Merge pull request #941 from quantopian/futures-tick-size

ENH: Adds tick_size and renames futures multiplier

tests/test_algorithm.py

@@ -649,7 +649,7 @@ class TestTransformAlgorithm(TestCase):
         cls.env = TradingEnvironment()
         cls.env.write_data(equities_identifiers=[0, 1, 133])
 
-        futures_metadata = {0: {'contract_multiplier': 10}}
+        futures_metadata = {0: {'multiplier': 10}}
         cls.futures_env = TradingEnvironment()
         cls.futures_env.write_data(futures_data=futures_metadata)
 
@@ -1916,7 +1916,7 @@ class TestFutureFlip(TestCase):
     def test_flip_algo(self):
         metadata = {1: {'symbol': 'TEST',
                         'end_date': self.days[3],
-                        'contract_multiplier': 5}}
+                        'multiplier': 5}}
         self.env.write_data(futures_data=metadata)
 
         algo = FutureFlipAlgo(sid=1, amount=1, env=self.env,

tests/test_assets.py

@@ -50,11 +50,15 @@ from zipline.assets.futures import (
 from zipline.assets.asset_writer import (
     check_version_info,
     write_version_info,
+    _futures_defaults,
 )
 from zipline.assets.asset_db_schema import (
     ASSET_DB_VERSION,
     _version_table_schema,
 )
+from zipline.assets.asset_db_migrations import (
+    downgrade
+)
 from zipline.errors import (
     EquitiesNotFound,
     FutureContractsNotFound,
@@ -64,6 +68,7 @@ from zipline.errors import (
     SidAssignmentError,
     SidsNotFound,
     SymbolNotFound,
+    AssetDBImpossibleDowngrade,
 )
 from zipline.finance.trading import TradingEnvironment, noop_load
 from zipline.utils.test_utils import (
@@ -280,7 +285,8 @@ class TestFuture(TestCase):
             notice_date=pd.Timestamp('2014-01-20', tz='UTC'),
             expiration_date=pd.Timestamp('2014-02-20', tz='UTC'),
             auto_close_date=pd.Timestamp('2014-01-18', tz='UTC'),
-            contract_multiplier=500
+            tick_size=.01,
+            multiplier=500
         )
         cls.future2 = Future(
             0,
@@ -311,7 +317,8 @@ class TestFuture(TestCase):
                         in reprd)
         self.assertTrue("auto_close_date=Timestamp('2014-01-18 00:00:00+0000'"
                         in reprd)
-        self.assertTrue("contract_multiplier=500" in reprd)
+        self.assertTrue("tick_size=0.01" in reprd)
+        self.assertTrue("multiplier=500" in reprd)
 
     def test_reduce(self):
         reduced = self.future.__reduce__()
@@ -319,11 +326,8 @@ class TestFuture(TestCase):
 
     def test_to_and_from_dict(self):
         dictd = self.future.to_dict()
-        self.assertTrue('root_symbol' in dictd)
-        self.assertTrue('notice_date' in dictd)
-        self.assertTrue('expiration_date' in dictd)
-        self.assertTrue('auto_close_date' in dictd)
-        self.assertTrue('contract_multiplier' in dictd)
+        for field in _futures_defaults.keys():
+            self.assertTrue(field in dictd)
 
         from_dict = Future.from_dict(dictd)
         self.assertTrue(isinstance(from_dict, Future))
@@ -1362,3 +1366,30 @@ class TestAssetDBVersioning(TestCase):
 
         # Now that the versions match, this Finder should succeed
         AssetFinder(engine=env.engine)
+
+    def test_downgrade(self):
+        # Attempt to downgrade a current assets db all the way down to v0
+        env = TradingEnvironment(load=noop_load)
+        conn = env.engine.connect()
+        downgrade(env.engine, 0)
+
+        # Verify that the db version is now 0
+        metadata = sa.MetaData(conn)
+        metadata.reflect(bind=env.engine)
+        version_table = metadata.tables['version_info']
+        check_version_info(version_table, 0)
+
+        # Check some of the v1-to-v0 downgrades
+        self.assertTrue('futures_contracts' in metadata.tables)
+        self.assertTrue('version_info' in metadata.tables)
+        self.assertFalse('tick_size' in
+                         metadata.tables['futures_contracts'].columns)
+        self.assertTrue('contract_multiplier' in
+                        metadata.tables['futures_contracts'].columns)
+
+    def test_impossible_downgrade(self):
+        # Attempt to downgrade a current assets db to a
+        # higher-than-current version
+        env = TradingEnvironment(load=noop_load)
+        with self.assertRaises(AssetDBImpossibleDowngrade):
+            downgrade(env.engine, ASSET_DB_VERSION + 5)

tests/test_perf_tracking.py

@@ -1007,7 +1007,7 @@ class TestPositionPerformance(unittest.TestCase):
         cls.env = TradingEnvironment()
         # Sids 1 and 2 are equities, Sid 3 is a future
         cls.env.write_data(equities_identifiers=[1, 2],
-                           futures_data={3: {'contract_multiplier': 100}})
+                           futures_data={3: {'multiplier': 100}})
 
     @classmethod
     def tearDownClass(cls):
@@ -2551,8 +2551,8 @@ class TestPositionTracker(unittest.TestCase):
     @classmethod
     def setUpClass(cls):
         cls.env = TradingEnvironment()
-        futures_metadata = {3: {'contract_multiplier': 1000},
-                            4: {'contract_multiplier': 1000}}
+        futures_metadata = {3: {'multiplier': 1000},
+                            4: {'multiplier': 1000}}
         cls.env.write_data(equities_identifiers=[1, 2],
                            futures_data=futures_metadata)