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Merge pull request #1604 from quantopian/use-linked-list-for-contracts

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MAINT: Use a doubly linked list for contract chain.
This commit is contained in:
Eddie Hebert
2016-11-30 06:54:28 -05:00
committed by GitHub
parent 74df429057 d147397983
commit 6f33bdcfd3
4 changed files with 178 additions and 138 deletions
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tests/test_continuous_futures.py
+53 -29
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@@ -12,7 +12,7 @@
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from collections import deque
from textwrap import dedent
from numpy import (
@@ -31,6 +31,7 @@ from zipline import TradingAlgorithm
from zipline.assets.continuous_futures import OrderedContracts
from zipline.data.minute_bars import FUTURES_MINUTES_PER_DAY
from zipline.testing.fixtures import (
WithAssetFinder,
WithCreateBarData,
WithDataPortal,
WithBcolzFutureMinuteBarReader,
@@ -415,15 +416,15 @@ def record_current_contract(algo, data):
result = results.iloc[0]
self.assertEqual(result.primary_len,
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
6,
'There should be only 6 contracts in the chain for '
'the primary, there are 7 contracts defined in the '
'fixture, but one has a start after the simulation '
'date.')
self.assertEqual(result.secondary_len,
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 7 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.')
@@ -438,11 +439,11 @@ def record_current_contract(algo, data):
'session.')
self.assertEqual(result.primary_last,
'FOK16',
'FOG22',
'End of primary chain should be FOK16 on first '
'session.')
self.assertEqual(result.secondary_last,
'FOK16',
'FOG22',
'End of secondary chain should be FOK16 on first '
'session.')
@@ -450,15 +451,15 @@ def record_current_contract(algo, data):
result = results.iloc[1]
self.assertEqual(result.primary_len,
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 7 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,
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 7 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.')
@@ -475,11 +476,11 @@ 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,
'FOK16',
'FOG22',
'End of primary chain should be FOK16 on second '
'session.')
self.assertEqual(result.secondary_last,
'FOK16',
'FOG22',
'End of secondary chain should be FOK16 on second '
'session.')
@@ -968,17 +969,43 @@ def record_current_contract(algo, data):
"Should remain FOH16 on next session.")
class OrderedContractsTestCase(ZiplineTestCase):
class OrderedContractsTestCase(WithAssetFinder,
ZiplineTestCase):
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO'],
'root_symbol_id': [1],
'exchange': ['CME']})
@classmethod
def make_futures_info(self):
return DataFrame({
'root_symbol': ['FO'] * 4,
'asset_name': ['Foo'] * 4,
'sid': range(1, 5),
'start_date': pd.date_range('2015-01-01', periods=4, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=4, tz="UTC"),
'notice_date': pd.date_range('2016-01-01', periods=4, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'auto_close_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'tick_size': [0.001] * 4,
'multiplier': [1000.0] * 4,
'exchange': ['CME'] * 4,
})
def test_contract_at_offset(self):
contract_sids = array([1, 2, 3, 4], dtype=int64)
start_dates = pd.date_range('2015-01-01', periods=4, tz="UTC")
auto_close_dates = pd.date_range('2016-04-01', periods=4, tz="UTC")
oc = OrderedContracts('FO',
contract_sids,
start_dates.astype('int64'),
auto_close_dates.astype('int64'))
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('FO', contracts)
self.assertEquals(1,
oc.contract_at_offset(1, 0, start_dates[-1].value),
@@ -994,13 +1021,10 @@ class OrderedContractsTestCase(ZiplineTestCase):
def test_active_chain(self):
contract_sids = array([1, 2, 3, 4], dtype=int64)
start_dates = pd.date_range('2015-01-01', periods=4, tz="UTC")
auto_close_dates = pd.date_range('2016-04-01', periods=4, tz="UTC")
oc = OrderedContracts('FO',
contract_sids,
start_dates.astype('int64'),
auto_close_dates.astype('int64'))
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('FO', contracts)
# Test sid 1 as days increment, as the sessions march forward
# a contract should be added per day, until all defined contracts