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Merge pull request #1563 from quantopian/use-same-session-for-contract-closes

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BUG: Use proxy for settlement on future adjustments.
This commit is contained in:
Eddie Hebert
2016-10-27 13:31:12 -04:00
committed by GitHub
parent e7ca08038a aa021531d9
commit 43ca435e1a
2 changed files with 57 additions and 57 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_continuous_futures.py
+29 -26
View File
@@ -617,18 +617,18 @@ def record_current_contract(algo, data):
Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
# Unadjusted value is: 115011.44
# Adjustment is based on hop from 115231.44 to 122240.001
# a ratio of ~1.06
# Adjustment is based on hop from 115231.44 to 125231.44
# a ratio of ~0.920
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
118833.237,
124992.348,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
119028.562,
125011.44,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
@@ -661,50 +661,52 @@ def record_current_contract(algo, data):
# Unadjusted value: 115221.44
# Adjustments based on hops:
# 2016-02-25 00:00:00+00:00 115231.440
# 2016-02-26 00:00:00+00:00 122240.001
# ratio: ~1.061
# difference: 7008.561
# 2016-02-25 00:00:00+00:00
# front 115231.440
# back 125231.440
# ratio: ~0.920
# difference: 10000.0
# and
# 2016-03-23 00:00:00+00:00 125421.440
# 2016-03-24 00:00:00+00:00 132430.001
# ratio: ~1.056
# difference: 7008.56
# 2016-03-23 00:00:00+00:00
# front 125421.440
# back 135421.440
# ratio: ~1.080
# difference: 10000.00
assert_almost_equal(
window.loc['2016-02-24', cf_mul],
129090.459,
135236.905,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments.")
assert_almost_equal(
window.loc['2016-02-24', cf_add],
129268.561,
135251.44,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments")
# Unadjusted: 125241.44
assert_almost_equal(
window.loc['2016-02-26', cf_mul],
132271.58,
135259.442,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-26', cf_add],
132280.0,
135271.44,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
# Unadjusted: 125251.44
assert_almost_equal(
window.loc['2016-02-29', cf_mul],
132282.141,
135270.241,
err_msg="On session after roll, should be FOH16's 25th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-29', cf_add],
132290.00,
135281.44,
err_msg="On session after roll, should be FOH16's 25th value, "
"unadjusted.")
@@ -780,29 +782,30 @@ def record_current_contract(algo, data):
# Unadjusted: 115231.412
# Adjustment based on roll:
# 2016-02-25 23:00:00+00:00 115231.440
# 2016-02-25 23:01:00+00:00 122240.001
# Ratio: ~1.061
# Difference: 7008.561
# 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],
122239.971,
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],
122239.973,
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],
122240.001,
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:00', cf_add],
122240.001,
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
zipline/data/history_loader.py
+28 -31
View File
@@ -184,15 +184,15 @@ class ContinuousFutureAdjustmentReader(object):
def _make_adjustment(self,
adjustment_type,
left_close,
right_open,
front_close,
back_close,
end_loc):
adj_base = left_close - right_open
adj_base = back_close - front_close
if adjustment_type == 'mul':
adj_value = 1.0 - adj_base / left_close
adj_value = 1.0 + adj_base / front_close
adj_class = Float64Multiply
elif adjustment_type == 'add':
adj_value = -adj_base
adj_value = adj_base
adj_class = Float64Add
return adj_class(0,
end_loc,
@@ -215,37 +215,34 @@ class ContinuousFutureAdjustmentReader(object):
adjs = {}
for left, right in sliding_window(2, rolls):
left_sid, right_dt = left
right_sid = right[0]
left_dt = tc.previous_session_label(right_dt)
for front, back in sliding_window(2, rolls):
front_sid, roll_dt = front
back_sid = back[0]
dt = tc.previous_session_label(roll_dt)
if self._frequency == 'minute':
_, left_dt = tc.open_and_close_for_session(left_dt)
right_dt, _ = tc.open_and_close_for_session(right_dt)
partitions.append((left_sid,
right_sid,
left_dt,
right_dt))
dt = tc.open_and_close_for_session(dt)[1]
roll_dt = tc.open_and_close_for_session(roll_dt)[0]
partitions.append((front_sid,
back_sid,
dt,
roll_dt))
for partition in partitions:
left_sid, right_sid, left_dt, right_dt = partition
last_left_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(left_sid),
left_dt)
last_right_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(right_sid),
right_dt)
if isnull(last_left_dt) or isnull(last_right_dt):
front_sid, back_sid, dt, roll_dt = partition
last_front_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(front_sid), dt)
last_back_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(back_sid), dt)
if isnull(last_front_dt) or isnull(last_back_dt):
continue
left_close = self._bar_reader.get_value(
left_sid, last_left_dt, 'close')
right_open = self._bar_reader.get_value(
right_sid, last_right_dt, 'open')
adj_loc = dts.searchsorted(right_dt)
front_close = self._bar_reader.get_value(
front_sid, last_front_dt, 'close')
back_close = self._bar_reader.get_value(
back_sid, last_back_dt, 'close')
adj_loc = dts.searchsorted(roll_dt)
end_loc = adj_loc - 1
adj = self._make_adjustment(cf.adjustment,
left_close,
right_open,
front_close,
back_close,
end_loc)
try:
adjs[adj_loc].append(adj)