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BUG: Determine valid future contracts with notice date

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Since most brokers will cease accepting trades by the notice date, contracts should not be considered valid after the notice date. This commit adjusts the lookup_future_chain method to consider all contracts with notice dates on or following the current date invalid.
This commit is contained in:
Andrew Daniels
2015-07-09 15:03:00 -04:00
parent 50d557975d
commit 7cde3939bf
2 changed files with 14 additions and 15 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_assets.py
+11 -12
View File
@@ -542,19 +542,19 @@ class AssetFinderTestCase(TestCase):
def test_lookup_future_chain(self):
metadata = {
# Expires today, so should be valid
# Notice day is today, so not valid
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC'),
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
@@ -562,8 +562,8 @@ class AssetFinderTestCase(TestCase):
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-06-15', tz='UTC')
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Copy of the above future, but starts trading in August,
# so it isn't valid.
@@ -571,24 +571,23 @@ class AssetFinderTestCase(TestCase):
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-15', tz='UTC')
dt = pd.Timestamp('2015-05-14', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 3)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[1].sid, 1)
self.assertEqual(ad_contracts[2].sid, 0)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
@@ -596,7 +595,7 @@ class AssetFinderTestCase(TestCase):
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(len(ad_contracts), 1)
def test_map_identifier_index_to_sids(self):
# Build an empty finder and some Assets
zipline/assets/assets.py
+3 -3
View File
@@ -214,10 +214,10 @@ class AssetFinder(object):
""" Sort by increasing expiration date the list of contracts
for each root symbol in the future cache.
"""
exp_key = operator.attrgetter('expiration_date')
notice_key = operator.attrgetter('notice_date')
for root_symbol in self.future_chains_cache:
self.future_chains_cache[root_symbol].sort(key=exp_key)
self.future_chains_cache[root_symbol].sort(key=notice_key)
def lookup_future_chain(self, root_symbol, as_of_date, knowledge_date):
""" Return the futures chain for a given root symbol.
@@ -241,7 +241,7 @@ class AssetFinder(object):
"""
try:
return [c for c in self.future_chains_cache[root_symbol]
if c.expiration_date and (as_of_date <= c.expiration_date)
if c.notice_date and (as_of_date < c.notice_date)
and c.start_date and (c.start_date <= knowledge_date)]
except KeyError:
raise RootSymbolNotFound(root_symbol=root_symbol)