derivitec.core.client.DerivitecClient.get_bond_futures_series

DerivitecClient.get_bond_futures_series(futures_prefix, roll_days, start_date, end_date)[source]

Get a bond futures data time series for a given futures prefix and a specified offset to the expiry between two dates.

Parameters:

  • futures_prefix (str) – The futures prefix.

  • roll_days (int) – The roll days.

  • start_date (datetime.datetime) – The start date.

  • end_date (datetime.datetime) – The end date.

Return type:

derivitec.market_data.response.ApiGetBondFuturesSeriesResponse

Code

>>> from datetime import datetime
>>> bond_futures_series = client.get_bond_futures_series(
...             futures_prefix="FV",
...             roll_days = 5,
...             start_date = datetime(2016, 6, 26),
...             end_date = datetime(2016, 12, 26))