RollSchedule

class sigtech.framework.schedules.roll_schedules.factory.RollSchedule

Class responsible for calculation of a rolling table.

Available roll tables:

• 'front' - Front contract, contract month with an expiration date closest to the current date.

• 'f_0' - Adjusted front contract (typically 3 months out).

• 'f_1' - First contract after 'f_0'.

• 'f_2' - Second contract after 'f_0'.

• 'f_3' - Third contract after 'f_0'.

• 'f_4' - Fourth contract after 'f_0'.

• 'f_4_5' - Blend of fourth and fifth contract after 'f_0', applicable only to metals.

• 'f_5' - Fifth contract after 'f_0'.

• 'f_6' - Sixth contract after 'f_0'.

• 'f_0_cal' - Adjusted front contract using calendar days to compute monthly_roll_days.

• 'f_1_cal' - First contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_2_cal' - Second contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_3_cal' - Third contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_4_cal' - Fourth contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_4_5_cal' - 'f_4_5_cal' using calendar days to compute monthly_roll_days.

• 'f_5_cal' - Fifth contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_6_cal' - Sixth contract after 'f_0' using calendar days to compute monthly_roll_days.

• 'f_near' - Nearest contract, used for roll yield calculation (unlikely to be tradable).

• 'f_near_cal' - Nearest contract, using calendar days to compute monthly_roll_days.

• 'bcom' - Bloomberg Commodity Index roll schedule.

• 'bcom_3m' - 3 month lead on Bloomberg Commodity Index contract schedule.

• 'dec' - December contract at least 6 months in the future.

• 'djubs' - Dow Jones-UBS commodity index roll schedule.

• 'energy' - Proprietary schedule for energy contracts.

• 'energy_obs' - Signal observation schedule used to trade the energy contract schedule.

• 'gsci' - GSCI (Goldman Sachs) Single Commodity Indices contract schedule.

• 'gsci_eom'

• 'long_carry' - Proprietary schedule used for commodity long carry strategy.

• 'short_carry' - Proprietary schedule used for commodity short carry strategy.

• 'mcq_long_carry' - Macquarie schedule used for commodity long carry strategy.

• 'mcq_short_carry' - Macquarie schedule used for commodity short carry strategy.

• 'prev_month' - Roll the front contract the month before the expiration date.

• 'rici' - Rogers International Commodity Index (RICI) contract schedule.

• 'seasonal' - Contract schedule based on harvest date (agriculture and grains).

• 'seasonal_obs' - Signal observation schedule used to trade the seasonal contract schedule.

• 'front_oi' - Front contract, shifted to start roll when open interest is greater on contract to roll in.

• 'f_0_oi' - Adjusted front contract, shifted to roll when open interest is greater on contract to roll in.

• 'quarterly' - Contracts are rolled quarterly.

• 'quarterly_cal' - Contracts are rolled quarterly using calendar days to compute monthly_roll_days.

• 'tri'

• 'pre_roll'

calculate_rolling_table(allow_adjustments=False)

Calculate the rolling table using the appropriate rolling method.

Parameters:

allow_adjustments – If set to False, rolling adjustments to accommodate specific contract expirations are not allowed. If adjustments are allowed, warnings explaining the nature of the adjustments will be provided.

Returns:

pandas DataFrame.

static get_first_contract_with_data(roll_table)

Scan the roll table and return the first contract with no subsequent empty or invalid contracts.

Parameters:

roll_table – Input roll table.

Returns:

Contract object.

static get_first_valid_series_contract(contract_series, schedule=None)

return the first contract of a continuous series of contract

Parameters:

• contract_series – series of contract where index is date.

• schedule – schedule used to beginning of maturity months to next business day.

Returns:

Contract object.