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ENH: Allow future chains to only use certain delivery months.

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To support contracts such as `PL` which should roll from F->J->N->V, add the
ability to pass a predicate function to the ordered contract chain contstrution
which returns `True` if the contract is allowed in the chain.
This commit is contained in:
Eddie Hebert
2016-12-01 13:26:07 -05:00
parent 3575351306
commit 1f71c8d068
5 changed files with 170 additions and 26 deletions
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tests/test_continuous_futures.py
+106 -9
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@@ -13,6 +13,7 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from collections import deque
from functools import partial
from textwrap import dedent
from numpy import (
@@ -28,7 +29,10 @@ import pandas as pd
from pandas import Timestamp, DataFrame
from zipline import TradingAlgorithm
from zipline.assets.continuous_futures import OrderedContracts
from zipline.assets.continuous_futures import (
OrderedContracts,
delivery_predicate
)
from zipline.data.minute_bars import FUTURES_MINUTES_PER_DAY
from zipline.testing.fixtures import (
WithAssetFinder,
@@ -55,12 +59,16 @@ class ContinuousFuturesTestCase(WithCreateBarData,
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
TRADING_ENV_FUTURE_CHAIN_PREDICATES = {
'BZ': partial(delivery_predicate, set(['F', 'H'])),
}
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO', 'BA'],
'root_symbol_id': [1, 2],
'exchange': ['CME', 'CME']})
'root_symbol': ['FO', 'BA', 'BZ'],
'root_symbol_id': [1, 2, 3],
'exchange': ['CME', 'CME', 'CME']})
@classmethod
def make_futures_info(self):
@@ -144,7 +152,34 @@ class ContinuousFuturesTestCase(WithCreateBarData,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame])
# BZ is set up to test chain predicates, for futures such as PL which
# only use a subset of contracts for the roll chain.
bz_frame = DataFrame({
'symbol': ['BZF16', 'BZG16', 'BZH16'],
'root_symbol': ['BZ'] * 3,
'asset_name': ['Baz'] * 3,
'sid': range(10, 13),
'start_date': [Timestamp('2005-01-01', tz='UTC'),
Timestamp('2005-01-21', tz='UTC'),
Timestamp('2005-01-21', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-11-21', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'expiration_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame, bz_frame])
@classmethod
def make_future_minute_bar_data(cls):
@@ -593,6 +628,27 @@ def record_current_contract(algo, data):
9,
"Should have remained BAM16")
def test_history_sid_session_delivery_predicate(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'BZ', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-11 18:01', tz='US/Eastern').tz_convert('UTC'),
3, '1d', 'sid')
self.assertEqual(window.loc['2016-01-08', cf],
10,
"Should be BZF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-11', cf],
12,
"Should be BZH16 after first roll, having skipped "
"over BZG16.")
self.assertEqual(window.loc['2016-01-12', cf],
12,
"Should have remained BZG16")
def test_history_sid_session_secondary(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 1, 'calendar')
@@ -1094,15 +1150,16 @@ class OrderedContractsTestCase(WithAssetFinder,
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO'],
'root_symbol_id': [1],
'exchange': ['CME']})
'root_symbol': ['FO', 'BA'],
'root_symbol_id': [1, 2],
'exchange': ['CME', 'CME']})
@classmethod
def make_futures_info(self):
return DataFrame({
fo_frame = DataFrame({
'root_symbol': ['FO'] * 4,
'asset_name': ['Foo'] * 4,
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16'],
'sid': range(1, 5),
'start_date': pd.date_range('2015-01-01', periods=4, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=4, tz="UTC"),
@@ -1117,6 +1174,29 @@ class OrderedContractsTestCase(WithAssetFinder,
'multiplier': [1000.0] * 4,
'exchange': ['CME'] * 4,
})
# BA is set up to test a quarterly roll, to test Eurodollar-like
# behavior
# The roll should go from BAH16 -> BAM16
ba_frame = DataFrame({
'root_symbol': ['BA'] * 3,
'asset_name': ['Bar'] * 3,
'symbol': ['BAF16', 'BAG16', 'BAH16'],
'sid': range(5, 8),
'start_date': pd.date_range('2015-01-01', periods=3, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'notice_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'auto_close_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame])
def test_contract_at_offset(self):
contract_sids = array([1, 2, 3, 4], dtype=int64)
@@ -1197,6 +1277,23 @@ class OrderedContractsTestCase(WithAssetFinder,
self.assertEquals([4], list(chain),
"[4] should be active beginning at its start date.")
def test_delivery_predicate(self):
contract_sids = range(5, 8)
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('BA', contracts,
chain_predicate=partial(delivery_predicate,
set(['F', 'H'])))
# Test sid 1 as days increment, as the sessions march forward
# a contract should be added per day, until all defined contracts
# are returned.
chain = oc.active_chain(5, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals(
[5, 7], list(chain),
"Contract BAG16 (sid=6) should be ommitted from chain, since "
"it does not satisfy the roll predicate.")
class NoPrefetchContinuousFuturesTestCase(ContinuousFuturesTestCase):
DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0