FuturesDataProvider

class qf_lib.data_providers.futures_data_provider.FuturesDataProvider[source]

Bases: object

An interface for providers of futures’ data.

Methods:

`expiration_date_field_str_map`([ticker])	Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers.
`get_futures_chain_tickers`(tickers, ...)	Returns tickers of futures contracts, which belong to the same futures contract chain as the provided ticker (tickers), along with their expiration dates in form of a QFSeries or QFDataFrame.
`str_to_expiration_date_field_map`([ticker])	Inverse of str_to_expiration_date_field_map.

abstract expiration_date_field_str_map(ticker: Ticker = None) → Dict[ExpirationDateField, str][source]

Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers. Returns dictionary containing mapping between ExpirationDateField and corresponding string that has to be used by get_futures_chain_tickers method.

Parameters:: ticker (None, Ticker) – ticker is optional and might be uses by particular data providers to create appropriate dictionary
Returns:: mapping between ExpirationDateField and corresponding strings
Return type:: Dict[ExpirationDateField, str]

get_futures_chain_tickers(tickers: Union[FutureTicker, Sequence[FutureTicker]], expiration_date_fields: Union[ExpirationDateField, Sequence[ExpirationDateField]]) → Dict[FutureTicker, QFDataFrame][source]

Returns tickers of futures contracts, which belong to the same futures contract chain as the provided ticker (tickers), along with their expiration dates in form of a QFSeries or QFDataFrame.

Parameters:

tickers (FutureTicker, Sequence[FutureTicker]) – tickers for which should the future chain tickers be retrieved
expiration_date_fields (ExpirationDateField, Sequence[ExpirationDateField]) – field that should be downloaded as the expiration date field, by default last tradeable date

Returns:

Returns a dictionary, which maps Tickers to QFDataFrame, consisting of the expiration dates of Future Contracts: Dict[FutureTicker, QFDataFrame]]. The QFDataFrames contain the specific Tickers, which belong to the corresponding futures family, same as the FutureTicker, and are indexed by the expiration dates of the specific future contracts.

Return type:

Dict[FutureTicker, QFDataFrame]

str_to_expiration_date_field_map(ticker: Ticker = None) → Dict[str, ExpirationDateField][source]: Inverse of str_to_expiration_date_field_map.