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ENH: Add history for continuous futures.

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Enable unadjusted history for continuous futures.

The history array is filled by the values for the underlying contracts,
where the contract used changes based on rolls.

e.g., if a `1d` history window was over the range
`2016-01-20` -> `2016-02-29` with contracts with a suffix of `F16` that
rolls at the beginning of the session on `2016-01-26`, `G16` on
`2016-02-26`, and `H16` on `2016-03-26`. The `2016-01-20` ->
`2016-01-25` portion would use the values for `F16', the `2016-01-26` ->
`2016-02-25` portion would use `G16` and the `2016-02-26` ->
`2016-02-29` portion would use `H16`.

Using the same contracts as above, a `1m` history window over the range
(using a timezone of US/Eastern) `2016-01-25 4:00PM` -> `2016-01-25
7:00PM` would fill the `4:00PM` -> `6:00PM` portion with data for `F16`
and the `6:01PM` -> `7:00PM` portion with data for `G16`, since the
beginning of the `2016-01-26` session is `2016-01-25 6:01PM`.

Supports `1d` and `1m`.

Also adds the `sid` field to `history` to assist in showing the active
contract at each dt in the window.
This commit is contained in:
Eddie Hebert
2016-10-16 22:40:08 -04:00
parent 3f8a86dbb5
commit 2f16c08dcd
10 changed files with 681 additions and 19 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+5 -3
View File
@@ -1440,7 +1440,7 @@ class TestAlgoScript(WithLogger,
STRING_TYPE_NAMES)
ARG_TYPE_TEST_CASES = (
('history__assets', (bad_type_history_assets,
ASSET_OR_STRING_TYPE_NAMES,
ASSET_OR_STRING_OR_CF_TYPE_NAMES,
True)),
('history__fields', (bad_type_history_fields,
STRING_TYPE_NAMES_STRING,
@@ -1458,10 +1458,12 @@ class TestAlgoScript(WithLogger,
('is_stale__assets', (bad_type_is_stale_assets, 'Asset', True)),
('can_trade__assets', (bad_type_can_trade_assets, 'Asset', True)),
('history_kwarg__assets',
(bad_type_history_assets_kwarg, ASSET_OR_STRING_TYPE_NAMES, True)),
(bad_type_history_assets_kwarg,
ASSET_OR_STRING_OR_CF_TYPE_NAMES,
True)),
('history_kwarg_bad_list__assets',
(bad_type_history_assets_kwarg_list,
ASSET_OR_STRING_TYPE_NAMES,
ASSET_OR_STRING_OR_CF_TYPE_NAMES,
True)),
('history_kwarg__fields',
(bad_type_history_fields_kwarg, STRING_TYPE_NAMES_STRING, True)),
tests/test_continuous_futures.py
+218 -4
View File
@@ -15,14 +15,23 @@
from textwrap import dedent
from numpy import array, int64
from numpy import (
arange,
array,
int64,
full,
repeat,
)
from numpy.testing import assert_almost_equal
import pandas as pd
from pandas import Timestamp, DataFrame
from zipline import TradingAlgorithm
from zipline.assets.continuous_futures import OrderedContracts
from zipline.data.minute_bars import FUTURES_MINUTES_PER_DAY
from zipline.testing.fixtures import (
WithCreateBarData,
WithBcolzFutureMinuteBarReader,
WithSimParams,
ZiplineTestCase,
)
@@ -30,6 +39,7 @@ from zipline.testing.fixtures import (
class ContinuousFuturesTestCase(WithCreateBarData,
WithSimParams,
WithBcolzFutureMinuteBarReader,
ZiplineTestCase):
START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
@@ -66,17 +76,17 @@ class ContinuousFuturesTestCase(WithCreateBarData,
Timestamp('2022-08-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-26', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-26', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-26', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'tick_size': [0.001] * 5,
@@ -84,6 +94,36 @@ class ContinuousFuturesTestCase(WithCreateBarData,
'exchange': ['CME'] * 5,
})
@classmethod
def make_future_minute_bar_data(cls):
tc = cls.trading_calendar
start = pd.Timestamp('2016-01-26', tz='UTC')
end = pd.Timestamp('2016-04-29', tz='UTC')
dts = tc.minutes_for_sessions_in_range(start, end)
sessions = tc.sessions_in_range(start, end)
# Generate values in the .0XX space such that the first session
# has 0.001 added to all values, the second session has 0.002,
# etc.
markers = repeat(
arange(0.001, 0.001 * (len(sessions) + 1), 0.001),
FUTURES_MINUTES_PER_DAY)
vol_markers = repeat(
arange(1, (len(sessions) + 1), 1, dtype=int64),
FUTURES_MINUTES_PER_DAY)
base_df = pd.DataFrame(
{
'open': full(len(dts), 100.2) + markers,
'high': full(len(dts), 100.9) + markers,
'low': full(len(dts), 100.1) + markers,
'close': full(len(dts), 100.5) + markers,
'volume': full(len(dts), 1000, dtype=int64) + vol_markers,
},
index=dts)
# Add the sid to the ones place of the prices, so that the ones
# place can be used to eyeball the source contract.
for i in range(5):
yield i, base_df + i
def test_create_continuous_future(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
@@ -287,6 +327,180 @@ def record_current_contract(algo, data):
'End of secondary chain should be FOJ16 on second '
'session.')
def test_history_sid_session(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-03 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-25', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26', cf],
1,
"Should be FOG16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOF16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
self.assertEqual(window.loc['2016-03-24', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-03-28', cf],
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-25 22:32', cf],
0,
"Should be FOF16 at beginning of window. A minute "
"which is in the 01-25 session, before the roll.")
self.assertEqual(window.loc['2016-01-25 23:00', cf],
0,
"Should be FOF16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-01-25 23:01', cf],
1,
"Should be FOG16 on minute after roll.")
# Advance the window a day.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26 23:01', cf],
1,
"Should remain FOG16 on next session.")
def test_history_close_session(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-01-26', cf],
101.501,
err_msg="At beginning of window, should be FOG16's first value.")
assert_almost_equal(
window.loc['2016-02-26', cf],
102.524,
err_msg="On session with roll, should be FOH16's 24th value.")
assert_almost_equal(
window.loc['2016-02-29', cf],
102.525,
err_msg="After roll, Should be FOH16's 25th value.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-02-24', cf],
101.522,
err_msg="At beginning of window, should be FOG16's 22nd value.")
assert_almost_equal(
window.loc['2016-02-26', cf],
102.524,
err_msg="On session with roll, should be FOH16's 24th value.")
assert_almost_equal(
window.loc['2016-02-29', cf],
102.525,
err_msg="On session after roll, should be FOH16's 25th value.")
assert_almost_equal(
window.loc['2016-03-24', cf],
103.543,
err_msg="On session with roll, should be FOJ16's 43rd value.")
assert_almost_equal(
window.loc['2016-03-28', cf],
103.544,
err_msg="On session after roll, Should be FOJ16's 44th value.")
def test_history_close_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
self.assertEqual(window.loc['2016-02-25 22:32', cf],
101.523,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
self.assertEqual(window.loc['2016-02-25 23:00', cf],
101.523,
"Should be FOG16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-02-25 23:01', cf],
102.524,
"Should be FOH16 on minute after roll.")
# Advance the window a session.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
self.assertEqual(window.loc['2016-02-26 22:32', cf],
102.524,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-28 23:01', cf],
102.525,
"Should remain FOH16 on next session.")
class OrderedContractsTestCase(ZiplineTestCase):