Module Information

Description: Futures Assets class for QuantJourney Framework

The Futures module is a crucial part of the QuantJourney Framework, designed to handle and manage futures data for quantitative finance applications. This module leverages the power of multiple data connectors, including EOD Historical Data and OANDA, to provide comprehensive access to a wide array of futures data.

// NOTE: Eod decomissioned Futures from 01.2024, will re-factor in future

Author: jpolec

Date: 27-02-2024 and 18-03-2024

Class: Futures()

Method: async_get_futures_contracts_eod

def async_get_futures_contracts_eod(
            start_date: datetime,
            end_date: datetime
        ) -> pd.DataFrame

Fetch futures contracts data between the start_date and end_date from EOD.

Examples:

futures_contracts = await dc.futures.async_get_futures_contracts_eod(start_date=datetime(2023, 1, 1), end_date=datetime(2023, 12, 31))

Parameters:

Name	Type	Description
start_date	datetime	The start date for fetching futures contracts.
end_date	datetime	The end date for fetching futures contracts.

Returns:

Type	Description
pd.DataFrame	DataFrame containing futures contracts data.

Method: async_get_futures_pricing_eod

def async_get_futures_pricing_eod(
            contracts: List[str],
            start_date: datetime,
            end_date: datetime
        ) -> pd.DataFrame

Fetch pricing data for the given futures contracts between the start_date and end_date from EOD.

Examples:

futures_pricing = await dc.futures.async_get_futures_pricing_eod(contracts=["CL", "GC"], start_date=datetime(2023, 1, 1), end_date=datetime(2023, 12, 31))

Parameters:

Name	Type	Description
contracts	List[str]	List of futures contract codes.
start_date	datetime	The start date for fetching pricing data.
end_date	datetime	The end date for fetching pricing data.

Returns:

Type	Description
pd.DataFrame	DataFrame containing futures pricing data.

Method: async_get_futures_expiration_dates_eod

def async_get_futures_expiration_dates_eod(
            contracts: List[str]
        ) -> pd.DataFrame

Fetch expiration dates for the given futures contracts from EOD.

Examples:

expiration_dates = await dc.futures.async_get_futures_expiration_dates_eod(contracts=["CL", "GC"])

Parameters:

Name	Type	Description
contracts	List[str]	List of futures contract codes.

Returns:

Type	Description
pd.DataFrame	DataFrame containing futures expiration dates.

Method: async_get_futures_contracts_oanda

def async_get_futures_contracts_oanda(
            start_date: datetime,
            end_date: datetime,
            contract_prefix: str
        ) -> List[Dict]

Fetch futures contracts data between the start_date and end_date from Oanda for a specific contract prefix.

Examples:

await dc.futures.async_get_futures_contracts_oanda(start_date=datetime(2023, 1, 1), end_date=datetime(2023, 12, 31), contract_prefix='BCO')

Parameters:

Name	Type	Description
start_date	datetime	The start date for fetching futures contracts.
end_date	datetime	The end date for fetching futures contracts.
contract_prefix	str	The prefix of the futures contract to fetch (e.g., 'BCO' for Brent Crude Oil).

Returns:

Type	Description
List[Dict]	A list of dictionaries containing the futures contracts data.

Method: async_get_futures_pricing_oanda

def async_get_futures_pricing_oanda(
            contracts: List[str],
            start_date: datetime,
            end_date: datetime
        ) -> Optional[pd.DataFrame]

Fetch pricing data for the given futures contracts between the start_date and end_date from Oanda.

Examples:

futures_pricing = await dc.futures.async_get_futures_pricing_oanda(contracts=["US30_USD", "AU200_AUD"], start_date=datetime(2023, 1, 1), end_date=datetime(2023, 12, 31))

Parameters:

Name	Type	Description
contracts	List[str]	List of futures contract codes.
start_date	datetime	The start date for fetching pricing data.
end_date	datetime	The end date for fetching pricing data.

Returns:

Type	Description
Optional[pd.DataFrame]	DataFrame containing futures pricing data, or None if an error occurs.

Method: async_get_futures_expiration_dates_oanda

def async_get_futures_expiration_dates_oanda(
            contracts: List[str]
        ) -> Dict[str, datetime]

Fetch expiration dates for the given futures contracts from Oanda.

Examples:

await dc.futures.async_get_futures_expiration_dates_oanda(contracts=["US30_USD", "AU200_AUD"])

Parameters:

Name	Type	Description
contracts	List[str]	List of futures contract codes.

Returns:

Type	Description
Dict[str, datetime]	A dictionary mapping contract codes to their expiration dates.

Method: fetch_expiration_date

def fetch_expiration_date(
            contract
        )