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rob
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roll calendar zar
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‎data/futures/roll_calendars_csv/ZAR.csv

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DATE_TIME,current_contract,next_contract,carry_contract
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1997-06-09 23:00:00,19970600,19970900,19970900
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1997-09-08 23:00:00,19970900,19971200,19971200
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1997-12-08 23:00:00,19971200,19980300,19980300
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1998-03-09 23:00:00,19980300,19980600,19980600
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1998-06-08 23:00:00,19980600,19980900,19980900
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1998-09-08 23:00:00,19980900,19981200,19981200
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1998-12-08 23:00:00,19981200,19990300,19990300
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1999-03-09 23:00:00,19990300,19990600,19990600
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1999-06-08 23:00:00,19990600,19990900,19990900
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1999-09-08 23:00:00,19990900,19991200,19991200
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1999-12-08 23:00:00,19991200,20000300,20000300
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2000-03-08 23:00:00,20000300,20000600,20000600
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2000-06-08 23:00:00,20000600,20000900,20000900
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2000-09-08 23:00:00,20000900,20001200,20001200
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2000-12-07 23:00:00,20001200,20010300,20010300
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2001-02-28 23:00:00,20010300,20010600,20010600
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2001-06-08 23:00:00,20010600,20010900,20010900
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2001-09-07 23:00:00,20010900,20011200,20011200
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2001-12-07 23:00:00,20011200,20020300,20020300
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2002-03-08 23:00:00,20020300,20020600,20020600
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2002-06-07 23:00:00,20020600,20020900,20020900
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2002-09-09 23:00:00,20020900,20021200,20021200
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2002-12-09 23:00:00,20021200,20030300,20030300
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2003-03-07 23:00:00,20030300,20030600,20030600
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2003-06-09 23:00:00,20030600,20030900,20030900
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2003-09-08 23:00:00,20030900,20031200,20031200
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2003-12-08 23:00:00,20031200,20040300,20040300
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2004-03-08 23:00:00,20040300,20040600,20040600
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2004-06-08 23:00:00,20040600,20040900,20040900
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2004-09-08 23:00:00,20040900,20041200,20041200
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2004-12-08 23:00:00,20041200,20050300,20050300
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2005-03-08 23:00:00,20050300,20050600,20050600
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2005-06-08 23:00:00,20050600,20050900,20050900
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2005-09-08 23:00:00,20050900,20051200,20051200
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2005-12-08 23:00:00,20051200,20060300,20060300
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2006-03-08 23:00:00,20060300,20060600,20060600
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2006-06-08 23:00:00,20060600,20060900,20060900
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2006-09-08 23:00:00,20060900,20061200,20061200
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2006-12-08 23:00:00,20061200,20070300,20070300
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2007-03-08 23:00:00,20070300,20070600,20070600
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2007-06-08 23:00:00,20070600,20070900,20070900
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2007-09-07 23:00:00,20070900,20071200,20071200
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2007-12-07 23:00:00,20071200,20080300,20080300
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2008-03-07 23:00:00,20080300,20080600,20080600
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2008-06-09 23:00:00,20080600,20080900,20080900
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2008-09-08 23:00:00,20080900,20081200,20081200
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2008-12-08 23:00:00,20081200,20090300,20090300
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2009-03-09 23:00:00,20090300,20090600,20090600
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2009-06-08 23:00:00,20090600,20090900,20090900
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2009-09-08 23:00:00,20090900,20091200,20091200
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2009-12-08 23:00:00,20091200,20100300,20100300
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2010-03-08 23:00:00,20100300,20100600,20100600
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2010-06-08 23:00:00,20100600,20100900,20100900
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2010-09-08 23:00:00,20100900,20101200,20101200
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2010-12-08 23:00:00,20101200,20110300,20110300
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2011-03-08 23:00:00,20110300,20110600,20110600
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2011-06-08 23:00:00,20110600,20110900,20110900
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2011-09-08 23:00:00,20110900,20111200,20111200
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2011-12-08 23:00:00,20111200,20120300,20120300
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2012-03-08 23:00:00,20120300,20120600,20120600
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2012-06-08 23:00:00,20120600,20120900,20120900
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2012-09-07 23:00:00,20120900,20121200,20121200
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2012-12-07 23:00:00,20121200,20130300,20130300
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2013-03-08 23:00:00,20130300,20130600,20130600
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2013-06-07 23:00:00,20130600,20130900,20130900
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2013-09-09 23:00:00,20130900,20131200,20131200
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2013-12-16 23:00:00,20131200,20140300,20140300
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2014-03-07 16:00:00,20140300,20140600,20140600
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2014-06-09 12:00:00,20140600,20140900,20140900
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2014-09-08 07:00:00,20140900,20141200,20141200
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2014-12-08 08:00:00,20141200,20150300,20150300
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2015-03-09 14:00:00,20150300,20150600,20150600
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2015-06-08 04:00:00,20150600,20150900,20150900
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2015-09-08 07:00:00,20150900,20151200,20151200
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2015-12-08 08:00:00,20151200,20160300,20160300
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2016-03-08 08:00:00,20160300,20160600,20160600
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2016-06-08 07:00:00,20160600,20160900,20160900
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2016-09-08 11:00:00,20160900,20161200,20161200
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2016-12-08 07:00:00,20161200,20170300,20170300
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2017-03-08 07:00:00,20170300,20170600,20170600
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2017-06-08 07:00:00,20170600,20170900,20170900
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2017-09-08 09:00:00,20170900,20171200,20171200
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2017-12-08 08:00:00,20171200,20180300,20180300
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2018-03-08 10:00:00,20180300,20180600,20180600
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2018-06-08 07:00:00,20180600,20180900,20180900
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2018-09-07 04:00:00,20180900,20181200,20181200
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2018-12-07 08:00:00,20181200,20190300,20190300
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2019-03-08 07:00:00,20190300,20190600,20190600
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2019-06-07 07:00:00,20190600,20190900,20190900
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2019-09-09 08:00:00,20190900,20191200,20191200
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2019-12-08 23:00:00,20191200,20200300,20200300
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2020-03-09 01:00:00,20200300,20200600,20200600
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2020-06-08 07:00:00,20200600,20200900,20200900
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2020-09-08 10:00:00,20200900,20201200,20201200
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2020-12-08 08:00:00,20201200,20210300,20210300
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2021-03-08 02:00:00,20210300,20210600,20210600
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2021-06-08 08:00:00,20210600,20210900,20210900
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2021-09-08 07:00:00,20210900,20211200,20211200
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2021-12-08 01:00:00,20211200,20220300,20220300
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2022-03-08 02:00:00,20220300,20220600,20220600
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2022-06-08 07:00:00,20220600,20220900,20220900
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2022-09-08 02:00:00,20220900,20221200,20221200

‎systems/rawdata.py

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@@ -229,7 +229,7 @@ def get_daily_percentage_volatility(self, instrument_code: str) -> pd.Series:
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"""
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denom_price = self.daily_denominator_price(instrument_code)
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return_vol = self.daily_returns_volatility(instrument_code)
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(denom_price, return_vol) = denom_price.align(return_vol, join="right")
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(denom_price, return_vol) = denom_price.align(return_vol, join="right").abs()
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perc_vol = 100.0 * (return_vol / denom_price.ffill())
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return perc_vol

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