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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
2015-10-08 14:16:57 -04:00
parent 3feb78807e
commit 9ecd7e18d0
2 changed files with 74 additions and 20 deletions
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tests/test_assets.py
+32 -13
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@@ -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')