Fixed open figi mapping for FX (#174)

quarkfin · Jul 10, 2024 · ce23e9c · ce23e9c
1 parent b6eba1e
commit ce23e9c
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Showing 2 changed files with 4 additions and 3 deletions.
diff --git a/qf_lib/backtesting/contract/contract_to_ticker_conversion/bbg_figi_mapper.py b/qf_lib/backtesting/contract/contract_to_ticker_conversion/bbg_figi_mapper.py
@@ -174,8 +174,8 @@ def _ticker_from_openfigi_response(self, contract_data: Dict[str, str], figi: st
  'Equity': (SecurityType.STOCK, ['ticker', 'exchCode', 'marketSector']),
  'Mutual Fund': (SecurityType.STOCK, ['ticker', 'exchCode', 'marketSector']),
  'Future': (SecurityType.FUTURE, ['ticker', 'marketSector']),
- 'CROSS': (SecurityType.FX, ['ticker', 'marketSector']),
- 'SPOT': (SecurityType.FX, ['ticker', 'marketSector']),
+ 'CROSS': (SecurityType.FX, ['securityDescription']),
+ 'SPOT': (SecurityType.FX, ['securityDescription']),
  }
 
  try:

diff --git a/...egration_tests/backtesting/contract/contract_to_ticker_conversion/test_bbg_figi_mapper.py b/...egration_tests/backtesting/contract/contract_to_ticker_conversion/test_bbg_figi_mapper.py
@@ -50,9 +50,10 @@ def test_incorrect_figi_to_ticker__no_data_preloading(self):
  def test_figi_to_ticker__no_data_preloading(self):
  mapper = BloombergTickerMapper(data_caching=False)
 
- figis = ["BBG000H4FSM0", "BBG000BDTBL9", "BBG0013HFN45"]
+ figis = ["BBG000H4FSM0", "BBG000BDTBL9", "BBG0013HQFX8", "BBG0013HFN45"]
  expected_tickers = [BloombergTicker("SPX Index", SecurityType.INDEX),
  BloombergTicker("SPY US Equity", SecurityType.STOCK),
+ BloombergTicker("EURCHF Curncy", SecurityType.FX),
  BloombergTicker("USDCHF Curncy", SecurityType.FX)]
 
  for figi, ticker in zip(figis, expected_tickers):