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Merge pull request #1762 from quantopian/quarterly-currency-futures

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MAINT: Use a quarterly cycle for JY, CD, AD, and BP continuous futures
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Andrew Daniels
2017-04-25 15:52:56 -04:00
committed by GitHub
parent 8322423dc8 88398236ff
commit 0da8a59f4c
1 changed files with 15 additions and 2 deletions
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zipline/assets/continuous_futures.pyx
+15 -2
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@@ -47,10 +47,23 @@ def delivery_predicate(codes, contract):
delivery_code = contract.symbol[-3]
return delivery_code in codes
march_cycle_delivery_predicate = partial(delivery_predicate,
set(['H', 'M', 'U', 'Z']))
CHAIN_PREDICATES = {
'ME': partial(delivery_predicate, set(['H', 'M', 'U', 'Z'])),
'ME': march_cycle_delivery_predicate,
'PL': partial(delivery_predicate, set(['F', 'J', 'N', 'V'])),
'PA': partial(delivery_predicate, set(['H', 'M', 'U', 'Z']))
'PA': march_cycle_delivery_predicate,
# The majority of trading in these currency futures is done on a
# March quarterly cycle (Mar, Jun, Sep, Dec) but contracts are
# listed for the first 3 consecutive months from the present day. We
# want the continuous futures to be composed of just the quarterly
# contracts.
'JY': march_cycle_delivery_predicate,
'CD': march_cycle_delivery_predicate,
'AD': march_cycle_delivery_predicate,
'BP': march_cycle_delivery_predicate,
}
ADJUSTMENT_STYLES = {'add', 'mul', None}