wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-04 06:25:04 +08:00
Code Issues Packages Projects Releases Wiki Activity

Merge pull request #1556 from quantopian/volume-based-rolls

Browse Source 
ENH: Volume based rolls for futures.
This commit is contained in:
Eddie Hebert
2016-10-25 15:21:41 -04:00
committed by GitHub
parent 7e3e00c772 473c8fddba
commit 642e404982
5 changed files with 248 additions and 73 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_continuous_futures.py
+157 -35
View File
@@ -62,37 +62,42 @@ class ContinuousFuturesTestCase(WithCreateBarData,
@classmethod
def make_futures_info(self):
return DataFrame({
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOF22'],
'root_symbol': ['FO', 'FO', 'FO', 'FO', 'FO'],
'asset_name': ['Foo'] * 5,
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOK16', 'FOF22'],
'root_symbol': ['FO'] * 6,
'asset_name': ['Foo'] * 6,
'start_date': [Timestamp('2015-01-05', tz='UTC'),
Timestamp('2015-02-05', tz='UTC'),
Timestamp('2015-03-05', tz='UTC'),
Timestamp('2015-04-05', tz='UTC'),
Timestamp('2015-05-05', tz='UTC'),
Timestamp('2021-01-05', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-09-19', tz='UTC'),
Timestamp('2016-10-19', tz='UTC'),
Timestamp('2016-11-19', tz='UTC'),
Timestamp('2016-12-19', tz='UTC'),
Timestamp('2022-08-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'tick_size': [0.001] * 5,
'multiplier': [1000.0] * 5,
'exchange': ['CME'] * 5,
'tick_size': [0.001] * 6,
'multiplier': [1000.0] * 6,
'exchange': ['CME'] * 6,
})
@classmethod
@@ -126,7 +131,6 @@ class ContinuousFuturesTestCase(WithCreateBarData,
arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
len(sessions))
vol_markers = vol_day_markers + vol_min_markers
base_df = pd.DataFrame(
{
'open': full(len(dts), 102000.0) + markers,
@@ -138,8 +142,39 @@ class ContinuousFuturesTestCase(WithCreateBarData,
index=dts)
# Add the sid to the ones place of the prices, so that the ones
# place can be used to eyeball the source contract.
for i in range(5):
yield i, base_df + i * 10000
# For volume roll tests end sid volume early.
# FOF16 cuts out day before autoclose of 01-26
# FOG16 cuts out on autoclose
# FOH16 cuts out 4 days before autoclose
# FOJ16 cuts out 3 days before autoclose
sid_to_vol_stop_session = {
0: Timestamp('2016-01-26', tz='UTC'),
1: Timestamp('2016-02-26', tz='UTC'),
2: Timestamp('2016-03-18', tz='UTC'),
3: Timestamp('2016-04-20', tz='UTC'),
}
for i in range(6):
df = base_df.copy()
df += i * 10000
if i in sid_to_vol_stop_session:
vol_stop_session = sid_to_vol_stop_session[i]
m_open = tc.open_and_close_for_session(vol_stop_session)[0]
loc = dts.searchsorted(m_open)
# Add a little bit of noise to roll. So that checks for exacly
# 0 do not work, since there may be stragglers after a roll.
df.volume.values[loc] = 1000
df.volume.values[loc + 1:] = 0
j = i - 1
if j in sid_to_vol_stop_session:
non_primary_end = sid_to_vol_stop_session[j] - sessions.freq
m_close = tc.open_and_close_for_session(non_primary_end)[1]
loc = dts.searchsorted(m_close)
# Add some volume before a roll, since a contracted may be
# entered earlier than when it is the primary.
df.volume.values[:loc] = 2000
yield i, df
def test_create_continuous_future(self):
cf_primary = self.asset_finder.create_continuous_future(
@@ -190,6 +225,29 @@ class ContinuousFuturesTestCase(WithCreateBarData,
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16')
def test_current_contract_volume_roll(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'volume')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
'Auto close at beginning of session. FOG16 remains '
'the current contract.')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-02-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOH16',
'Volume switch to FOH16, should have triggered roll.')
def test_current_contract_in_algo(self):
code = dedent("""
from zipline.api import (
@@ -276,15 +334,15 @@ def record_current_contract(algo, data):
result = results.iloc[0]
self.assertEqual(result.primary_len,
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date.')
self.assertEqual(result.secondary_len,
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. And the first is not included because it is '
'the primary on that date.')
@@ -299,27 +357,27 @@ def record_current_contract(algo, data):
'session.')
self.assertEqual(result.primary_last,
'FOJ16',
'End of primary chain should be FOJ16 on first '
'FOK16',
'End of primary chain should be FOK16 on first '
'session.')
self.assertEqual(result.secondary_last,
'FOJ16',
'End of secondary chain should be FOJ16 on first '
'FOK16',
'End of secondary chain should be FOK16 on first '
'session.')
# Second day, primary should switch to FOG
result = results.iloc[1]
self.assertEqual(result.primary_len,
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll.')
self.assertEqual(result.secondary_len,
2,
'There should be only 2 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll, '
'the second is the primary on that date.')
@@ -336,12 +394,12 @@ def record_current_contract(algo, data):
# These values remain FOJ16 because fixture data is not exhaustive
# enough to move the end of the chain.
self.assertEqual(result.primary_last,
'FOJ16',
'End of primary chain should be FOJ16 on second '
'FOK16',
'End of primary chain should be FOK16 on second '
'session.')
self.assertEqual(result.secondary_last,
'FOJ16',
'End of secondary chain should be FOJ16 on second '
'FOK16',
'End of secondary chain should be FOK16 on second '
'session.')
def test_history_sid_session(self):
@@ -398,6 +456,70 @@ def record_current_contract(algo, data):
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_session_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
# Volume cuts out for FOF16 on 2016-01-25
self.assertEqual(window.loc['2016-01-26', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should have remained FOG16.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 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],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
self.assertEqual(window.loc['2016-03-17', cf],
2,
"Should be FOH16 on session before volume cuts out.")
self.assertEqual(window.loc['2016-03-18', cf],
3,
"Should be FOJ16 on session where the volume of "
"FOH16 cuts out.")
self.assertEqual(window.loc['2016-03-24', cf],
3,
"Should have remained FOJ16.")
self.assertEqual(window.loc['2016-03-28', cf],
3,
"Should have remained FOJ16.")
def test_history_sid_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
@@ -550,39 +672,39 @@ def record_current_contract(algo, data):
# difference: 7008.56
assert_almost_equal(
window.loc['2016-02-24', cf_mul],
129059.581,
129090.459,
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],
129238.561,
129268.561,
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],
132239.942,
132271.58,
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],
132250.0,
132280.0,
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],
132250.500,
132282.141,
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],
132260.000,
132290.00,
err_msg="On session after roll, should be FOH16's 25th value, "
"unadjusted.")
zipline/assets/assets.py
+2 -1
View File
@@ -129,7 +129,8 @@ SID_TYPE_IDS = {
}
CONTINUOUS_FUTURE_ROLL_STYLE_IDS = {
'calendar': 0
'calendar': 0,
'volume': 1,
}
CONTINUOUS_FUTURE_ADJUSTMENT_STYLE_IDS = {
zipline/assets/continuous_futures.pyx
+6 -2
View File
@@ -297,7 +297,7 @@ cdef class OrderedContracts(object):
break
return self.contract_sids[i]
cpdef long_t contract_at_offset(self, long_t sid, Py_ssize_t offset):
cpdef contract_at_offset(self, long_t sid, Py_ssize_t offset, int64_t start_cap):
"""
Get the sid which is the given sid plus the offset distance.
An offset of 0 should be reflexive.
@@ -305,9 +305,13 @@ cdef class OrderedContracts(object):
cdef Py_ssize_t i
cdef long_t[:] sids
sids = self.contract_sids
start_dates = self.start_dates
for i in range(self._size):
if sid == sids[i]:
return sids[i + offset]
if start_dates[i + offset] < start_cap:
return sids[i + offset]
else:
return None
cpdef long_t[:] active_chain(self, long_t starting_sid, long_t dt_value):
cdef Py_ssize_t left, right, i, j
zipline/assets/roll_finder.py
+69 -29
View File
@@ -23,8 +23,10 @@ class RollFinder(with_metaclass(ABCMeta, object)):
Abstract base class for calculating when futures contracts are the active
contract.
"""
@abstractmethod
def _active_contract(self, oc, front, back, dt):
raise NotImplementedError
def get_contract_center(self, root_symbol, dt, offset):
"""
Parameters
@@ -42,9 +44,16 @@ class RollFinder(with_metaclass(ABCMeta, object)):
Future
The active future contract at the given dt.
"""
raise NotImplemented
oc = self.asset_finder.get_ordered_contracts(root_symbol)
session = self.trading_calendar.minute_to_session_label(dt)
front = oc.contract_before_auto_close(session.value)
back = oc.contract_at_offset(front, 1, dt.value)
if back is None:
return front
session = self.trading_calendar.minute_to_session_label(dt)
primary = self._active_contract(oc, front, back, session)
return oc.contract_at_offset(primary, offset, session.value)
@abstractmethod
def get_rolls(self, root_symbol, start, end, offset):
"""
Get the rolls, i.e. the session at which to hop from contract to
@@ -69,7 +78,39 @@ class RollFinder(with_metaclass(ABCMeta, object)):
The last pair in the chain has a value of `None` since the roll
is after the range.
"""
raise NotImplemented
oc = self.asset_finder.get_ordered_contracts(root_symbol)
front = self.get_contract_center(root_symbol, end, offset)
back = oc.contract_at_offset(front, 1, end.value)
if back is not None:
first = self._active_contract(oc, front, back, end)
else:
first = front
for i, sid in enumerate(oc.contract_sids):
if sid == first:
break
rolls = [(first, None)]
sessions = self.trading_calendar.sessions_in_range(start, end)
if first == front:
i -= 1
else:
i -= 2
auto_close_date = Timestamp(oc.auto_close_dates[i], tz='UTC')
while auto_close_date > start and i > -1:
session_loc = sessions.searchsorted(auto_close_date)
front = oc.contract_sids[i]
back = oc.contract_sids[i + 1]
while session_loc > -1:
session = sessions[session_loc]
if back != self._active_contract(oc, front, back, session):
break
session_loc -= 1
roll_session = sessions[session_loc + 1]
if roll_session > start:
rolls.insert(0, (front, roll_session))
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i],
tz='UTC')
return rolls
class CalendarRollFinder(RollFinder):
@@ -82,31 +123,30 @@ class CalendarRollFinder(RollFinder):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
def get_contract_center(self, root_symbol, dt, offset):
oc = self.asset_finder.get_ordered_contracts(root_symbol)
session = self.trading_calendar.minute_to_session_label(dt)
primary_candidate = oc.contract_before_auto_close(session.value)
# Here is where a volume check would be.
primary = primary_candidate
return oc.contract_at_offset(primary, offset)
def get_rolls(self, root_symbol, start, end, offset):
oc = self.asset_finder.get_ordered_contracts(root_symbol)
primary_at_end = self.get_contract_center(root_symbol, end, 0)
def _active_contract(self, oc, front, back, dt):
for i, sid in enumerate(oc.contract_sids):
if sid == primary_at_end:
if sid == front:
break
i += offset
first = oc.contract_sids[i]
rolls = [(first, None)]
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i - offset], tz='UTC')
while auto_close_date > start and i > -1:
rolls.insert(0, (oc.contract_sids[i - offset],
auto_close_date))
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i - offset],
tz='UTC')
auto_close_date = Timestamp(oc.auto_close_dates[i], tz='UTC')
before_auto_close = dt < auto_close_date
return front if before_auto_close else back
return rolls
class VolumeRollFinder(RollFinder):
"""
The CalendarRollFinder calculates contract rolls based on when
volume activity transfers from one contract to another.
"""
THRESHOLD = 0.10
def __init__(self, trading_calendar, asset_finder, session_reader):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
self.session_reader = session_reader
def _active_contract(self, oc, front, back, dt):
# FIXME: Possible vector for look ahead bias.
front_vol = self.session_reader.get_value(front, dt, 'volume')
back_vol = self.session_reader.get_value(back, dt, 'volume')
return back if back_vol > front_vol else front
zipline/data/data_portal.py
+14 -6
View File
@@ -30,7 +30,10 @@ from zipline.data.continuous_future_reader import (
ContinuousFutureSessionBarReader,
ContinuousFutureMinuteBarReader
)
from zipline.assets.roll_finder import CalendarRollFinder
from zipline.assets.roll_finder import (
CalendarRollFinder,
VolumeRollFinder
)
from zipline.data.dispatch_bar_reader import (
AssetDispatchMinuteBarReader,
AssetDispatchSessionBarReader
@@ -165,11 +168,6 @@ class DataPortal(object):
else:
self._last_trading_session = None
self._roll_finders = {
'calendar': CalendarRollFinder(self.trading_calendar,
self.asset_finder)
}
aligned_equity_minute_reader = self._ensure_reader_aligned(
equity_minute_reader)
aligned_equity_session_reader = self._ensure_reader_aligned(
@@ -179,6 +177,11 @@ class DataPortal(object):
aligned_future_session_reader = self._ensure_reader_aligned(
future_daily_reader)
self._roll_finders = {
'calendar': CalendarRollFinder(self.trading_calendar,
self.asset_finder),
}
aligned_minute_readers = {}
aligned_session_readers = {}
@@ -197,6 +200,11 @@ class DataPortal(object):
if aligned_future_session_reader is not None:
aligned_session_readers[Future] = aligned_future_session_reader
self._roll_finders['volume'] = VolumeRollFinder(
self.trading_calendar,
self.asset_finder,
aligned_future_session_reader,
)
aligned_session_readers[ContinuousFuture] = \
ContinuousFutureSessionBarReader(
aligned_future_session_reader,