derivitec.core.client.DerivitecClient.futures_price

DerivitecClient.futures_price(contracts, reporting_currency, pricing_date=None, mkt_data_date=None, mkt_data=None)[source]

Get the futures price of contracts for a market data date and pricing date or for some predefined market data.

Parameters:

  • contracts (list of Contract) – The contracts.

  • reporting_currency (str) – The reporting currency.

  • pricing_date (datetime) – The pricing date. (optional, provided mkt_data supplied)

  • mkt_data_date (datetime) – The market data date. (optional, provided mkt_data supplied)

  • mkt_data (MktDataContainer (optional, provided pricing_date and mkt_data_date supplied)) – The market date

Return type:

derivitec.tradables.response.ApiGetFuturesPriceResponse

Code

Either supply a pricing date with a market data date or supply the market data container.

>>> contracts = [BondFutureByCode(code=ric("FVZ7"))]
>>> reporting_currency = "USD"
>>> mkt_data_date = datetime(2017, 11, 1)
>>> pricing_date = datetime(2017, 11, 1)
>>> client.get_futures_price(contracts, reporting_currency, 
...     mkt_data_date=mkt_data_date, pricing_date=pricing_date)