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BUG: Fix continuous future history with offsets.

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Apply offset value when writing out the rolls in a continuous future
which is offset from the primary.
This commit is contained in:
Eddie Hebert
2016-10-27 16:23:03 -04:00
parent e7ca08038a
commit 4235dbd758
2 changed files with 57 additions and 2 deletions
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tests/test_continuous_futures.py
+54
View File
@@ -456,6 +456,60 @@ def record_current_contract(algo, data):
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_session_secondary(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 1, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-26', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
2,
"Should be FOH16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
2,
"Should be FOH16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
3,
"Should be FOJ16 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],
2,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
3,
"Should be FOJ16 on session after roll.")
self.assertEqual(window.loc['2016-03-24', cf],
4,
"Should be FOK16 on session with roll.")
self.assertEqual(window.loc['2016-03-28', cf],
4,
"Should be FOK16 on session after roll.")
def test_history_sid_session_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
zipline/assets/roll_finder.py
+3 -2
View File
@@ -79,7 +79,7 @@ class RollFinder(with_metaclass(ABCMeta, object)):
is after the range.
"""
oc = self.asset_finder.get_ordered_contracts(root_symbol)
front = self.get_contract_center(root_symbol, end, offset)
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)
@@ -106,7 +106,8 @@ class RollFinder(with_metaclass(ABCMeta, object)):
session_loc -= 1
roll_session = sessions[session_loc + 1]
if roll_session > start:
rolls.insert(0, (front, roll_session))
rolls.insert(0, (oc.contract_sids[i + offset],
roll_session))
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i],
tz='UTC')