TST: Add tests for Future asset last sale price.

In support, also add future asset minute bar data and reader fixtures.

tests/test_data_portal.py

@@ -31,10 +31,28 @@ class TestDataPortal(WithDataPortal,
 
     ASSET_FINDER_EQUITY_SIDS = (1,)
     START_DATE = pd.Timestamp('2016-08-01')
-    END_DATE = pd.Timestamp('2016-08-04')
+    END_DATE = pd.Timestamp('2016-08-08')
+
+    TRADING_CALENDAR_STRS = ('NYSE', 'CME')
 
     EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE = True
 
+    @classmethod
+    def make_futures_info(cls):
+        trading_sessions = cls.trading_sessions['CME']
+        return pd.DataFrame({
+            'sid': [10000],
+            'root_symbol': ['BAR'],
+            'symbol': ['BARA'],
+            'start_date': [trading_sessions[1]],
+            'end_date': [cls.END_DATE],
+            # TODO: Make separate from 'end_date'
+            'notice_date': [cls.END_DATE],
+            'expiration_date': [cls.END_DATE],
+            'multiplier': [500],
+            'exchange': ['CME'],
+        })
+
     @classmethod
     def make_equity_minute_bar_data(cls):
         trading_calendar = cls.trading_calendars[Equity]
@@ -83,6 +101,58 @@ class TestDataPortal(WithDataPortal,
             index=dts))
         yield 1, pd.concat(dfs)
 
+    @classmethod
+    def make_future_minute_bar_data(cls):
+        asset = cls.asset_finder.retrieve_asset(10000)
+        trading_calendar = cls.trading_calendars[asset.exchange]
+        trading_sessions = cls.trading_sessions[asset.exchange]
+        # No data on first day, future asset intentionally not on the same
+        # dates as equities, so that cross-wiring of results do not create a
+        # false positive.
+        dts = trading_calendar.minutes_for_session(trading_sessions[1])
+        dfs = []
+        dfs.append(pd.DataFrame(
+            {
+                'open': full(len(dts), nan),
+                'high': full(len(dts), nan),
+                'low': full(len(dts), nan),
+                'close': full(len(dts), nan),
+                'volume': full(len(dts), 0),
+            },
+            index=dts))
+        dts = trading_calendar.minutes_for_session(trading_sessions[2])
+        dfs.append(pd.DataFrame(
+            {
+                'open': append(200.5, full(len(dts) - 1, nan)),
+                'high': append(200.9, full(len(dts) - 1, nan)),
+                'low': append(200.1, full(len(dts) - 1, nan)),
+                'close': append(200.3, full(len(dts) - 1, nan)),
+                'volume': append(2000, full(len(dts) - 1, nan)),
+            },
+            index=dts))
+        dts = trading_calendar.minutes_for_session(trading_sessions[3])
+        dfs.append(pd.DataFrame(
+            {
+                'open': [nan, 203.50, 202.50, 204.50, 201.50, nan],
+                'high': [nan, 203.90, 202.90, 204.90, 201.90, nan],
+                'low': [nan, 203.10, 202.10, 204.10, 201.10, nan],
+                'close': [nan, 203.30, 202.30, 204.30, 201.30, nan],
+                'volume': [0, 2003, 2002, 2004, 2001, 0]
+            },
+            index=dts[:6]
+        ))
+        dts = trading_calendar.minutes_for_session(trading_sessions[4])
+        dfs.append(pd.DataFrame(
+            {
+                'open': full(len(dts), nan),
+                'high': full(len(dts), nan),
+                'low': full(len(dts), nan),
+                'close': full(len(dts), nan),
+                'volume': full(len(dts), 0),
+            },
+            index=dts))
+        yield asset.sid, pd.concat(dfs)
+
     def test_get_last_traded_minute(self):
         trading_calendar = self.trading_calendars[Equity]
         # Case: Missing data at front of data set, and request dt is before
@@ -105,6 +175,28 @@ class TestDataPortal(WithDataPortal,
                          self.data_portal.get_last_traded_dt(
                              asset, dts[5], 'minute'))
 
+    def test_get_last_traded_minute_future(self):
+        asset = self.asset_finder.retrieve_asset(10000)
+        trading_calendar = self.trading_calendars[asset.exchange]
+        # Case: Missing data at front of data set, and request dt is before
+        # first value.
+        dts = trading_calendar.minutes_for_session(self.trading_days[0])
+        self.assertTrue(pd.isnull(
+            self.data_portal.get_last_traded_dt(
+                asset, dts[0], 'minute')))
+
+        # Case: Data on requested dt.
+        dts = trading_calendar.minutes_for_session(self.trading_days[3])
+
+        self.assertEqual(dts[1],
+                         self.data_portal.get_last_traded_dt(
+                             asset, dts[1], 'minute'))
+
+        # Case: No data on dt, but data occuring before dt.
+        self.assertEqual(dts[4],
+                         self.data_portal.get_last_traded_dt(
+                             asset, dts[5], 'minute'))
+
     def test_get_last_traded_dt_daily(self):
         # Case: Missing data at front of data set, and request dt is before
         # first value.