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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
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zipline/data/dispatch_bar_reader.py
+4 -4
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@@ -17,7 +17,7 @@ from abc import ABCMeta, abstractmethod
from numpy import (
full,
nan,
uint32,
int64,
zeros
)
from six import iteritems, with_metaclass
@@ -70,10 +70,10 @@ class AssetDispatchBarReader(with_metaclass(ABCMeta)):
return self._dt_window_size(start_dt, end_dt), num_sids
def _make_raw_array_out(self, field, shape):
if field != 'volume':
if field != 'volume' and field != 'sid':
out = full(shape, nan)
else:
out = zeros(shape, dtype=uint32)
out = zeros(shape, dtype=int64)
return out
@property
@@ -94,7 +94,7 @@ class AssetDispatchBarReader(with_metaclass(ABCMeta)):
def get_value(self, sid, dt, field):
asset = self._asset_finder.retrieve_asset(sid)
r = self._readers[type(asset)]
return r.get_value(sid, dt, field)
return r.get_value(asset, dt, field)
def get_last_traded_dt(self, asset, dt):
r = self._readers[type(asset)]