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Rolling contracts fails when trying to infer forward price #1408

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vishalg opened this issue Sep 17, 2024 · 1 comment
Open

Rolling contracts fails when trying to infer forward price #1408

vishalg opened this issue Sep 17, 2024 · 1 comment

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@vishalg
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vishalg commented Sep 17, 2024

The current code provides an option to forward fill prices as an alternative when the forward price can't be inferred from the current priced contract. A potentially more accurate alternative may be to "roll-back" to the latest point where both forward and current contract prices are available.
@vishalg vishalg changed the title Alternative strategy for rolling when forward price can't be inferred Rolling contracts fails when trying to infer forward price Nov 16, 2024
@vishalg
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vishalg commented Nov 16, 2024

Working through this issue, I have realised that this is because DataFrame.append method has been deprecated in pandas. The code already "rolls-back" to the latest date where matching prices are observed

vishalg pushed a commit to vishalg/pysystemtrade that referenced this issue Nov 16, 2024
Fix for robcarver17#1408
5b69edd 
Replaced DataFrame.append with DataFrame.concat, a df.empty check is not required but avoids the FutureWarning about dtype of an empty DataFrame in concat
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