Update provided multiple prices script

sysinit/futures/adhoc/update_provided_multiple_prices.py

@@ -0,0 +1,102 @@
+import pandas as pd
+from pathlib import Path
+from syscore.interactive.input import (
+    get_input_from_user_and_convert_to_type,
+)
+from sysinit.futures.multiple_and_adjusted_from_csv_to_db import (
+    init_db_with_csv_prices_for_code,
+)
+from sysinit.futures.multipleprices_from_db_prices_and_csv_calendars_to_db import (
+    process_multiple_prices_single_instrument,
+)
+from sysinit.futures.rollcalendars_from_db_prices_to_csv import (
+    build_and_write_roll_calendar,
+)
+from sysproduction.data.prices import get_valid_instrument_code_from_user
+
+proj_dir = Path.cwd()
+default_path_base = proj_dir / "data" / "futures"
+
+path_base_str = get_input_from_user_and_convert_to_type(
+    "Base dir for temp files?",
+    type_expected=str,
+    default_value=str(default_path_base),
+)
+
+path_base = Path(path_base_str)
+
+roll_calendars_from_db = path_base / "roll_calendars_from_db"
+multiple_prices_from_db = path_base / "multiple_from_db"
+spliced_multiple_prices = path_base / "multiple_prices_csv_spliced"
+
+if not roll_calendars_from_db.exists():
+    roll_calendars_from_db.mkdir()
+
+if not multiple_prices_from_db.exists():
+    multiple_prices_from_db.mkdir()
+
+if not spliced_multiple_prices.exists():
+    spliced_multiple_prices.mkdir()
+
+instrument_code = get_valid_instrument_code_from_user(source="multiple")
+build_and_write_roll_calendar(
+    instrument_code, output_datapath=str(roll_calendars_from_db)
+)
+input("Review roll calendar, press Enter to continue")
+
+process_multiple_prices_single_instrument(
+    instrument_code,
+    csv_multiple_data_path=str(multiple_prices_from_db),
+    csv_roll_data_path=str(roll_calendars_from_db),
+    ADD_TO_DB=False,
+    ADD_TO_CSV=True,
+)
+input("Review multiple prices, press Enter to continue")
+
+supplied_file = path_base / "multiple_prices_csv" / f"{instrument_code}.csv"
+generated_file = multiple_prices_from_db / f"{instrument_code}.csv"
+
+supplied = pd.read_csv(supplied_file, index_col=0, parse_dates=True)
+generated = pd.read_csv(generated_file, index_col=0, parse_dates=True)
+
+# get final datetime of the supplied multiple_prices for this instrument
+last_supplied = supplied.index[-1]
+
+print(
+    f"last datetime of supplied prices {last_supplied}, first datetime of updated "
+    f"prices is {generated.index[0]}"
+)
+
+# assuming the latter is later than the former, truncate the generated data:
+generated = generated.loc[last_supplied:]
+
+# if first datetime in generated is the same as last datetime in repo, skip that row
+first_generated = generated.index[0]
+if first_generated == last_supplied:
+    generated = generated.iloc[1:]
+
+# check we're using the same price and forward contracts
+# (i.e. no rolls missing, which there shouldn't be if there is date overlap)
+try:
+    assert (
+        supplied.iloc[-1].PRICE_CONTRACT
+        == generated.loc[last_supplied:].iloc[0].PRICE_CONTRACT
+    )
+    assert (
+        supplied.iloc[-1].FORWARD_CONTRACT
+        == generated.loc[last_supplied:].iloc[0].FORWARD_CONTRACT
+    )
+except AssertionError as e:
+    print(supplied)
+    print(generated)
+    raise e
+# nb we don't assert that the CARRY_CONTRACT is the same for supplied and generated,
+# as some rolls implicit in the supplied multiple_prices don't match the pattern in
+# the rollconfig.csv
+
+spliced = pd.concat([supplied, generated])
+spliced.to_csv(spliced_multiple_prices / f"{instrument_code}.csv")
+
+init_db_with_csv_prices_for_code(
+    instrument_code, multiple_price_datapath=str(spliced_multiple_prices)
+)