LMESpreadContract

class sigtech.framework.instruments.lme_otc.LMESpreadContract

Baseclasses: LMEOTCInstrument

Spread contract simultaneously buying 3 Month forward (LME3MForward) and selling 3rd Wednesday forward (LMEFuture). Strike is the spread between the two forward prices and is obtained from the market data, but can be overridden via class input. The underlying 3 Month forward strike is always the one given by the market, while the 3rd Wednesday strike is computed as 3M strike minus the spread strike (market or input class parameter)

Parameters of the class are:

• start_date is the date on which trade is entered into (and the only date when this instrument can be added to the strategy, or its weight can be changed)

• forward_tenor is internal parameter and should not be amended - it is added for spread generality, but only '3M' is currently supported

• future_ticker is the 3rd Wednesday delivery month, e.g. 'Q19' for August 2019, or 'H20' for March 2020

• underlying_ticker is the ticker of the underlying metal, e.g. 'LA' for aluminium, 'LL' for lead, 'LN' for Nickel, 'LP' for Copper, 'LT' for Tin, 'LX' for Zinc.

property dependency_type

Dependency type

property expiry_date: date

Contract expiry date.

forward_tenor: Optional[str]

future_ticker: Optional[str]

start_date: date

delivery_side(is_final_delivery) → float

Size and sign of the underlying contract delivery.

delivery_strike(is_final_delivery)

Cost of one underlying contract delivery, i.e. strike * size, including sign.

first_delivery_dt()

Date of first available delivery.

last_delivery_dt()

Date of last available delivery.

last_possible_trade_dt()

Last date to trade to have the instrument delivered by the delivery date.