utils.py 文件源码

def contract_expiry_from_symbol(symbol):
    expiry = None
    symbol, asset_class = symbol.split("_")

    if asset_class == "FUT":
        expiry = str(symbol)[-5:]
        y = int(expiry[-4:])
        m = dataTypes["MONTH_CODES"].index(expiry[:1])
        day = datetime(y, m, 1)
        expiry = day + relativedelta.relativedelta(weeks=2, weekday=relativedelta.FR)
        expiry = expiry.strftime("%Y-%m-%d")

    elif asset_class in ("OPT", "FOP"):
        expiry = str(symbol)[-17:-9]
        expiry = expiry[:4] + "-" + expiry[4:6] + "-" + expiry[6:]

    return expiry


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