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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
2016-10-12 11:22:46 -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
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@@ -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)),