add list_available_contracts method

philsv · Jun 5, 2024 · df5c6b5 · df5c6b5
1 parent 7a89b36
commit df5c6b5
Show file tree

Hide file tree

Showing 4 changed files with 90 additions and 12 deletions.
diff --git a/README.md b/README.md
@@ -1,6 +1,6 @@
 # pycot
 
-[![PyPI version](https://d25lcipzij17d.cloudfront.net/badge.svg?id=py&r=r&ts=1683906897&type=6e&v=0.1.0&x2=0)](https://badge.fury.io/py/pycot-reports)
+[![PyPI version](https://d25lcipzij17d.cloudfront.net/badge.svg?id=py&r=r&ts=1683906897&type=6e&v=0.1.1&x2=0)](https://badge.fury.io/py/pycot-reports)
 [![License: MIT](https://img.shields.io/badge/License-MIT-red.svg)](https://github.com/philsv/pycot/blob/main/LICENSE)
 [![Weekly Downloads](https://static.pepy.tech/personalized-badge/pycot-reports?period=week&units=international_system&left_color=grey&right_color=blue&left_text=downloads/week)](https://pepy.tech/project/pycot-reports)
 [![Monthly Downloads](https://static.pepy.tech/personalized-badge/pycot-reports?period=month&units=international_system&left_color=grey&right_color=blue&left_text=downloads/month)](https://pepy.tech/project/pycot-reports)
@@ -135,13 +135,31 @@ Date                                                                           .
 ...
 ```
 
-## Contract Names
+## List Available Contracts
 
-The only tricky part is the contract name.
+```python
+from pycot.reports import CommitmentOfTraders
+
+cot = CommitmentOfTraders("legacy_fut")
+contracts: np.ndarray = cot.list_available_contracts()
+```
 
-You can find the contract name in the [CFTC Commitment of Traders](https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm) reports. The contract name is the first column in the report.
+Output Example:
 
-You can also find a curated list of contract names in the [contract_names.json](https://github.com/philsv/pycot/tree/main/pycot/data/contract_names.json)
+```python
+array(['1-MONTH SOFR - CHICAGO MERCANTILE EXCHANGE',
+       '10 YEAR DELIVERABLE IR - CHICAGO BOARD OF TRADE',
+       '10 YEAR DELIVERABLE IR SWAP - CHICAGO BOARD OF TRADE',
+       '10 YEAR ERIS SOFR SWAP - CHICAGO BOARD OF TRADE',
+       '10 YEAR ERIS SWAP  - CHICAGO BOARD OF TRADE',
+       '10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE',
+        ...
+       'UST 10Y NOTE - CHICAGO BOARD OF TRADE',
+       'UST 2Y NOTE - CHICAGO BOARD OF TRADE',
+       'UST 5Y NOTE - CHICAGO BOARD OF TRADE',
+       'UST BOND - CHICAGO BOARD OF TRADE',
+       'VIX FUTURES - CBOE FUTURES EXCHANGE'], dtype=object)
+```
 
 ## Release Shedule
 

diff --git a/pycot/reports.py b/pycot/reports.py
@@ -361,6 +361,44 @@ def financial_report(
         df["Leveraged Money Short"] = df["Leveraged Money Short"] * -1
         df = df.sort_index()[::-1]
         return df
+
+    def list_available_contracts(
+        self,
+    ) -> np.ndarray:
+        """
+        Lists all available contracts for a selected Commitment of Traders report.
+
+        Returns:
+            A pandas DataFrame with the available contracts for the selected report.
+
+        Example:
+            >>> from pycot.reports import CommitmentsOfTraders
+            >>> cot = CommitmentsOfTraders("legacy_fut")
+            >>> cot.list_available_contracts()
+            >>> ...
+            >>> cot.report(contract_name)
+        """
+        if self.report_type is None:
+            raise ValueError("Please select a report type to list available contracts")
+
+        if self.report_type in [
+            "legacy_fut",
+            "legacy_futopt",
+        ]:
+            df = self.legacy_report
+        elif self.report_type in [
+            "disaggregated_fut",
+            "disaggregated_futopt",
+        ]:
+            df = self.disaggregated_report
+        elif self.report_type in [
+            "traders_in_financial_futures_fut",
+            "traders_in_financial_futures_futopt",
+        ]:
+            df = self.financial_report
+
+        available_contracts = df["Contract Name"].unique()
+        return np.sort(available_contracts)
 
     def report(
         self,

diff --git a/pycot/version.py b/pycot/version.py
@@ -1 +1 @@
-__version__ = "0.1.0"
+__version__ = "0.1.1"
diff --git a/tests/test_reports.py b/tests/test_reports.py
@@ -1,5 +1,6 @@
 import time
 
+import numpy as np
 import pandas as pd
 import pytest
 
@@ -39,24 +40,45 @@ def test_individual_reports(report_type, contract_name):
     assert isinstance(df, pd.DataFrame)
 
 
+@pytest.mark.parametrize(
+    "report_type",
+    [
+        ("legacy_fut"),
+        ("disaggregated_futopt"),
+        ("traders_in_financial_futures_fut"),
+    ],
+)
+def test_list_available_contracts(report_type):
+    cot = CommitmentsOfTraders(report_type)
+    contracts = cot.list_available_contracts()
+    assert isinstance(contracts, np.ndarray)
+    assert len(contracts) > 0
+
+
 @pytest.mark.parametrize(
     "report_type, contract_1, contract_2",
     [
         (
             "legacy_fut",
-            ("FED FUNDS - CHICAGO BOARD OF TRADE", "30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE"),
-            ("BBG COMMODITY - CHICAGO BOARD OF TRADE", "BLOOMBERG COMMODITY INDEX - CHICAGO BOARD OF TRADE"),
+            (
+                "FED FUNDS - CHICAGO BOARD OF TRADE",
+                "30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE",
+            ),
+            (
+                "BBG COMMODITY - CHICAGO BOARD OF TRADE",
+                "BLOOMBERG COMMODITY INDEX - CHICAGO BOARD OF TRADE",
+            ),
         ),
     ],
 )
-def test_cot_report(report_type, contract_1, contract_2):    
+def test_cot_report(report_type, contract_1, contract_2):
     start_time_1 = time.perf_counter()
-    cot =  CommitmentsOfTraders(report_type)
-    df_1 =  cot.report(contract_1)
+    cot = CommitmentsOfTraders(report_type)
+    df_1 = cot.report(contract_1)
     end_time_1 = time.perf_counter() - start_time_1
 
     start_time_2 = time.perf_counter()
-    df_2 =  cot.report(contract_2)
+    df_2 = cot.report(contract_2)
     end_time_2 = time.perf_counter() - start_time_2
     assert end_time_1 > end_time_2
     assert isinstance(df_1, pd.DataFrame)