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Merge pull request #1606 from quantopian/fix-volume-rolls-with-adjustments

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BUG: Fix 1m history for volume rolls with adjustments.
This commit is contained in:
Eddie Hebert
2016-11-30 14:24:02 -05:00
committed by GitHub
parent 726edb0e32 d217b275fb
commit 3575351306
2 changed files with 66 additions and 1 deletions
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tests/test_continuous_futures.py
+64
View File
@@ -1023,6 +1023,70 @@ def record_current_contract(algo, data):
125250.001,
"Should remain FOH16 on next session.")
def test_history_close_minute_adjusted_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
cf_mul = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume').adj('mul')
cf_add = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume').adj('add')
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# Unadjusted: 115231.412
# Adjustment based on roll:
# 2016-02-25 23:00:00+00:00
# front: 115231.440
# back: 125231.440
# Ratio: ~0.920
# Difference: 10000.00
self.assertEqual(window.loc['2016-02-25 22:32', cf_mul],
125231.41,
"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 22:32', cf_add],
125231.412,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
# Unadjusted: 115231.44
# Should use same ratios as above.
self.assertEqual(window.loc['2016-02-25 23:00', cf_mul],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:00', cf_add],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_mul],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_add],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
# Advance the window a session.
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# No adjustments in this window.
self.assertEqual(window.loc['2016-02-26 22:32', cf_mul],
125241.412,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-28 23:01', cf_mul],
125250.001,
"Should remain FOH16 on next session.")
class OrderedContractsTestCase(WithAssetFinder,
ZiplineTestCase):
zipline/assets/roll_finder.py
+2 -1
View File
@@ -80,7 +80,8 @@ class RollFinder(with_metaclass(ABCMeta, object)):
front = self.get_contract_center(root_symbol, end, 0)
back = oc.contract_at_offset(front, 1, end.value)
if back is not None:
first = self._active_contract(oc, front, back, end)
end_session = self.trading_calendar.minute_to_session_label(end)
first = self._active_contract(oc, front, back, end_session)
else:
first = front
first_contract = oc.sid_to_contract[first]