在 pandas 中有效地找到期货数据的近月合约
efficiently finding a front-month contract on futures data in pandas
在金融领域，对 futures 策略进行投资研究可能很复杂。最简单形式的期货是两方之间的协议：持有空头头寸的一方——同意交付商品的一方；多头头寸——同意接收商品的一方。
这是我的期货数据的 DataFrame。我使用多索引结构来存储它，其中外层值是底层（f.e。SP是S&P500），内层值是每日时间戳，包含当天交易的合约数据:
dataPoint RIC ExpirationDate Exchange Description Open Low High Last Settlement Price Ask Bid Volume OpenInterest BlockVolume TotalVolume2 SecurityDescription SecurityLongDescription
RICRoot closingDate
SP 2018-03-15 0 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2811.20 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-16 1 SPH0 2020-03-20 CME:Index and Options Market NaN 2,812.20 2,817.20 NaN 2812.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-19 2 SPH0 2020-03-20 CME:Index and Options Market NaN 2,753.30 2,772.30 NaN 2778.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-20 3 SPH0 2020-03-20 CME:Index and Options Market NaN 2,770.90 2,782.90 NaN 2779.20 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-21 4 SPH0 2020-03-20 CME:Index and Options Market NaN 2,770.20 2,796.20 NaN 2774.10 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-22 5 SPH0 2020-03-20 CME:Index and Options Market 2727.1 2,699.10 2,743.10 NaN 2700.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-23 6 SPH0 2020-03-20 CME:Index and Options Market NaN 2,650.60 2,712.60 NaN 2655.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-26 7 SPH0 2020-03-20 CME:Index and Options Market NaN 2,663.40 2,719.40 NaN 2716.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-27 8 SPH0 2020-03-20 CME:Index and Options Market NaN 2,654.30 2,727.30 NaN 2673.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-28 9 SPH0 2020-03-20 CME:Index and Options Market NaN 2,662 2,686 NaN 2666.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-29 10 SPH0 2020-03-20 CME:Index and Options Market NaN 2,707 2,710 NaN 2701.70 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-02 11 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2634.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-03 12 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2673.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-04 13 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2706.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-05 14 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2721.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-06 15 SPH0 2020-03-20 CME:Index and Options Market NaN 2,648.90 2,694.90 NaN 2666.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-09 16 SPH0 2020-03-20 CME:Index and Options Market NaN 2,670.40 2,696.40 NaN 2677.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-10 17 SPH0 2020-03-20 CME:Index and Options Market NaN 2,649.80 2,721.80 NaN 2713.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-11 18 SPH0 2020-03-20 CME:Index and Options Market NaN 2,697.30 2,711.30 NaN 2700.10 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-12 19 SPH0 2020-03-20 CME:Index and Options Market NaN 2,722.10 2,733.10 NaN 2723.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-13 20 SPH0 2020-03-20 CME:Index and Options Market NaN 2,714.30 2,739.30 NaN 2716.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-16 21 SPH0 2020-03-20 CME:Index and Options Market NaN 2,729 2,742 NaN 2740.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-17 22 SPH0 2020-03-20 CME:Index and Options Market NaN NaN 2,772.40 NaN 2763.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-18 23 SPH0 2020-03-20 CME:Index and Options Market NaN 2,761.60 2,773.60 NaN 2769.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-19 24 SPH0 2020-03-20 CME:Index and Options Market NaN 2,745.60 2,760.60 NaN 2752.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-20 25 SPH0 2020-03-20 CME:Index and Options Market NaN 2,725.80 2,754.30 NaN 2731.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-23 26 SPH0 2020-03-20 CME:Index and Options Market NaN 2,718 2,742 NaN 2731.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-24 27 SPH0 2020-03-20 CME:Index and Options Market NaN 2,678 2,741 NaN 2693.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-25 28 SPH0 2020-03-20 CME:Index and Options Market NaN 2,670.30 2,703.30 NaN 2702.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-26 29 SPH0 2020-03-20 CME:Index and Options Market NaN 2,704.90 2,731.90 NaN 2733.70 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
DM 2009-11-06 162444 DMZ9 2009-12-18 CME:Index and Options Market 680.6 671.7 685.4 678.5 678.70 678.8 678.7 43,534 106,385 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-09 162445 DMZ9 2009-12-18 CME:Index and Options Market 678.9 678.8 696.6 694.8 694.60 NaN NaN 32,820 105,906 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-10 162446 DMZ9 2009-12-18 CME:Index and Options Market 694.7 690.4 699 696.5 696.50 NaN NaN 32,148 105,693 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-11 162447 DMZ9 2009-12-18 CME:Index and Options Market 696.5 695.9 706.4 700.9 700.90 700.9 700.6 29,715 106,456 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-12 162448 DMZ9 2009-12-18 CME:Index and Options Market 701.2 689.3 704.7 692.5 692.60 692.7 692.5 36,389 107,187 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-13 162449 DMZ9 2009-12-18 CME:Index and Options Market 692.1 687.7 699.9 697.3 697.20 697.2 697.1 33,429 108,543 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-16 162450 DMZ9 2009-12-18 CME:Index and Options Market 697.7 697.7 713.1 707.8 707.80 707.8 707.7 31,427 109,069 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-17 162451 DMZ9 2009-12-18 CME:Index and Options Market 707.8 703.8 709.5 707.2 707.20 NaN NaN 28,752 110,831 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-18 162452 DMZ9 2009-12-18 CME:Index and Options Market 707.2 702.1 710.1 703.9 704.00 704 703.9 26,820 110,413 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-19 162453 DMZ9 2009-12-18 CME:Index and Options Market 704.5 686.5 705.1 691.8 692.10 692.1 691.8 31,941 109,160 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-20 162454 DMZ9 2009-12-18 CME:Index and Options Market 691.8 682.8 692.2 686.7 686.60 687 686.8 23,836 109,060 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-23 162455 DMZ9 2009-12-18 CME:Index and Options Market 685.6 685.6 703.1 693.5 693.40 NaN NaN 29,003 110,324 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-24 162456 DMZ9 2009-12-18 CME:Index and Options Market 693.0 685.6 703.1 690.2 690.20 690.4 690.2 24,880 109,864 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-25 162457 DMZ9 2009-12-18 CME:Index and Options Market 690.9 690.5 697.9 696.4 696.20 NaN NaN 18,158 110,711 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-27 162458 DMZ9 2009-12-18 CME:Index and Options Market 696.8 664.2 697.9 680.4 680.80 680.9 680.3 24,338 110,767 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-30 162459 DMZ9 2009-12-18 CME:Index and Options Market 683.2 675.7 688.3 682.6 684.00 NaN NaN 43,854 109,066 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-01 162460 DMZ9 2009-12-18 CME:Index and Options Market 682.2 675.7 697.1 693.8 693.80 NaN NaN 30,998 109,759 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-02 162461 DMZ9 2009-12-18 CME:Index and Options Market 693.8 681.5 703.6 699.3 699.00 699.3 698.9 30,303 109,894 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-03 162462 DMZ9 2009-12-18 CME:Index and Options Market 698.9 690.3 705.6 690.5 690.50 690.5 690.3 30,782 108,935 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-04 162463 DMZ9 2009-12-18 CME:Index and Options Market 690.3 689.1 708.7 702.1 702.00 702.2 701.9 41,948 110,221 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-07 162464 DMZ9 2009-12-18 CME:Index and Options Market 702.6 695.4 705.8 700.2 700.30 700.4 700.3 27,204 109,477 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-08 162465 DMZ9 2009-12-18 CME:Index and Options Market 700.7 688.8 705.8 693.0 692.90 693 692.9 40,485 107,389 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-09 162466 DMZ9 2009-12-18 CME:Index and Options Market 693.0 688.4 703.5 695.8 695.80 695.8 695.4 48,281 90,618 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-10 162467 DMZ9 2009-12-18 CME:Index and Options Market 696.1 688.4 704.6 701.4 701.20 701.4 700.9 37,863 71,260 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-11 162468 DMZ9 2009-12-18 CME:Index and Options Market 699.3 693.1 708.2 705.9 705.70 706.1 705.9 23,273 54,474 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-14 162469 DMZ9 2009-12-18 CME:Index and Options Market 711.5 704.3 716.1 713.5 713.50 713.7 713.4 20,099 37,606 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-15 162470 DMZ9 2009-12-18 CME:Index and Options Market 713.5 704.3 717.8 715.2 715.00 NaN NaN 14,287 26,672 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-16 162471 DMZ9 2009-12-18 CME:Index and Options Market 720.1 710.5 722.3 717.9 717.80 NaN NaN 11,968 19,930 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-17 162472 DMZ9 2009-12-18 CME:Index and Options Market 716.7 709.8 718.5 714.4 714.80 NaN NaN 2,540 17,058 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-18 162473 DMZ9 2009-12-18 CME:Index and Options Market NaN NaN 720 NaN 714.83 720.2 NaN NaN NaN NaN NaN MIDC E-MINI DEC9 NaN
期货的有趣和独特之处在于，到期日较远的合约，正如您在上面 2020 年到期的合约中看到的那样，实际上没有交易量。以下是 2018 年 3 月 15 日使用以下代码获取的所有期货交易合约的列表：
In [32]: subdf = df.loc["SP"]
In [33]: today_df = subdf.loc[[pd.to_datetime("2018-03-15")]]
In [34]: today_df
Out[34]:
dataPoint RIC ExpirationDate Exchange Description Open Low High Last Settlement Price Ask Bid Volume OpenInterest BlockVolume TotalVolume2 SecurityDescription SecurityLongDescription
closingDate
2018-03-15 0 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2811.2 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-15 12962 SPH8 2018-03-16 CME:Index and Options Market 2757.0 2,745 2,762 2749.5 2751.6 NaN NaN 3,150 59,617 NaN NaN SP500 IDX MAR8 NaN
2018-03-15 13215 SPH9 2019-03-15 CME:Index and Options Market NaN NaN NaN NaN 2772.4 NaN NaN 0 NaN NaN NaN SP500 IDX MAR9 NaN
2018-03-15 26461 SPM8 2018-06-15 CME:Index and Options Market 2756.7 2,745.40 2,767 2757.9 2755.6 NaN NaN 1,965 27,404 NaN NaN SP500 IDX JUN8 NaN
2018-03-15 29007 SPM9 2019-06-21 CME:Index and Options Market NaN NaN NaN NaN 2776.6 NaN NaN 0 NaN NaN NaN SP500 IDX JUN9 NaN
2018-03-15 41063 SPU8 2018-09-21 CME:Index and Options Market NaN NaN NaN NaN 2762.2 NaN NaN 3 25 NaN NaN SP500 IDX SEP8 NaN
2018-03-15 43600 SPU9 2019-09-20 CME:Index and Options Market NaN NaN NaN NaN 2784.0 NaN NaN 0 NaN NaN NaN SP500 IDX SEP9 NaN
2018-03-15 44765 SPZ0 2020-12-18 CME:Index and Options Market NaN NaN NaN NaN 2831.0 NaN NaN 0 NaN NaN NaN SP500 IDX DEC0 NaN
2018-03-15 45912 SPZ1 2021-12-17 CME:Index and Options Market NaN NaN NaN NaN 2885.1 NaN NaN 0 NaN NaN NaN SP500 IDX DEC1 NaN
2018-03-15 48719 SPZ2 2022-12-16 CME:Index and Options Market NaN NaN NaN NaN 2935.1 NaN NaN 0 NaN NaN NaN SP500 IDX DEC2 NaN
2018-03-15 60616 SPZ8 2018-12-21 CME:Index and Options Market NaN NaN NaN NaN 2767.3 NaN NaN 0 300 NaN NaN SP500 IDX DEC8 NaN
2018-03-15 62668 SPZ9 2019-12-20 CME:Index and Options Market NaN NaN NaN NaN 2791.4 NaN NaN 0 NaN NaN NaN SP500 IDX DEC9 NaN
从"ExpirationDate"栏可以看出，有很多合约在不同时间到期，即月合约 是最接近您当前日期的日期，通常在 3 个月内。所以很多研究者在交易的时候都会获取即月合约，我有代码可以做到：
######## COLLECT AND ADJUST DATA ########
df = pd.read_csv("Futures Data.csv", header=0, thousands=",", dtype="str")
df["closingDate"] = pd.to_datetime(df["closingDate"])
df["ExpirationDate"] = pd.to_datetime(df["ExpirationDate"])
underlierList = df.RICRoot.unique()
start_date = pd.to_datetime("7/1/1982")
end_date = pd.to_datetime('1/1/2012')
businessDays = pd.bdate_range(start_date, end_date)
####### ITERATE OVER TIMESPAN #######
while current_date <= end_date:
if current_date not in businessDays:
current_date += pd.DateOffset(days=1)
continue
for underlier in underlierList:
########## SEPERATE DATA BY UNDERLIER ##########
subdf = df.loc[underlier]
########## ACQUIRE CURRENT TRADING DAYS FOR ALL HORIZON CONTRACT LENGTHS##########
try:
today_df = subdf.loc[[current_date]]
yesterday_date = current_date-pd.DateOffset(days=1)
yesterday_df = subdf.loc[[yesterday_date]]
dataPresence = True
except:
continue
########## FIND FRONT MONTH CONTRACT ##########
v = pd.to_datetime(today_df.reset_index()['ExpirationDate'])
idx = (v.mask(v < current_date) - pd.to_datetime(current_date)).abs().idxmin()
today_row = today_df.iloc[idx, :]
######### HANDLE MISSING YESTERDAY ##########
for i in range(8):
try:
yesterday_row = yesterday_df.iloc[idx, :]
except IndexError:
continue
######### PRINT CURRENT DATA ##########
print(underlier)
print(" Current Trade Day : Expiration Date ")
print(yesterday_row.name, ":", yesterday_row["ExpirationDate"])
print(today_row.name, ":", today_row["ExpirationDate"])
print("----------------------------------------")
但是，这非常慢。而当运行这段代码放在很长的范围内时，就变得异常耗时。是否有更有效的逻辑来解决这个问题，如果有，我该如何实施？也许我什至应该更改我的初始数据结构（多索引）。
您可以按 ExpirationDate 排序并取前两行：
import pandas as pd
df = pd.DataFrame([
{'closingDate': '2018-03-11', 'ExpirationDate': '2020-03-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2019-03-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2019-04-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2018-12-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2020-03-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2019-03-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2019-04-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2018-12-20'},
])
df['closingDate'] = pd.to_datetime(df['closingDate'])
df['ExpirationDate'] = pd.to_datetime(df['ExpirationDate'])
today_df = df[df['closingDate'] == '2018-03-15']
today_df.sort_values('ExpirationDate').head(2)
# ExpirationDate closingDate
# 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15
如果您想同时获得所有 closingDate 的两个最低 ExpirationDate，请使用
df.groupby('closingDate').apply(lambda g: g.sort_values('ExpirationDate').head(2))
# ExpirationDate closingDate
# closingDate
# 2018-03-11 3 2018-12-20 2018-03-11
# 1 2019-03-20 2018-03-11
# 2018-03-15 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15
或者，您可以同时按 closingDate 和 ExpirationDate 排序，而不是在每个组中排序，然后只获取每个组中最上面的两行，完全向量化操作：
df = df.sort_values(['closingDate', 'ExpirationDate'])
df.groupby('closingDate').head(2)
# ExpirationDate closingDate
# 3 2018-12-20 2018-03-11
# 1 2019-03-20 2018-03-11
# 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15
在金融领域，对 futures 策略进行投资研究可能很复杂。最简单形式的期货是两方之间的协议：持有空头头寸的一方——同意交付商品的一方；多头头寸——同意接收商品的一方。
这是我的期货数据的 DataFrame。我使用多索引结构来存储它，其中外层值是底层（f.e。SP是S&P500），内层值是每日时间戳，包含当天交易的合约数据:
dataPoint RIC ExpirationDate Exchange Description Open Low High Last Settlement Price Ask Bid Volume OpenInterest BlockVolume TotalVolume2 SecurityDescription SecurityLongDescription
RICRoot closingDate
SP 2018-03-15 0 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2811.20 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-16 1 SPH0 2020-03-20 CME:Index and Options Market NaN 2,812.20 2,817.20 NaN 2812.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-19 2 SPH0 2020-03-20 CME:Index and Options Market NaN 2,753.30 2,772.30 NaN 2778.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-20 3 SPH0 2020-03-20 CME:Index and Options Market NaN 2,770.90 2,782.90 NaN 2779.20 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-21 4 SPH0 2020-03-20 CME:Index and Options Market NaN 2,770.20 2,796.20 NaN 2774.10 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-22 5 SPH0 2020-03-20 CME:Index and Options Market 2727.1 2,699.10 2,743.10 NaN 2700.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-23 6 SPH0 2020-03-20 CME:Index and Options Market NaN 2,650.60 2,712.60 NaN 2655.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-26 7 SPH0 2020-03-20 CME:Index and Options Market NaN 2,663.40 2,719.40 NaN 2716.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-27 8 SPH0 2020-03-20 CME:Index and Options Market NaN 2,654.30 2,727.30 NaN 2673.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-28 9 SPH0 2020-03-20 CME:Index and Options Market NaN 2,662 2,686 NaN 2666.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-29 10 SPH0 2020-03-20 CME:Index and Options Market NaN 2,707 2,710 NaN 2701.70 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-02 11 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2634.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-03 12 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2673.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-04 13 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2706.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-05 14 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2721.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-06 15 SPH0 2020-03-20 CME:Index and Options Market NaN 2,648.90 2,694.90 NaN 2666.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-09 16 SPH0 2020-03-20 CME:Index and Options Market NaN 2,670.40 2,696.40 NaN 2677.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-10 17 SPH0 2020-03-20 CME:Index and Options Market NaN 2,649.80 2,721.80 NaN 2713.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-11 18 SPH0 2020-03-20 CME:Index and Options Market NaN 2,697.30 2,711.30 NaN 2700.10 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-12 19 SPH0 2020-03-20 CME:Index and Options Market NaN 2,722.10 2,733.10 NaN 2723.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-13 20 SPH0 2020-03-20 CME:Index and Options Market NaN 2,714.30 2,739.30 NaN 2716.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-16 21 SPH0 2020-03-20 CME:Index and Options Market NaN 2,729 2,742 NaN 2740.40 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-17 22 SPH0 2020-03-20 CME:Index and Options Market NaN NaN 2,772.40 NaN 2763.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-18 23 SPH0 2020-03-20 CME:Index and Options Market NaN 2,761.60 2,773.60 NaN 2769.60 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-19 24 SPH0 2020-03-20 CME:Index and Options Market NaN 2,745.60 2,760.60 NaN 2752.80 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-20 25 SPH0 2020-03-20 CME:Index and Options Market NaN 2,725.80 2,754.30 NaN 2731.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-23 26 SPH0 2020-03-20 CME:Index and Options Market NaN 2,718 2,742 NaN 2731.00 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-24 27 SPH0 2020-03-20 CME:Index and Options Market NaN 2,678 2,741 NaN 2693.30 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-25 28 SPH0 2020-03-20 CME:Index and Options Market NaN 2,670.30 2,703.30 NaN 2702.90 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-04-26 29 SPH0 2020-03-20 CME:Index and Options Market NaN 2,704.90 2,731.90 NaN 2733.70 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
DM 2009-11-06 162444 DMZ9 2009-12-18 CME:Index and Options Market 680.6 671.7 685.4 678.5 678.70 678.8 678.7 43,534 106,385 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-09 162445 DMZ9 2009-12-18 CME:Index and Options Market 678.9 678.8 696.6 694.8 694.60 NaN NaN 32,820 105,906 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-10 162446 DMZ9 2009-12-18 CME:Index and Options Market 694.7 690.4 699 696.5 696.50 NaN NaN 32,148 105,693 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-11 162447 DMZ9 2009-12-18 CME:Index and Options Market 696.5 695.9 706.4 700.9 700.90 700.9 700.6 29,715 106,456 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-12 162448 DMZ9 2009-12-18 CME:Index and Options Market 701.2 689.3 704.7 692.5 692.60 692.7 692.5 36,389 107,187 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-13 162449 DMZ9 2009-12-18 CME:Index and Options Market 692.1 687.7 699.9 697.3 697.20 697.2 697.1 33,429 108,543 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-16 162450 DMZ9 2009-12-18 CME:Index and Options Market 697.7 697.7 713.1 707.8 707.80 707.8 707.7 31,427 109,069 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-17 162451 DMZ9 2009-12-18 CME:Index and Options Market 707.8 703.8 709.5 707.2 707.20 NaN NaN 28,752 110,831 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-18 162452 DMZ9 2009-12-18 CME:Index and Options Market 707.2 702.1 710.1 703.9 704.00 704 703.9 26,820 110,413 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-19 162453 DMZ9 2009-12-18 CME:Index and Options Market 704.5 686.5 705.1 691.8 692.10 692.1 691.8 31,941 109,160 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-20 162454 DMZ9 2009-12-18 CME:Index and Options Market 691.8 682.8 692.2 686.7 686.60 687 686.8 23,836 109,060 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-23 162455 DMZ9 2009-12-18 CME:Index and Options Market 685.6 685.6 703.1 693.5 693.40 NaN NaN 29,003 110,324 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-24 162456 DMZ9 2009-12-18 CME:Index and Options Market 693.0 685.6 703.1 690.2 690.20 690.4 690.2 24,880 109,864 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-25 162457 DMZ9 2009-12-18 CME:Index and Options Market 690.9 690.5 697.9 696.4 696.20 NaN NaN 18,158 110,711 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-27 162458 DMZ9 2009-12-18 CME:Index and Options Market 696.8 664.2 697.9 680.4 680.80 680.9 680.3 24,338 110,767 NaN NaN MIDC E-MINI DEC9 NaN
2009-11-30 162459 DMZ9 2009-12-18 CME:Index and Options Market 683.2 675.7 688.3 682.6 684.00 NaN NaN 43,854 109,066 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-01 162460 DMZ9 2009-12-18 CME:Index and Options Market 682.2 675.7 697.1 693.8 693.80 NaN NaN 30,998 109,759 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-02 162461 DMZ9 2009-12-18 CME:Index and Options Market 693.8 681.5 703.6 699.3 699.00 699.3 698.9 30,303 109,894 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-03 162462 DMZ9 2009-12-18 CME:Index and Options Market 698.9 690.3 705.6 690.5 690.50 690.5 690.3 30,782 108,935 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-04 162463 DMZ9 2009-12-18 CME:Index and Options Market 690.3 689.1 708.7 702.1 702.00 702.2 701.9 41,948 110,221 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-07 162464 DMZ9 2009-12-18 CME:Index and Options Market 702.6 695.4 705.8 700.2 700.30 700.4 700.3 27,204 109,477 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-08 162465 DMZ9 2009-12-18 CME:Index and Options Market 700.7 688.8 705.8 693.0 692.90 693 692.9 40,485 107,389 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-09 162466 DMZ9 2009-12-18 CME:Index and Options Market 693.0 688.4 703.5 695.8 695.80 695.8 695.4 48,281 90,618 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-10 162467 DMZ9 2009-12-18 CME:Index and Options Market 696.1 688.4 704.6 701.4 701.20 701.4 700.9 37,863 71,260 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-11 162468 DMZ9 2009-12-18 CME:Index and Options Market 699.3 693.1 708.2 705.9 705.70 706.1 705.9 23,273 54,474 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-14 162469 DMZ9 2009-12-18 CME:Index and Options Market 711.5 704.3 716.1 713.5 713.50 713.7 713.4 20,099 37,606 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-15 162470 DMZ9 2009-12-18 CME:Index and Options Market 713.5 704.3 717.8 715.2 715.00 NaN NaN 14,287 26,672 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-16 162471 DMZ9 2009-12-18 CME:Index and Options Market 720.1 710.5 722.3 717.9 717.80 NaN NaN 11,968 19,930 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-17 162472 DMZ9 2009-12-18 CME:Index and Options Market 716.7 709.8 718.5 714.4 714.80 NaN NaN 2,540 17,058 NaN NaN MIDC E-MINI DEC9 NaN
2009-12-18 162473 DMZ9 2009-12-18 CME:Index and Options Market NaN NaN 720 NaN 714.83 720.2 NaN NaN NaN NaN NaN MIDC E-MINI DEC9 NaN
期货的有趣和独特之处在于，到期日较远的合约，正如您在上面 2020 年到期的合约中看到的那样，实际上没有交易量。以下是 2018 年 3 月 15 日使用以下代码获取的所有期货交易合约的列表：
In [32]: subdf = df.loc["SP"]
In [33]: today_df = subdf.loc[[pd.to_datetime("2018-03-15")]]
In [34]: today_df
Out[34]:
dataPoint RIC ExpirationDate Exchange Description Open Low High Last Settlement Price Ask Bid Volume OpenInterest BlockVolume TotalVolume2 SecurityDescription SecurityLongDescription
closingDate
2018-03-15 0 SPH0 2020-03-20 CME:Index and Options Market NaN NaN NaN NaN 2811.2 NaN NaN 0 NaN NaN NaN SP500 IDX MAR0 NaN
2018-03-15 12962 SPH8 2018-03-16 CME:Index and Options Market 2757.0 2,745 2,762 2749.5 2751.6 NaN NaN 3,150 59,617 NaN NaN SP500 IDX MAR8 NaN
2018-03-15 13215 SPH9 2019-03-15 CME:Index and Options Market NaN NaN NaN NaN 2772.4 NaN NaN 0 NaN NaN NaN SP500 IDX MAR9 NaN
2018-03-15 26461 SPM8 2018-06-15 CME:Index and Options Market 2756.7 2,745.40 2,767 2757.9 2755.6 NaN NaN 1,965 27,404 NaN NaN SP500 IDX JUN8 NaN
2018-03-15 29007 SPM9 2019-06-21 CME:Index and Options Market NaN NaN NaN NaN 2776.6 NaN NaN 0 NaN NaN NaN SP500 IDX JUN9 NaN
2018-03-15 41063 SPU8 2018-09-21 CME:Index and Options Market NaN NaN NaN NaN 2762.2 NaN NaN 3 25 NaN NaN SP500 IDX SEP8 NaN
2018-03-15 43600 SPU9 2019-09-20 CME:Index and Options Market NaN NaN NaN NaN 2784.0 NaN NaN 0 NaN NaN NaN SP500 IDX SEP9 NaN
2018-03-15 44765 SPZ0 2020-12-18 CME:Index and Options Market NaN NaN NaN NaN 2831.0 NaN NaN 0 NaN NaN NaN SP500 IDX DEC0 NaN
2018-03-15 45912 SPZ1 2021-12-17 CME:Index and Options Market NaN NaN NaN NaN 2885.1 NaN NaN 0 NaN NaN NaN SP500 IDX DEC1 NaN
2018-03-15 48719 SPZ2 2022-12-16 CME:Index and Options Market NaN NaN NaN NaN 2935.1 NaN NaN 0 NaN NaN NaN SP500 IDX DEC2 NaN
2018-03-15 60616 SPZ8 2018-12-21 CME:Index and Options Market NaN NaN NaN NaN 2767.3 NaN NaN 0 300 NaN NaN SP500 IDX DEC8 NaN
2018-03-15 62668 SPZ9 2019-12-20 CME:Index and Options Market NaN NaN NaN NaN 2791.4 NaN NaN 0 NaN NaN NaN SP500 IDX DEC9 NaN
从"ExpirationDate"栏可以看出，有很多合约在不同时间到期，即月合约 是最接近您当前日期的日期，通常在 3 个月内。所以很多研究者在交易的时候都会获取即月合约，我有代码可以做到：
######## COLLECT AND ADJUST DATA ########
df = pd.read_csv("Futures Data.csv", header=0, thousands=",", dtype="str")
df["closingDate"] = pd.to_datetime(df["closingDate"])
df["ExpirationDate"] = pd.to_datetime(df["ExpirationDate"])
underlierList = df.RICRoot.unique()
start_date = pd.to_datetime("7/1/1982")
end_date = pd.to_datetime('1/1/2012')
businessDays = pd.bdate_range(start_date, end_date)
####### ITERATE OVER TIMESPAN #######
while current_date <= end_date:
if current_date not in businessDays:
current_date += pd.DateOffset(days=1)
continue
for underlier in underlierList:
########## SEPERATE DATA BY UNDERLIER ##########
subdf = df.loc[underlier]
########## ACQUIRE CURRENT TRADING DAYS FOR ALL HORIZON CONTRACT LENGTHS##########
try:
today_df = subdf.loc[[current_date]]
yesterday_date = current_date-pd.DateOffset(days=1)
yesterday_df = subdf.loc[[yesterday_date]]
dataPresence = True
except:
continue
########## FIND FRONT MONTH CONTRACT ##########
v = pd.to_datetime(today_df.reset_index()['ExpirationDate'])
idx = (v.mask(v < current_date) - pd.to_datetime(current_date)).abs().idxmin()
today_row = today_df.iloc[idx, :]
######### HANDLE MISSING YESTERDAY ##########
for i in range(8):
try:
yesterday_row = yesterday_df.iloc[idx, :]
except IndexError:
continue
######### PRINT CURRENT DATA ##########
print(underlier)
print(" Current Trade Day : Expiration Date ")
print(yesterday_row.name, ":", yesterday_row["ExpirationDate"])
print(today_row.name, ":", today_row["ExpirationDate"])
print("----------------------------------------")
但是，这非常慢。而当运行这段代码放在很长的范围内时，就变得异常耗时。是否有更有效的逻辑来解决这个问题，如果有，我该如何实施？也许我什至应该更改我的初始数据结构（多索引）。
您可以按 ExpirationDate 排序并取前两行：
import pandas as pd
df = pd.DataFrame([
{'closingDate': '2018-03-11', 'ExpirationDate': '2020-03-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2019-03-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2019-04-20'},
{'closingDate': '2018-03-11', 'ExpirationDate': '2018-12-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2020-03-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2019-03-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2019-04-20'},
{'closingDate': '2018-03-15', 'ExpirationDate': '2018-12-20'},
])
df['closingDate'] = pd.to_datetime(df['closingDate'])
df['ExpirationDate'] = pd.to_datetime(df['ExpirationDate'])
today_df = df[df['closingDate'] == '2018-03-15']
today_df.sort_values('ExpirationDate').head(2)
# ExpirationDate closingDate
# 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15
如果您想同时获得所有 closingDate 的两个最低 ExpirationDate，请使用
df.groupby('closingDate').apply(lambda g: g.sort_values('ExpirationDate').head(2))
# ExpirationDate closingDate
# closingDate
# 2018-03-11 3 2018-12-20 2018-03-11
# 1 2019-03-20 2018-03-11
# 2018-03-15 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15
或者，您可以同时按 closingDate 和 ExpirationDate 排序，而不是在每个组中排序，然后只获取每个组中最上面的两行，完全向量化操作：
df = df.sort_values(['closingDate', 'ExpirationDate'])
df.groupby('closingDate').head(2)
# ExpirationDate closingDate
# 3 2018-12-20 2018-03-11
# 1 2019-03-20 2018-03-11
# 7 2018-12-20 2018-03-15
# 5 2019-03-20 2018-03-15