FuturesExpiryUtilityFunctions

QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions

Bases: Object

Class to implement common functions used in FuturesExpiryFunctions

get_future_expiration_from_contract_month

get_future_expiration_from_contract_month(
    symbol: str,
    market: str,
    contract_month: Union[datetime, date],
) -> datetime

get_future_expiration_from_contract_month(
    future: Union[Symbol, str, BaseContract],
    contract_month: Union[datetime, date],
) -> datetime

Helper method to resolve a future expiration from it's contract month

third_friday

third_friday(time: Union[datetime, date]) -> datetime

third_friday(
    time: Union[datetime, date],
    contract: Union[Symbol, str, BaseContract],
) -> datetime

Signature descriptions:

• Method to retrieve the 3rd Friday of the given month

• This function returns the third Friday of the month, adjusted for holidays and weekends.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required

Returns:

Type	Description
datetime	3rd Friday of given month.

add_business_days

add_business_days(
    time: Union[datetime, date],
    n: int,
    holidays: HashSet[datetime],
) -> datetime

Method to retrieve n^th succeeding/preceding business day for a given day

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	The current Time	required
n	int	Number of business days succeeding current time. Use negative value for preceding business days	required
holidays	HashSet[datetime]	Set of holidays to exclude. These should be sourced from the MarketHoursDatabase	required

Returns:

Type	Description
datetime	The date-time after adding n business days.

add_business_days_if_holiday

add_business_days_if_holiday(
    time: Union[datetime, date],
    n: int,
    holiday_list: HashSet[datetime],
) -> datetime

Method to retrieve n^th succeeding/preceding business day for a given day if there was a holiday on that day

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	The current Time	required
n	int	Number of business days succeeding current time. Use negative value for preceding business days	required
holiday_list	HashSet[datetime]	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase	required

Returns:

Type	Description
datetime	The date-time after adding n business days.

get_delta_between_contract_month_and_contract_expiry

get_delta_between_contract_month_and_contract_expiry(
    underlying: str,
    future_expiry_date: Optional[datetime] = None,
) -> int

Gets the number of months between the contract month and the expiry date.

Parameters:

Name	Type	Description	Default
underlying	str	The future symbol ticker	required
future_expiry_date	Optional[datetime]	Expiry date to use to look up contract month delta. Only used for dairy, since we need to lookup its contract month in a pre-defined table.	None

Returns:

Type	Description
int	The number of months between the contract month and the contract expiry.

get_future_contract_month

get_future_contract_month(
    symbol: Union[Symbol, str, BaseContract],
) -> datetime

Helper method to retrieve the futures contract month

last_friday

last_friday(time: Union[datetime, date]) -> datetime

Method to retrieve the last Friday of any month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required

Returns:

Type	Description
datetime	Last Friday of the given month.

last_thursday

last_thursday(time: Union[datetime, date]) -> datetime

Method to retrieve the last Thursday of any month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required

Returns:

Type	Description
datetime	Last Thursday of the given month.

last_weekday

last_weekday(
    time: Union[datetime, date], day_of_week: DayOfWeek
) -> datetime

Method to retrieve the last weekday of any month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required
day_of_week	DayOfWeek	the last weekday to be found	required

Returns:

Type	Description
datetime	Last day of the we.

not_holiday

not_holiday(
    time: Union[datetime, date],
    holiday_list: List[datetime],
) -> bool

Method to check whether a given time is holiday or not

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	The DateTime for consideration	required
holiday_list	List[datetime]	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase	required

Returns:

Type	Description
bool	True if the time is not a holidays, otherwise returns false.

not_preceded_by_holiday

not_preceded_by_holiday(
    thursday: Union[datetime, date],
    holiday_list: List[datetime],
) -> bool

This function takes Thursday as input and returns true if four weekdays preceding it are not Holidays

Parameters:

Name	Type	Description	Default
thursday	Union[datetime, date]	DateTime of a given Thursday	required
holiday_list	List[datetime]	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase	required

Returns:

Type	Description
bool	False if DayOfWeek is not Thursday or is not preceded by four weekdays,Otherwise returns True.

nth_business_day

nth_business_day(
    time: Union[datetime, date],
    nth_business_day: int,
    holiday_list: List[datetime],
) -> datetime

Calculates the n^th business day of the month (includes checking for holidays)

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Month to calculate business day for	required
nth_business_day	int	n^th business day to get	required
holiday_list	List[datetime]	Holidays to not count as business days	required

Returns:

Type	Description
datetime	Nth business day of the month.

nth_friday

nth_friday(time: Union[datetime, date], n: int) -> datetime

Method to retrieve the Nth Friday of the given month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required
n	int	The order of the Friday in the period	required

Returns:

Type	Description
datetime	Nth Friday of given month.

nth_last_business_day

nth_last_business_day(
    time: Union[datetime, date],
    n: int,
    holiday_list: List[datetime],
) -> datetime

Method to retrieve the n^th last business day of the delivery month.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	DateTime for delivery month	required
n	int	Number of days	required
holiday_list	List[datetime]	Holidays to use while calculating n^th business day. Useful for MHDB entries	required

Returns:

Type	Description
datetime	Nth Last Business day of the month.

nth_weekday

nth_weekday(
    time: Union[datetime, date],
    n: int,
    day_of_week: DayOfWeek,
) -> datetime

Method to retrieve the Nth Weekday of the given month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required
n	int	The order of the Weekday in the period	required
day_of_week	DayOfWeek	The day of the week	required

Returns:

Type	Description
datetime	Nth Weekday of given month.

second_friday

second_friday(time: Union[datetime, date]) -> datetime

Method to retrieve the 2nd Friday of the given month

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required

Returns:

Type	Description
datetime	2nd Friday of given month.

third_wednesday

third_wednesday(time: Union[datetime, date]) -> datetime

Method to retrieve third Wednesday of the given month (usually Monday).

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Date from the given month	required

Returns:

Type	Description
datetime	Third Wednesday of the given month.