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MAINT: Improves handling for contract date info in lookup_future_chain

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Improves the query for futures contract to use the date that comes first
in time (between notice_date and expiration_date) to determine cotnract
validity. If one of these is missing, we'll use the other.

Also modifies the query to order the resulting contracts by their
expiration_date if available, and to use their notice_date if not.
This commit is contained in:
Andrew Daniels
2015-10-07 16:08:43 -04:00
parent 3feb78807e
commit 9ecd7e18d0
2 changed files with 74 additions and 20 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_assets.py
+32 -13
View File
@@ -626,12 +626,13 @@ class AssetFinderTestCase(TestCase):
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so not valid
# Notice day is today, so should be valid.
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-06-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
@@ -639,6 +640,7 @@ class AssetFinderTestCase(TestCase):
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
@@ -647,6 +649,7 @@ class AssetFinderTestCase(TestCase):
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Starts trading in August, so not valid.
@@ -655,6 +658,16 @@ class AssetFinderTestCase(TestCase):
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
# Notice date comes after expiration
4: {
'symbol': 'ADZ16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2016-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
@@ -663,17 +676,18 @@ class AssetFinderTestCase(TestCase):
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')
dt_2 = pd.Timestamp('2016-11-17', 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), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
self.assertEqual(len(ad_contracts), 3)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[1].sid, 1)
# Check that pd.NaT for knowledge_date uses the value of as_of_date
ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(len(ad_contracts), 3)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
@@ -681,11 +695,16 @@ 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), 1)
self.assertEqual(len(ad_contracts), 2)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day)
self.assertEqual(len(ad_contracts), 4)
self.assertEqual(len(ad_contracts), 5)
# Check that when the expiration_date has past but the
# notice_date hasn't, contract is still considered invalid.
ad_contracts = finder.lookup_future_chain('AD', dt_2, dt_2)
self.assertEqual(len(ad_contracts), 0)
def test_map_identifier_index_to_sids(self):
# Build an empty finder and some Assets
@@ -834,12 +853,12 @@ class TestFutureChain(TestCase):
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
self.assertEqual(len(cl), 3)
# Sid 0 is still valid the day before its notice date.
cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL')
# Sid 0 is still valid its notice date.
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
self.assertEqual(len(cl), 3)
# Sid 0 is now invalid, leaving only Sids 1 & 2 valid.
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
self.assertEqual(len(cl), 2)
# Sid 3 has started, so 1, 2, & 3 are now valid.
@@ -847,7 +866,7 @@ class TestFutureChain(TestCase):
self.assertEqual(len(cl), 3)
# All contracts are no longer valid.
cl = FutureChain(self.asset_finder, lambda: '2006-09-20', 'CL')
cl = FutureChain(self.asset_finder, lambda: '2006-09-21', 'CL')
self.assertEqual(len(cl), 0)
def test_getitem(self):
@@ -860,10 +879,10 @@ class TestFutureChain(TestCase):
with self.assertRaises(IndexError):
cl[3]
cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL')
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
self.assertEqual(cl[0], 0)
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
self.assertEqual(cl[0], 1)
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
zipline/assets/assets.py
+42 -7
View File
@@ -352,11 +352,12 @@ class AssetFinder(object):
root_symbol : str
Root symbol of the desired future.
as_of_date : pd.Timestamp or pd.NaT
Date at which the chain determination is rooted. I.e. the
existing contract whose notice date is first after this
date is the primary contract, etc. If NaT is given, the
chain is unbounded, and all contracts for this root symbol
are returned.
existing contract whose notice date/expiration date is first
after this date is the primary contract, etc. If NaT is
given, the chain is unbounded, and all contracts for this
root symbol are returned.
knowledge_date : pd.Timestamp or pd.NaT
Date for determining which contracts exist for inclusion in
this chain. Contracts exist only if they have a start_date
@@ -396,14 +397,48 @@ class AssetFinder(object):
knowledge_date = as_of_date
else:
knowledge_date = knowledge_date.value
sids = list(map(
itemgetter('sid'),
sa.select((fc_cols.sid,)).where(
(fc_cols.root_symbol == root_symbol) &
(fc_cols.notice_date > as_of_date) &
(fc_cols.start_date <= knowledge_date),
(fc_cols.start_date <= knowledge_date) &
# Filter to contracts that are still valid. If both
# exist, use the one that comes first in time (i.e.
# the lower value). If either notice_date or
# expiration_date is NaT, use the other. If both are
# NaT, the contract cannot be included in any chain.
sa.case(
[
(
fc_cols.notice_date == pd.NaT.value,
fc_cols.expiration_date >= as_of_date
),
(
fc_cols.expiration_date == pd.NaT.value,
fc_cols.notice_date >= as_of_date
)
],
else_=(
sa.func.min(
fc_cols.notice_date,
fc_cols.expiration_date
) >= as_of_date
)
)
).order_by(
fc_cols.notice_date.asc(),
# Sort using expiration_date if valid. If it's NaT,
# use notice_date instead.
sa.case(
[
(
fc_cols.expiration_date == pd.NaT.value,
fc_cols.notice_date
)
],
else_=fc_cols.expiration_date
).asc()
).execute().fetchall()
))