BUG: OrderedContracts chain could sometimes terminate on first contract

tests/test_assets.py

@@ -139,6 +139,7 @@ def build_lookup_generic_cases(asset_finder_type):
                 'root_symbol': 'FO',
                 'start_date': unique_start.value,
                 'end_date': unique_end.value,
+                'auto_close_date': unique_end.value,
                 'exchange': 'FUT',
             },
         ],

tests/test_continuous_futures.py

@@ -1329,9 +1329,9 @@ class OrderedContractsTestCase(WithAssetFinder,
     @classmethod
     def make_root_symbols_info(self):
         return pd.DataFrame({
-            'root_symbol': ['FO', 'BA'],
-            'root_symbol_id': [1, 2],
-            'exchange': ['CME', 'CME']})
+            'root_symbol': ['FO', 'BA', 'BZ'],
+            'root_symbol_id': [1, 2, 3],
+            'exchange': ['CME', 'CME', 'CME']})
 
     @classmethod
     def make_futures_info(self):
@@ -1372,8 +1372,32 @@ class OrderedContractsTestCase(WithAssetFinder,
             'multiplier': [1000.0] * 3,
             'exchange': ['CME'] * 3,
         })
+        # BZ is set up to test the case where the first contract in a chain has
+        # an auto close date before its start date.
+        bz_frame = DataFrame({
+            'root_symbol': ['BZ'] * 3,
+            'asset_name': ['Baz'] * 3,
+            'symbol': ['BZF16', 'BZG16', 'BZH16'],
+            'sid': range(8, 11),
+            'start_date': pd.date_range('2015-01-02', periods=3, tz='UTC'),
+            'end_date': pd.date_range(
+                '2015-01-15', periods=3, freq='M', tz='UTC',
+            ),
+            'notice_date': pd.date_range(
+                '2014-12-31', periods=3, freq='M', tz='UTC',
+            ),
+            'expiration_date': pd.date_range(
+                '2015-01-15', periods=3, freq='M', tz='UTC',
+            ),
+            'auto_close_date': pd.date_range(
+                '2014-12-29', periods=3, freq='M', tz='UTC',
+            ),
+            'tick_size': [0.001] * 3,
+            'multiplier': [1000.0] * 3,
+            'exchange': ['CME'] * 3,
+        })
 
-        return pd.concat([fo_frame, ba_frame])
+        return pd.concat([fo_frame, ba_frame, bz_frame])
 
     def test_contract_at_offset(self):
         contract_sids = array([1, 2, 3, 4], dtype=int64)
@@ -1471,6 +1495,16 @@ class OrderedContractsTestCase(WithAssetFinder,
             "Contract BAG16 (sid=6) should be ommitted from chain, since "
             "it does not satisfy the roll predicate.")
 
+    def test_auto_close_before_start(self):
+        contract_sids = array([8, 9, 10], dtype=int64)
+        contracts = self.asset_finder.retrieve_all(contract_sids)
+        oc = OrderedContracts('BZ', deque(contracts))
+
+        # The OrderedContracts chain should omit BZF16 and start with BZG16.
+        self.assertEqual(oc.start_date, contracts[1].start_date)
+        self.assertEqual(oc.end_date, contracts[-1].end_date)
+        self.assertEqual(oc.contract_before_auto_close(oc.start_date.value), 9)
+
 
 class NoPrefetchContinuousFuturesTestCase(ContinuousFuturesTestCase):
     DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0

zipline/assets/continuous_futures.pyx

@@ -333,6 +333,12 @@ cdef class OrderedContracts(object):
         while contracts:
             contract = contracts.popleft()
 
+            # It is possible that the first contract in our list has a start
+            # date on or after its auto close date. In that case the contract
+            # is not tradable, so do not include it in the chain.
+            if prev is None and contract.start_date >= contract.auto_close_date:
+                continue
+
             # Prevent contract chains with gaps between auto close and start of
             # next contract.
             # This is in lieu of more explicit support for
@@ -345,7 +351,7 @@ cdef class OrderedContracts(object):
 
             self._start_date = min(contract.start_date.value, self._start_date)
             self._end_date = max(contract.end_date.value, self._end_date)
-            
+
             curr = ContractNode(contract)
             self.sid_to_contract[contract.sid] = curr
             if self._head_contract is None:
@@ -355,7 +361,7 @@ cdef class OrderedContracts(object):
             curr.prev = prev
             prev.next = curr
             prev = curr
-    
+
     cpdef long_t contract_before_auto_close(self, long_t dt_value):
         """
         Get the contract with next upcoming auto close date.
@@ -393,7 +399,7 @@ cdef class OrderedContracts(object):
             if curr.contract.start_date.value <= dt_value:
                 contracts.append(curr.contract.sid)
             curr = curr.next
-            
+
         return array(contracts, dtype='int64')
 
     property start_date: