPEN_INTEREST']
+        except AssertionError:
+            raise Exception("futuresData has to conform to pattern")
+
+        super().__init__(data)
+
+
+
+class futuresContractPriceData(baseData):
+    """
+    Extends the baseData object to a data source that reads in prices for specific futures contracts
+
+    This would normally be extended further for information from a specific source eg quandl, mongodb
+    """
+
+    def __repr__(self):
+        return "Individual futures prices"
+
+    def __getitem__(self, keyname):
+        """
+         convenience method to get the price, make it look like a dict
+
+        :param keyname: instrument to get prices for
+        :type keyname: str
+
+        :returns: pd.DataFrame
+        """
+
+        raise Exception("__getitem__ not defined for baseData class: use a class where it has been overriden")
+
+
+    def keys(self):
+        """
+        list of things in this data set (futures contracts, instruments...)
+
+        :returns: list of str
+
+        >>> data=Data()
+        >>> data.keys()
+        []
+        """
+        return []
+

sysdata/csvdata.py renamed to sysdata/csv/csvfuturesdata.py

@@ -0,0 +1,24 @@
+"""
+Read / write and represent instrument data
+"""
+
+class futuresInstrument(object):
+    """
+    Define a generic instrument
+    """
+
+    def __init__(self, instrument_code,  **ignored_kwargs):
+        """
+        Create a new instrument
+
+        :param instrument_code: The name of the contract
+        :param rollcycle:  The roll cycle
+        :param ignored_kwargs: Stuff that might be passed by accident
+        """
+        assert type(instrument_code) is str
+
+        self.instrument_code = instrument_code
+
+    def __repr__(self):
+        return self.instrument_code
+