From 8876092d29c57b15756e873ecfb1cd50bbe79aa3 Mon Sep 17 00:00:00 2001
From: Eddie Hebert <eddie@eddiehebert.com>
Date: Thu, 27 Oct 2016 16:48:34 -0400
Subject: [PATCH] BUG: Protect against contract offset at end of range. (#1564)

This boundary case was exposed with internal fixture data which used a
continuous future with a contract chain of size one.
---
 tests/test_continuous_futures.py      | 22 ++++++++++++++++++++++
 zipline/assets/continuous_futures.pyx | 12 ++++++++----
 2 files changed, 30 insertions(+), 4 deletions(-)

diff --git a/tests/test_continuous_futures.py b/tests/test_continuous_futures.py
index 282ac624..a2df825a 100644
--- a/tests/test_continuous_futures.py
+++ b/tests/test_continuous_futures.py
@@ -835,6 +835,28 @@ def record_current_contract(algo, data):
 
 class OrderedContractsTestCase(ZiplineTestCase):
 
+    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'))
+
+        self.assertEquals(1,
+                          oc.contract_at_offset(1, 0, start_dates[-1].value),
+                          "Offset of 0 should return provided sid")
+
+        self.assertEquals(2,
+                          oc.contract_at_offset(1, 1, start_dates[-1].value),
+                          "Offset of 1 should return next sid in chain.")
+
+        self.assertEquals(None,
+                          oc.contract_at_offset(4, 1, start_dates[-1].value),
+                          "Offset at end of chain should not crash.")
+
     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")
diff --git a/zipline/assets/continuous_futures.pyx b/zipline/assets/continuous_futures.pyx
index 572c3754..f8eeae34 100644
--- a/zipline/assets/continuous_futures.pyx
+++ b/zipline/assets/continuous_futures.pyx
@@ -302,16 +302,20 @@ cdef class OrderedContracts(object):
         Get the sid which is the given sid plus the offset distance.
         An offset of 0 should be reflexive.
         """
-        cdef Py_ssize_t i
+        cdef Py_ssize_t i, j
         cdef long_t[:] sids
         sids = self.contract_sids
         start_dates = self.start_dates
-        for i in range(self._size):
+        i = 0
+        j = i + offset
+        while j < self._size:
             if sid == sids[i]:
-                if start_dates[i + offset] < start_cap:
-                    return sids[i + offset]
+                if start_dates[j] < start_cap:
+                    return sids[j]
                 else:
                     return None
+            i += 1
+            j += 1
 
     cpdef long_t[:] active_chain(self, long_t starting_sid, long_t dt_value):
         cdef Py_ssize_t left, right, i, j