wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-27 19:14:36 +08:00
Code Issues Packages Projects Releases Wiki Activity

Merge pull request #1779 from quantopian/silver-chains

Browse Source 
Gold/Silver futures contracts only trade certain months
This commit is contained in:
David Michalowicz
2017-05-03 17:18:56 -04:00
committed by GitHub
parent c61fd0ef07 191a1b729f
commit 96759be445
1 changed files with 6 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/assets/continuous_futures.pyx
+6
View File
@@ -64,6 +64,12 @@ CHAIN_PREDICATES = {
'CD': march_cycle_delivery_predicate,
'AD': march_cycle_delivery_predicate,
'BP': march_cycle_delivery_predicate,
# Gold and silver contracts trade on an unusual specific set of months.
'GC': partial(delivery_predicate, set(['G', 'J', 'M', 'Q', 'V', 'Z'])),
'XG': partial(delivery_predicate, set(['G', 'J', 'M', 'Q', 'V', 'Z'])),
'SV': partial(delivery_predicate, set(['H', 'K', 'N', 'U', 'Z'])),
'YS': partial(delivery_predicate, set(['H', 'K', 'N', 'U', 'Z'])),
}
ADJUSTMENT_STYLES = {'add', 'mul', None}