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Merge pull request #1556 from quantopian/volume-based-rolls
ENH: Volume based rolls for futures.
This commit is contained in:
Eddie Hebert
@@ -62,37 +62,42 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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@classmethod
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def make_futures_info(self):
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return DataFrame({
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'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOF22'],
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'root_symbol': ['FO', 'FO', 'FO', 'FO', 'FO'],
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'asset_name': ['Foo'] * 5,
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'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOK16', 'FOF22'],
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'root_symbol': ['FO'] * 6,
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'asset_name': ['Foo'] * 6,
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'start_date': [Timestamp('2015-01-05', tz='UTC'),
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Timestamp('2015-02-05', tz='UTC'),
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Timestamp('2015-03-05', tz='UTC'),
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Timestamp('2015-04-05', tz='UTC'),
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Timestamp('2015-05-05', tz='UTC'),
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Timestamp('2021-01-05', tz='UTC')],
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'end_date': [Timestamp('2016-08-19', tz='UTC'),
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Timestamp('2016-09-19', tz='UTC'),
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Timestamp('2016-10-19', tz='UTC'),
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Timestamp('2016-11-19', tz='UTC'),
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Timestamp('2016-12-19', tz='UTC'),
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Timestamp('2022-08-19', tz='UTC')],
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'notice_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'tick_size': [0.001] * 5,
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'multiplier': [1000.0] * 5,
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'exchange': ['CME'] * 5,
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'tick_size': [0.001] * 6,
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'multiplier': [1000.0] * 6,
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'exchange': ['CME'] * 6,
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})
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@classmethod
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@@ -126,7 +131,6 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
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len(sessions))
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vol_markers = vol_day_markers + vol_min_markers
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base_df = pd.DataFrame(
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{
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'open': full(len(dts), 102000.0) + markers,
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@@ -138,8 +142,39 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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index=dts)
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# Add the sid to the ones place of the prices, so that the ones
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# place can be used to eyeball the source contract.
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for i in range(5):
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yield i, base_df + i * 10000
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# For volume roll tests end sid volume early.
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# FOF16 cuts out day before autoclose of 01-26
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# FOG16 cuts out on autoclose
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# FOH16 cuts out 4 days before autoclose
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# FOJ16 cuts out 3 days before autoclose
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sid_to_vol_stop_session = {
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0: Timestamp('2016-01-26', tz='UTC'),
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1: Timestamp('2016-02-26', tz='UTC'),
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2: Timestamp('2016-03-18', tz='UTC'),
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3: Timestamp('2016-04-20', tz='UTC'),
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}
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for i in range(6):
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df = base_df.copy()
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df += i * 10000
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if i in sid_to_vol_stop_session:
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vol_stop_session = sid_to_vol_stop_session[i]
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m_open = tc.open_and_close_for_session(vol_stop_session)[0]
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loc = dts.searchsorted(m_open)
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# Add a little bit of noise to roll. So that checks for exacly
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# 0 do not work, since there may be stragglers after a roll.
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df.volume.values[loc] = 1000
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df.volume.values[loc + 1:] = 0
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j = i - 1
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if j in sid_to_vol_stop_session:
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non_primary_end = sid_to_vol_stop_session[j] - sessions.freq
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m_close = tc.open_and_close_for_session(non_primary_end)[1]
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loc = dts.searchsorted(m_close)
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# Add some volume before a roll, since a contracted may be
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# entered earlier than when it is the primary.
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df.volume.values[:loc] = 2000
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yield i, df
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def test_create_continuous_future(self):
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cf_primary = self.asset_finder.create_continuous_future(
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@@ -190,6 +225,29 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16')
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def test_current_contract_volume_roll(self):
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cf_primary = self.asset_finder.create_continuous_future(
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'FO', 0, 'volume')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16',
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'Auto close at beginning of session. FOG16 remains '
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'the current contract.')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-02-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOH16',
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'Volume switch to FOH16, should have triggered roll.')
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def test_current_contract_in_algo(self):
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code = dedent("""
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from zipline.api import (
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@@ -276,15 +334,15 @@ def record_current_contract(algo, data):
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result = results.iloc[0]
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self.assertEqual(result.primary_len,
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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5,
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'There should be only 5 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date.')
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self.assertEqual(result.secondary_len,
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. And the first is not included because it is '
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'the primary on that date.')
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@@ -299,27 +357,27 @@ def record_current_contract(algo, data):
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'session.')
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self.assertEqual(result.primary_last,
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'FOJ16',
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'End of primary chain should be FOJ16 on first '
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'FOK16',
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'End of primary chain should be FOK16 on first '
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'session.')
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self.assertEqual(result.secondary_last,
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'FOJ16',
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'End of secondary chain should be FOJ16 on first '
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'FOK16',
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'End of secondary chain should be FOK16 on first '
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'session.')
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# Second day, primary should switch to FOG
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result = results.iloc[1]
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self.assertEqual(result.primary_len,
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. The first is not included because of roll.')
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self.assertEqual(result.secondary_len,
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2,
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'There should be only 2 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. The first is not included because of roll, '
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'the second is the primary on that date.')
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@@ -336,12 +394,12 @@ def record_current_contract(algo, data):
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# These values remain FOJ16 because fixture data is not exhaustive
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# enough to move the end of the chain.
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self.assertEqual(result.primary_last,
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'FOJ16',
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'End of primary chain should be FOJ16 on second '
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'FOK16',
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'End of primary chain should be FOK16 on second '
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'session.')
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self.assertEqual(result.secondary_last,
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'FOJ16',
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'End of secondary chain should be FOJ16 on second '
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'FOK16',
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'End of secondary chain should be FOK16 on second '
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'session.')
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def test_history_sid_session(self):
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@@ -398,6 +456,70 @@ def record_current_contract(algo, data):
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3,
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"Should be FOJ16 on session after roll.")
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def test_history_sid_session_volume_roll(self):
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cf = self.data_portal.asset_finder.create_continuous_future(
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'FO', 0, 'volume')
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1d', 'sid')
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# Volume cuts out for FOF16 on 2016-01-25
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self.assertEqual(window.loc['2016-01-26', cf],
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1,
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"Should be FOG16 at beginning of window.")
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self.assertEqual(window.loc['2016-01-27', cf],
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1,
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"Should have remained FOG16.")
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self.assertEqual(window.loc['2016-02-25', cf],
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1,
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"Should be FOG16 on session before roll.")
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self.assertEqual(window.loc['2016-02-26', cf],
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2,
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"Should be FOH16 on session with roll.")
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self.assertEqual(window.loc['2016-02-29', cf],
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2,
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"Should be FOH16 on session after roll.")
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# Advance the window a month.
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1d', 'sid')
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self.assertEqual(window.loc['2016-02-25', cf],
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1,
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"Should be FOG16 at beginning of window.")
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self.assertEqual(window.loc['2016-02-26', cf],
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2,
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"Should be FOH16 on session with roll.")
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self.assertEqual(window.loc['2016-02-29', cf],
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2,
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"Should be FOH16 on session after roll.")
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self.assertEqual(window.loc['2016-03-17', cf],
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2,
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"Should be FOH16 on session before volume cuts out.")
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self.assertEqual(window.loc['2016-03-18', cf],
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3,
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"Should be FOJ16 on session where the volume of "
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"FOH16 cuts out.")
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self.assertEqual(window.loc['2016-03-24', cf],
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3,
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"Should have remained FOJ16.")
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self.assertEqual(window.loc['2016-03-28', cf],
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3,
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"Should have remained FOJ16.")
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def test_history_sid_minute(self):
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cf = self.data_portal.asset_finder.create_continuous_future(
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'FO', 0, 'calendar')
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@@ -550,39 +672,39 @@ def record_current_contract(algo, data):
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# difference: 7008.56
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assert_almost_equal(
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window.loc['2016-02-24', cf_mul],
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129059.581,
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129090.459,
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err_msg="At beginning of window, should be FOG16's 22nd value, "
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"with two adjustments.")
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assert_almost_equal(
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window.loc['2016-02-24', cf_add],
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129238.561,
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129268.561,
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err_msg="At beginning of window, should be FOG16's 22nd value, "
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"with two adjustments")
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# Unadjusted: 125241.44
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assert_almost_equal(
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window.loc['2016-02-26', cf_mul],
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132239.942,
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132271.58,
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err_msg="On session with roll, should be FOH16's 24th value, "
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"with one adjustment.")
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assert_almost_equal(
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window.loc['2016-02-26', cf_add],
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132250.0,
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132280.0,
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err_msg="On session with roll, should be FOH16's 24th value, "
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"with one adjustment.")
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# Unadjusted: 125251.44
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assert_almost_equal(
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window.loc['2016-02-29', cf_mul],
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132250.500,
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132282.141,
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err_msg="On session after roll, should be FOH16's 25th value, "
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"with one adjustment.")
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assert_almost_equal(
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window.loc['2016-02-29', cf_add],
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132260.000,
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132290.00,
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err_msg="On session after roll, should be FOH16's 25th value, "
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"unadjusted.")
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