ENH: Adds root_symbol attribute to Future class

Also update AssetFinder to handle root_symbol in meta data

tests/test_assets.py

@@ -230,6 +230,7 @@ class TestFuture(TestCase):
     future = Future(
         2468,
         symbol='OMH15',
+        root_symbol='OM',
         notice_date=pd.Timestamp('2014-01-20', tz='UTC'),
         expiration_date=pd.Timestamp('2014-02-20', tz='UTC'),
         contract_multiplier=500
@@ -244,6 +245,7 @@ class TestFuture(TestCase):
         self.assertTrue("Future" in reprd)
         self.assertTrue("2468" in reprd)
         self.assertTrue("OMH15" in reprd)
+        self.assertTrue("root_symbol='OM'" in reprd)
         self.assertTrue(("notice_date=Timestamp('2014-01-20 00:00:00+0000', "
                         "tz='UTC')") in reprd)
         self.assertTrue("expiration_date=Timestamp('2014-02-20 00:00:00+0000'"
@@ -256,6 +258,7 @@ class TestFuture(TestCase):
 
     def test_to_and_from_dict(self):
         dictd = self.future.to_dict()
+        self.assertTrue('root_symbol' in dictd)
         self.assertTrue('notice_date' in dictd)
         self.assertTrue('expiration_date' in dictd)
         self.assertTrue('contract_multiplier' in dictd)
@@ -264,6 +267,9 @@ class TestFuture(TestCase):
         self.assertTrue(isinstance(from_dict, Future))
         self.assertEqual(self.future, from_dict)
 
+    def test_root_symbol(self):
+        self.assertEqual('OM', self.future.root_symbol)
+
 
 class AssetFinderTestCase(TestCase):
 

zipline/assets/_assets.pyx

@@ -224,6 +224,7 @@ cdef class Equity(Asset):
 
 cdef class Future(Asset):
 
+    cdef readonly object root_symbol
     cdef readonly object notice_date
     cdef readonly object expiration_date
     cdef readonly int contract_multiplier
@@ -231,6 +232,7 @@ cdef class Future(Asset):
     def __cinit__(self,
                   int sid, # sid is required
                   object symbol="",
+                  object root_symbol="",
                   object asset_name="",
                   object start_date=None,
                   object end_date=None,
@@ -240,6 +242,7 @@ cdef class Future(Asset):
                   object exchange="",
                   int contract_multiplier=1):
 
+        self.root_symbol         = root_symbol
         self.notice_date         = notice_date
         self.expiration_date     = expiration_date
         self.contract_multiplier = contract_multiplier
@@ -255,7 +258,7 @@ cdef class Future(Asset):
             return 'Future(%d)' % self.sid
 
     def __repr__(self):
-        attrs = ('symbol', 'asset_name', 'exchange',
+        attrs = ('symbol', 'root_symbol', 'asset_name', 'exchange',
                  'start_date', 'end_date', 'first_traded', 'notice_date',
                  'expiration_date', 'contract_multiplier')
         tuples = ((attr, repr(getattr(self, attr, None)))
@@ -273,6 +276,7 @@ cdef class Future(Asset):
         """
         return (self.__class__, (self.sid,
                                  self.symbol,
+                                 self.root_symbol,
                                  self.asset_name,
                                  self.start_date,
                                  self.end_date,
@@ -287,6 +291,7 @@ cdef class Future(Asset):
         Convert to a python dict.
         """
         super_dict = super(Future, self).to_dict()
+        super_dict['root_symbol'] = self.root_symbol
         super_dict['notice_date'] = self.notice_date
         super_dict['expiration_date'] = self.expiration_date
         super_dict['contract_multiplier'] = self.contract_multiplier

zipline/assets/assets.py

@@ -44,6 +44,7 @@ ASSET_FIELDS = [
     'sid',
     'asset_type',
     'symbol',
+    'root_symbol',
     'asset_name',
     'start_date',
     'end_date',