better Future creation

neurallayer · May 11, 2023 · c08b188 · c08b188
1 parent 97f7ea7
commit c08b188
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Showing 4 changed files with 14 additions and 21 deletions.
diff --git a/roboquant-jupyter/pom.xml b/roboquant-jupyter/pom.xml
@@ -70,12 +70,6 @@
             <artifactId>echarts-java</artifactId>
             <version>1.0.7</version>
         </dependency>
-        <!-- dependency>
-            <groupId>org.jetbrains.kotlinx</groupId>
-            <artifactId>dataframe-core</artifactId>
-            <version>0.11.0-dev-1608</version>
-            <scope>provided</scope>
-        </dependency -->
     </dependencies>
 
 </project>
diff --git a/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt b/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt
@@ -87,7 +87,7 @@ class Roboquant(
 
         start(runInfo.phase)
         try {
-            var orders = listOf<Order>()
+            var orders = emptyList<Order>()
             while (true) {
                 val event = channel.receive()
                 orders = step(orders, event, runInfo)

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/Asset.kt b/roboquant/src/main/kotlin/org/roboquant/common/Asset.kt
@@ -20,6 +20,7 @@ package org.roboquant.common
 import java.math.BigDecimal
 import java.math.RoundingMode
 import java.time.LocalDate
+import java.time.Month
 import java.time.format.DateTimeFormatter
 
 /**
@@ -102,21 +103,22 @@ data class Asset(
         }
 
         /**
-         * Returns a future contract based on the provided parameters
+         * Returns a future contract based on the provided parameters. It will generate a [symbol] name using the
+         * Future Contract Trading Code standard.
          */
         fun futureContract(
             symbol: String,
-            month: Char,
+            month: Month,
             year: Int,
             currencyCode: String = "USD",
             exchangeCode: String = "",
             multiplier: Double = 1.0,
             id: String = ""
         ): Asset {
-            val months = listOf('F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z')
-            require(month in months) { "$month not one of $months" }
+            val months = arrayOf('F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z')
+            val monthEncoding = months[month.value - 1]
             val yearCode = year.toString()
-            val futureSymbol = "$symbol$month${yearCode.takeLast(2)}"
+            val futureSymbol = "$symbol$monthEncoding${yearCode.takeLast(2)}"
             return Asset(futureSymbol, AssetType.FUTURES, currencyCode, exchangeCode, multiplier, id)
         }
 
@@ -159,7 +161,7 @@ data class Asset(
     }
 
     /**
-     * Faster hashcode than default
+     * Faster hashcode that is well distributed than the default data class generated one
      */
     override fun hashCode(): Int {
         return symbol.hashCode()
@@ -183,6 +185,7 @@ data class Asset(
      * It supports fractional sizes by providing a number of [fractions] bigger than 0.
      */
     fun contractSize(amount: Double, price: Double, fractions: Int = 0): Size {
+        require (fractions >= 0) { "factions has to be >= 0, found $fractions" }
         val singleContractValue = value(Size.ONE, price).value
         val size = BigDecimal(amount / singleContractValue).setScale(fractions, RoundingMode.DOWN)
         return Size(size)

diff --git a/roboquant/src/test/kotlin/org/roboquant/common/AssetTest.kt b/roboquant/src/test/kotlin/org/roboquant/common/AssetTest.kt
@@ -20,6 +20,7 @@ package org.roboquant.common
 import org.junit.jupiter.api.Test
 import org.junit.jupiter.api.assertThrows
 import java.time.LocalDate
+import java.time.Month
 import kotlin.test.assertContains
 import kotlin.test.assertEquals
 import kotlin.test.assertNotEquals
@@ -45,15 +46,11 @@ internal class AssetTest {
         val a = Asset.optionContract("SPX", LocalDate.parse("2014-11-22"), 'P', "19.50")
         assertEquals("SPX   141122P00019500", a.symbol)
 
-        val b = Asset.futureContract("GC", 'Z', 18)
-        val b2 = Asset.futureContract("GC", 'Z', 2018)
+        val b = Asset.futureContract("GC", Month.DECEMBER, 18)
+        val b2 = Asset.futureContract("GC", Month.DECEMBER, 2018)
         assertEquals("GCZ18", b.symbol)
         assertEquals(b, b2)
 
-        assertThrows<IllegalArgumentException> {
-            Asset.futureContract("GC", 'P', 18)
-        }
-
         val c = Asset.forexPair("EUR_USD")
         assertEquals("EUR/USD", c.symbol)
 
@@ -101,8 +98,7 @@ internal class AssetTest {
         val s2 = a.contractSize(1000.0, 1.0, 4)
         assertEquals(Size(10), s2)
 
-        val s3 = a.contractSize(250.0, 1.0, 4)
-        assertEquals(Size("2.5"), s3)
+        assertThrows<java.lang.IllegalArgumentException> { a.contractSize(250.0, 1.0, -1) }
     }
 
 }