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Rollover date of future contracts from the B3 exchange

Project description

b3futurecontracts

B3 is a stock exchange in Sao Paulo, Brazil. This module evaluates the rollover date of some of its future contracts.

Classes

Currently this module provides two classes, B3FutureIndex and B3FutureDollar. These classes have two main methods, rollover_date and current_name; both take a date as argument and return the rollover date and the current names of the future contract as of the given date, respectively.

Sample code

>>> import datetime as dt
>>> from b3futurecontracts import *
>>>
>>> today = dt.date.today()
>>> print(today)
2019-12-01
>>>
>>> futureindex = B3FutureIndex(today)
>>> print(futureindex.rollover_date(), futureindex.current_name()[0])
2019-12-11 WINZ19
>>>
$ python -m b3futurecontracts
2019-01-05  2019-02-13 WING19  2019-02-01 WDOG19
2019-01-20  2019-02-13 WING19  2019-02-01 WDOG19
2019-02-05  2019-02-13 WING19  2019-03-01 WDOH19
2019-02-20  2019-04-17 WINJ19  2019-03-01 WDOH19
2019-03-05  2019-04-17 WINJ19  2019-04-01 WDOJ19
2019-03-20  2019-04-17 WINJ19  2019-04-01 WDOJ19
2019-04-05  2019-04-17 WINJ19  2019-05-02 WDOK19
2019-04-20  2019-06-12 WINM19  2019-05-02 WDOK19
2019-05-05  2019-06-12 WINM19  2019-06-03 WDOM19
2019-05-20  2019-06-12 WINM19  2019-06-03 WDOM19
2019-06-05  2019-06-12 WINM19  2019-07-01 WDON19
2019-06-20  2019-08-14 WINQ19  2019-07-01 WDON19
2019-07-05  2019-08-14 WINQ19  2019-08-01 WDOQ19
2019-07-20  2019-08-14 WINQ19  2019-08-01 WDOQ19
2019-08-05  2019-08-14 WINQ19  2019-09-02 WDOU19
2019-08-20  2019-10-16 WINV19  2019-09-02 WDOU19
2019-09-05  2019-10-16 WINV19  2019-10-01 WDOV19
2019-09-20  2019-10-16 WINV19  2019-10-01 WDOV19
2019-10-05  2019-10-16 WINV19  2019-11-01 WDOX19
2019-10-20  2019-12-11 WINZ19  2019-11-01 WDOX19
2019-11-05  2019-12-11 WINZ19  2019-12-02 WDOZ19
2019-11-20  2019-12-11 WINZ19  2019-12-02 WDOZ19
2019-12-05  2019-12-11 WINZ19  2020-01-02 WDOF20
2019-12-20  2020-02-12 WING20  2020-01-02 WDOF20
$

Installation

pip install b3futurecontracts

Project details


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