Instruments#

`AnalystGroup`	A class representing an analyst group.
`AnalystIndex`	A class representing an analyst indices.
`BaseTotalReturnSwapInstrument`	Base class for underlying instrument of the total return swap.
`BondFutureOption`	A class implementing bond future option instruments.
`Cash`	Cash object representing an instrument that is always worth 1 in a given currency.
`CashIndex`	A class implementing a cash asset based on interest rate fix instrument, e.g.
`DefaultUniverses`	Access the default universes of returns series for quick assessment of signal potential.
`EconomicIndex`	A class representing economic indices.
`EconomicSeriesDatabaseGroup`	A class representing The economic series database group.
`Exchange`	Exchange class, detailing timezone and trading hours.
`FrameworkObject`	Object base with includes db cache and comparison
`Fund`	Class used to represent Funds.
`FundGroup`	A class representing a fund group.
`FundShareClass`	A class representing a fund share.
`HistoricalFrameworkObject`	A class supporting historical levels on a series of reference dates.
`Index`	A class representing published indices.
`IndexForward`
`IndexForwardGroup`	A class implementing an index forward group.
`IndexGroup`	A class representing an index group.
`IndexSwap`	This class implements as index swap.
`Instrument`	A class representing any object that can be held within a portfolio.
`InternalFund`	A class representing an internal fund.
`IntradayInstrument`	A class implementing a tradable wrapper over an index with ability to generate intraday orders.
`Margin`	Margin object representing an instrument that is always worth 1 in a given currency.
`MultiContractGroup`	A class representing data common to a group of instruments.
`MultiDimensionalObjectBase`	Joint base class for curves and surfaces.
`OTCInstrumentWithPeriodicFlows`	An extension of OTCInstrument with periodic coupon payments - adding the generic cashflow logic to be used in strategies.
`Quote`	A class representing quotes.
`SIGMasterBase`	SIGMaster single stocks API.
`SIGMasterPOPO`	Plain-Old-Python-Object SIGMaster implementation.
`SwapQuote`	Class representing swap quotes
`SwapQuoteGroup`	Class representing swap quote groups.
`TotalReturnIndexTotalReturnSwapInstrument`	A class implementing a TRS for total return indices.
`TotalReturnSwap`	Class implementing a total return swap on a given underlyer.
`TradableCSVIndex`	A class implementing a tradable wrapper over an index to load from a CSV file.
`TradableIndex`	A class implementing a tradable wrapper over an index.
`TradableInstrument`	An instrument that is directly tradable.
`TradableTSIndex`	A class implementing a tradable wrapper over a timeseries.
`YieldIndex`	A class representing yield indices.
`ZeroCouponCashDepositQuote`	Class representing a Cash Deposit Zero Coupon Quote
`ZeroCouponQuote`	A class representing a generic Zero Coupon Quote

sigtech.framework.instruments.utils.expiry_date_calculated(contract_monthcontract_yearexpiry_dayexpiry_month_offset: intexpiry_week_n: intexpiry_adjust_by_cd: intexpiry_bdc: strexpiry_adjust_start: boolexpiry_offset: strholiday_calendar: strexpiry_adjust_start_bdc: Optional[str] = 'PREVIOUS')→ date

Calculates the expiry date of a contract given its month, year and other inputs.

Parameters:

contract_month – Index of contract month (1 ... 12).
contract_year – Contract year.
expiry_day – Either a calendar day number, an English weekday or 'EOM'. Defines the reference point for later adjustments.
expiry_month_offset – Number of months to offset the reference date from the contract/delivery month.
expiry_week_n – Which instance of the given weekday to start the reference date from. (E.g. 3rd Wednesday) Must be non-zero for expiry_adjust_by_cd to take effect. Can be -1 (-2), in which case the last (second to last) weekday will be picked.
expiry_adjust_by_cd – Number of calendar days to adjust reference date by.
expiry_bdc – Business day convention to use for final adjustment, i.e. 'FOLLOWING', 'MOD_FOL', 'PRECEDE', 'MOD_PRE', 'NONE_RULE'
expiry_adjust_start – Whether to adjust the reference date to fall on a business day.
expiry_offset – Final adjustment to reference date. (E.g. '2BD' or '-3D')
holiday_calendar – Calendar string identifier.
expiry_adjust_start_bdc – Business day convention to use for adjustment of reference date (either 'PREVIOUS' or 'FOLLOWING').

Returns:

Calculated expiry date.

sigtech.framework.instruments.utils.expiry_date_calculated_from_ticker(tickerexpiry_dayexpiry_month_offset: intexpiry_week_n: intexpiry_adjust_by_cd: intexpiry_bdc: strexpiry_adjust_start: boolexpiry_offset: strholiday_calendar: strexpiry_adjust_start_bdc: Optional[str] = 'PREVIOUS')→ date

Calculates the expiry date from a given ticker and inputs.

Parameters:

ticker – Ticker of contract.
expiry_day – Either a calendar day number, an English weekday or 'EOM'. Defines the reference point for later adjustments.
expiry_month_offset – Number of months to offset the reference date from the contract/delivery month.
expiry_week_n – Which instance of the given weekday to start the reference date from. (E.g. 3rd Wednesday) Must be non-zero for expiry_adjust_by_cd to take effect. Can be -1 (-2), in which case the last (second to last) weekday will be picked.
expiry_adjust_by_cd – Number of calendar days to adjust reference date by.
expiry_bdc – Business day convention to use for final adjustment, i.e. 'FOLLOWING', 'MOD_FOL', 'PRECEDE', 'MOD_PRE', 'NONE_RULE'
expiry_adjust_start – Whether to adjust the reference date to fall on a business day.
expiry_offset – Final adjustment to reference date. (E.g. '2BD' or '-3D')
holiday_calendar – Calendar string identifier.
expiry_adjust_start_bdc – Business day convention to use for adjustment of reference date (either 'PREVIOUS' or 'FOLLOWING').

Returns:

Calculated expiry date.

sigtech.framework.instruments.utils.future_contract_year(ticker: str)

Returns the contract year of the provided ticker.

Parameters:: ticker – String input ticker
Returns:: Contract year of provided ticker