LMEUtils#

class sigtech.framework.instruments.lme_otc.LMEUtils

Generic common functions used internally inside of LME instruments classes.

exchange_code: Optional[str] = 'LME(T)'
spot_offset: Optional[str] = '2BD'
static holidays()

List of holiday calendars.

static timezone()

Timezone info.

static delivery_date(d, term)

Delivery date given reference date and term info.

Parameters

  • d – Reference date.

  • term – Increment string stub (e.g. ‘1d’, ‘1bd’, ‘1b’, ‘1cd’).

Returns

Delivery date.

static schedule_stub_lme()

Schedule stub for all LME instruments.

static spot_contract(underlying_ticker)

Return the contract object given an underlying ticker.

Parameters

underlying_ticker – Ticker of the underlying.

Returns

Object.

static rolling_3m_forward(underlying_ticker)

Return the 3M rolling forward given an underlying ticker.

Parameters

underlying_ticker – Ticker of the underlying.

Returns

Object.

static outright_future_name(underlying_ticker, future_ticker)

Return the outright future name given an underlying ticker and a future ticker.

Parameters

  • underlying_ticker – Ticker of the underlying.

  • future_ticker – Ticker of the future.

Returns

Object.

static outright_future(underlying_ticker, future_ticker)

Return the outright future object given an underlying ticker and a future ticker.

Parameters

  • underlying_ticker – Ticker of the underlying.

  • future_ticker – Ticker of the future.

Returns

Object.

static rolling_spread_contract_name(underlying_ticker, future_ticker)

Return the rolling spread contract name given an underlying ticker and a future ticker.

Parameters

  • underlying_ticker – Ticker of the underlying.

  • future_ticker – Ticker of the future.

Returns

string

static rolling_spread_contract(underlying_ticker, future_ticker)

Return the rolling spread contract given an underlying ticker and a future ticker.

Parameters

  • underlying_ticker – Ticker of the underlying.

  • future_ticker – Ticker of the future.

Returns

Object.

static print_tickers()

Print the available tickers.

static create_lme_forward(delivery_date: Union[datetime.date, str], args_dict: dict)

Create generic, 3 Month, Spot, or 3rd Wednesday LME forward(future) depending on the delivery_date argument:

Parameters

  • delivery_date – '3M', 'SPOT', forward delivery date, or future delivery month (e.g. 'J19' or 'M20')

  • args_dict – should contain all the remaining required parameters for the corresponding instrument.

Returns

if delivery_date = '3M', LME3MForward is created, if delivery_date = 'SPOT', LMECashForward is created, if delivery_date is a date, a generic LMEForward is created with delivery_date being that date, and if delivery_date is a future delivery month ticker, e.g. 'K18' or 'Z20', a 3rd Wednesday LMEFuture with delivery on that month is created.

Example object creation:

forward_3m = LMEUtils.create_lme_forward('3M', {
                                               'underlying_ticker': 'LN',
                                               'start_date': dtm.date(2017, 4, 5),
                                               })

This will create a contract, initiated on 5-Apr-2017, for delivery on 5-Jul-2017 (in 3 Months) of 6 tons of nickel at the price of 10294 per ton (6 tons is the standard nickel contract size, 10294 was the closing price of spot nickel on 5-Apr-2017).

spot = LMEUtils.create_lme_forward('SPOT', {
                                           'underlying_ticker': 'LN',
                                           'start_date': dtm.date(2017, 4, 5),
                                           'strike': 10300,
                                           })

This will create a spot contract, initiated on 5-Apr-2017, for delivery on 7-Apr-2017 (spot - in 2 Days) of 6 tons of nickel at the price of 10300 per ton (6 tons is the standard nickel contract size).

future = LMEUtils.create_lme_forward('F19', {
                                            'underlying_ticker': 'LX',
                                            'strike': 2900,
                                            })

This will create a contract for delivery on 16-Jan-2019 (3rd Wednesday of Jan 19) of 25 tons of zinc at the price of 2900 per ton (25 tons is the standard zinc contract size).