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Feature/futures curve history #5086

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skhan877
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@skhan877 skhan877 commented May 31, 2023

This feature adds the ability for a user to view a futures curve as at a previous date, helping to analyse how the curve has evolved over time (flattened/steepened/etc).

This functionality is available in Bloomberg's equivalent GC<GO> function.

A new --as-of option has been added to the futures/curve function, where the user can enter their desired historical reference date.

image

curve -t ES --as-of 2022-12-07

If there is data for the date in question, the chart will plot both the latest curve and the chosen historical curve (with appropriate legend to distinguish between the two).

image

The --raw option will also display the prices for both dates:

image

NB: also fine in "interactive" mode - I'm just screenshotting the simplified table.

If the user selects an invalid --as-of date (e.g. a weekend or a date prior to the contract existing), the function will revert to just showing the live curve but print an appropriate message nonetheless:

image

Finally, --as-of is optional, so running the curve command as before still works as it did.


Checklist:

Others

  • I have performed a self-review of my own code.
  • I have commented my code, particularly in hard-to-understand areas.

@reviewpad reviewpad bot added the feat XS Extra small feature label May 31, 2023
@skhan877 skhan877 marked this pull request as ready for review May 31, 2023 20:40
@jmaslek
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jmaslek commented May 31, 2023

This looks awesome! Will try to get to tomorrow!

Can I be picky and suggest that instead of "--as-of", we do "-d", "--date", which aligns with how we get the treasury curves :)

@skhan877
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Sure thing! Hopefully find time to change it tomorrow.

@skhan877
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skhan877 commented Jun 1, 2023

Changed to -d and --date as requested.

image

@jmaslek
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jmaslek commented Jun 1, 2023

Changed to -d and --date as requested.

image

Thanks! I added a small patch for the xaxis formatting (doing something like CL was giving a weird grid).

@reviewpad reviewpad bot added feat S Small T-Shirt size Feature and removed feat XS Extra small feature labels Jun 1, 2023
@jmaslek jmaslek enabled auto-merge June 1, 2023 20:34
@jmaslek jmaslek added this pull request to the merge queue Jun 1, 2023
Merged via the queue into OpenBB-finance:develop with commit d662b69 Jun 1, 2023
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2 participants