Merge pull request #1726 from quantopian/cf-adjustment-arg

Make continuous future adjustment style an argument

tests/test_assets.py

@@ -161,7 +161,10 @@ def build_lookup_generic_cases(asset_finder_type):
         ]
         fof14 = finder.retrieve_asset(fof14_sid)
         cf = finder.create_continuous_future(
-            root_symbol=fof14.root_symbol, offset=0, roll_style='volume',
+            root_symbol=fof14.root_symbol,
+            offset=0,
+            roll_style='volume',
+            adjustment=None,
         )
 
         dupe_0_start = dupe_0.start_date

tests/test_continuous_futures.py

@@ -348,7 +348,9 @@ class ContinuousFuturesTestCase(WithCreateBarData,
         close date. See `VolumeRollFinder._active_contract` for a full
         explanation and example.
         """
-        cf = self.asset_finder.create_continuous_future('DF', 0, 'volume')
+        cf = self.asset_finder.create_continuous_future(
+            'DF', 0, 'volume', None,
+        )
 
         sessions = self.trading_calendar.sessions_in_range(
             '2016-02-09', '2016-02-17',
@@ -385,7 +387,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
 
     def test_create_continuous_future(self):
         cf_primary = self.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
 
         self.assertEqual(cf_primary.root_symbol, 'FO')
         self.assertEqual(cf_primary.offset, 0)
@@ -401,7 +403,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
         self.assertEqual(retrieved_primary, cf_primary)
 
         cf_secondary = self.asset_finder.create_continuous_future(
-            'FO', 1, 'calendar')
+            'FO', 1, 'calendar', None)
 
         self.assertEqual(cf_secondary.root_symbol, 'FO')
         self.assertEqual(cf_secondary.offset, 1)
@@ -421,11 +423,12 @@ class ContinuousFuturesTestCase(WithCreateBarData,
         # Assert that the proper exception is raised if the given root symbol
         # does not exist.
         with self.assertRaises(SymbolNotFound):
-            self.asset_finder.create_continuous_future('NO', 0, 'calendar')
+            self.asset_finder.create_continuous_future(
+                'NO', 0, 'calendar', None)
 
     def test_current_contract(self):
         cf_primary = self.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         bar_data = self.create_bardata(
             lambda: pd.Timestamp('2016-01-26', tz='UTC'))
         contract = bar_data.current(cf_primary, 'contract')
@@ -442,7 +445,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
 
     def test_get_value_contract_daily(self):
         cf_primary = self.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
 
         contract = self.data_portal.get_spot_value(
             cf_primary,
@@ -466,7 +469,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
 
     def test_get_value_close_daily(self):
         cf_primary = self.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
 
         value = self.data_portal.get_spot_value(
             cf_primary,
@@ -504,7 +507,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
 
     def test_current_contract_volume_roll(self):
         cf_primary = self.asset_finder.create_continuous_future(
-            'FO', 0, 'volume')
+            'FO', 0, 'volume', None)
         bar_data = self.create_bardata(
             lambda: pd.Timestamp('2016-01-26', tz='UTC'))
         contract = bar_data.current(cf_primary, 'contract')
@@ -535,8 +538,8 @@ from zipline.api import (
 )
 
 def initialize(algo):
-    algo.primary_cl = continuous_future('FO', 0, 'calendar')
-    algo.secondary_cl = continuous_future('FO', 1, 'calendar')
+    algo.primary_cl = continuous_future('FO', 0, 'calendar', None)
+    algo.secondary_cl = continuous_future('FO', 1, 'calendar', None)
     schedule_function(record_current_contract)
 
 def record_current_contract(algo, data):
@@ -588,8 +591,8 @@ from zipline.api import (
 )
 
 def initialize(algo):
-    algo.primary_cl = continuous_future('FO', 0, 'calendar')
-    algo.secondary_cl = continuous_future('FO', 1, 'calendar')
+    algo.primary_cl = continuous_future('FO', 0, 'calendar', None)
+    algo.secondary_cl = continuous_future('FO', 1, 'calendar', None)
     schedule_function(record_current_contract)
 
 def record_current_contract(algo, data):
@@ -681,7 +684,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_session(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf],
             Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -735,7 +738,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_session_quarter_rolls(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'BA', 0, 'calendar')
+            'BA', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf],
             Timestamp('2016-03-13 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -756,7 +759,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_session_delivery_predicate(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'BZ', 0, 'calendar')
+            'BZ', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf],
             Timestamp('2016-01-11 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -777,7 +780,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_session_secondary(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 1, 'calendar')
+            'FO', 1, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf],
             Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -831,7 +834,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_session_volume_roll(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'volume')
+            'FO', 0, 'volume', None)
         window = self.data_portal.get_history_window(
             [cf],
             Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -895,7 +898,7 @@ def record_current_contract(algo, data):
 
     def test_history_sid_minute(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf.sid],
             Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -930,7 +933,7 @@ def record_current_contract(algo, data):
 
     def test_history_close_session(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
 
@@ -980,7 +983,7 @@ def record_current_contract(algo, data):
 
     def test_history_close_session_skip_volume(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'MA', 0, 'volume')
+            'MA', 0, 'volume', None)
         window = self.data_portal.get_history_window(
             [cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
 
@@ -1020,11 +1023,11 @@ def record_current_contract(algo, data):
 
     def test_history_close_session_adjusted(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         cf_mul = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar').adj('mul')
+            'FO', 0, 'calendar', 'mul')
         cf_add = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar').adj('add')
+            'FO', 0, 'calendar', 'add')
         window = self.data_portal.get_history_window(
             [cf, cf_mul, cf_add],
             Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
@@ -1148,7 +1151,7 @@ def record_current_contract(algo, data):
 
     def test_history_close_minute(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         window = self.data_portal.get_history_window(
             [cf.sid],
             Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -1183,11 +1186,11 @@ def record_current_contract(algo, data):
 
     def test_history_close_minute_adjusted(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar')
+            'FO', 0, 'calendar', None)
         cf_mul = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar').adj('mul')
+            'FO', 0, 'calendar', 'mul')
         cf_add = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'calendar').adj('add')
+            'FO', 0, 'calendar', 'add')
         window = self.data_portal.get_history_window(
             [cf, cf_mul, cf_add],
             Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
@@ -1247,11 +1250,11 @@ def record_current_contract(algo, data):
 
     def test_history_close_minute_adjusted_volume_roll(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'volume')
+            'FO', 0, 'volume', None)
         cf_mul = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'volume').adj('mul')
+            'FO', 0, 'volume', 'mul')
         cf_add = self.data_portal.asset_finder.create_continuous_future(
-            'FO', 0, 'volume').adj('add')
+            'FO', 0, 'volume', 'add')
         window = self.data_portal.get_history_window(
             [cf, cf_mul, cf_add],
             Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),

zipline/algorithm.py

@@ -1201,7 +1201,11 @@ class TradingAlgorithm(object):
 
     @api_method
     @preprocess(root_symbol_str=ensure_upper_case)
-    def continuous_future(self, root_symbol_str, offset, roll):
+    def continuous_future(self,
+                          root_symbol_str,
+                          offset,
+                          roll,
+                          adjustment='mul'):
         """Create a specifier for a continuous contract.
 
         Parameters
@@ -1215,6 +1219,10 @@ class TradingAlgorithm(object):
         roll_style : str
             How rolls are determined.
 
+        adjustment : str
+            Method for adjusting lookback prices between rolls. Options are
+            'mul', 'add', and None. Defaults to 'mul'.
+
         Returns
         -------
         continuous_future : ContinuousFuture
@@ -1224,6 +1232,7 @@ class TradingAlgorithm(object):
             root_symbol_str,
             offset,
             roll,
+            adjustment,
         )
 
     @api_method

zipline/api.pyi

@@ -60,7 +60,7 @@ def cancel_order(order_param):
         The order_id or order object to cancel.
     """
 
-def continuous_future(root_symbol_str, offset, roll):
+def continuous_future(root_symbol_str, offset, roll, adjustment='mul'):
     """Create a specifier for a continuous contract.
 
     Parameters
@@ -74,6 +74,10 @@ def continuous_future(root_symbol_str, offset, roll):
     roll_style : str
         How rolls are determined.
 
+    adjustment : str
+        Method for adjusting lookback prices between rolls. Options are
+        'mul', 'add', and None. Defaults to 'mul'.
+
     Returns
     -------
     continuous_future : ContinuousFuture

zipline/assets/assets.py

@@ -16,6 +16,7 @@ from abc import ABCMeta
 import array
 import binascii
 from collections import deque, namedtuple
+from functools import partial
 from numbers import Integral
 from operator import itemgetter, attrgetter
 import struct
@@ -54,9 +55,10 @@ from . import (
     Asset, Equity, Future,
 )
 from . continuous_futures import (
-    OrderedContracts,
+    ADJUSTMENT_STYLES,
+    CHAIN_PREDICATES,
     ContinuousFuture,
-    CHAIN_PREDICATES
+    OrderedContracts,
 )
 from .asset_writer import (
     check_version_info,
@@ -1016,7 +1018,17 @@ class AssetFinder(object):
             self._ordered_contracts[root_symbol] = oc
             return oc
 
-    def create_continuous_future(self, root_symbol, offset, roll_style):
+    def create_continuous_future(self,
+                                 root_symbol,
+                                 offset,
+                                 roll_style,
+                                 adjustment):
+        if adjustment not in ADJUSTMENT_STYLES:
+            raise ValueError(
+                'Invalid adjustment style {!r}. Allowed adjustment styles are '
+                '{}.'.format(adjustment, list(ADJUSTMENT_STYLES))
+            )
+
         oc = self.get_ordered_contracts(root_symbol)
         exchange = self._get_root_symbol_exchange(root_symbol)
 
@@ -1029,37 +1041,26 @@ class AssetFinder(object):
         add_sid = _encode_continuous_future_sid(root_symbol, offset,
                                                 roll_style,
                                                 'add')
-        mul_cf = ContinuousFuture(mul_sid,
-                                  root_symbol,
-                                  offset,
-                                  roll_style,
-                                  oc.start_date,
-                                  oc.end_date,
-                                  exchange,
-                                  'mul')
-        add_cf = ContinuousFuture(add_sid,
-                                  root_symbol,
-                                  offset,
-                                  roll_style,
-                                  oc.start_date,
-                                  oc.end_date,
-                                  exchange,
-                                  'add')
-        cf = ContinuousFuture(sid,
-                              root_symbol,
-                              offset,
-                              roll_style,
-                              oc.start_date,
-                              oc.end_date,
-                              exchange,
-                              adjustment_children={
-                                  'mul': mul_cf,
-                                  'add': add_cf
-                              })
+
+        cf_template = partial(
+            ContinuousFuture,
+            root_symbol=root_symbol,
+            offset=offset,
+            roll_style=roll_style,
+            start_date=oc.start_date,
+            end_date=oc.end_date,
+            exchange=exchange,
+        )
+
+        cf = cf_template(sid=sid)
+        mul_cf = cf_template(sid=mul_sid, adjustment='mul')
+        add_cf = cf_template(sid=add_sid, adjustment='add')
+
         self._asset_cache[cf.sid] = cf
-        self._asset_cache[add_cf.sid] = add_cf
         self._asset_cache[mul_cf.sid] = mul_cf
-        return cf
+        self._asset_cache[add_cf.sid] = add_cf
+
+        return {None: cf, 'mul': mul_cf, 'add': add_cf}[adjustment]
 
     def _make_sids(tblattr):
         def _(self):

zipline/assets/continuous_futures.pyx

@@ -53,6 +53,8 @@ CHAIN_PREDICATES = {
     'PA': partial(delivery_predicate, set(['H', 'M', 'U', 'Z']))
 }
 
+ADJUSTMENT_STYLES = {'add', 'mul', None}
+
 
 cdef class ContinuousFuture:
     """