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Merge pull request #1502 from quantopian/remove-future-chain
MAINT: Remove `future_chain` API method.
This commit is contained in:
Eddie Hebert
@@ -58,7 +58,6 @@ from zipline.errors import (
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TradingControlViolation,
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AccountControlViolation,
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SymbolNotFound,
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RootSymbolNotFound,
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UnsupportedDatetimeFormat,
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CannotOrderDelistedAsset,
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SetCancelPolicyPostInit,
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@@ -726,108 +725,6 @@ def log_nyse_close(context, data):
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with self.assertRaises(TypeError):
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algo.future_symbol({'foo': 'bar'})
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def test_future_chain_offset(self):
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# November 2006 December 2006
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# Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
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# 1 2 3 4 1 2
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# 5 6 7 8 9 10 11 3 4 5 6 7 8 9
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# 12 13 14 15 16 17 18 10 11 12 13 14 15 16
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# 19 20 21 22 23 24 25 17 18 19 20 21 22 23
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# 26 27 28 29 30 24 25 26 27 28 29 30
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# 31
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algo = TradingAlgorithm(env=self.env)
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algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
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self.assertEqual(
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algo.future_chain('CL', offset=1).as_of_date,
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pd.Timestamp("2006-12-04", tz='UTC')
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)
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self.assertEqual(
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algo.future_chain("CL", offset=5).as_of_date,
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pd.Timestamp("2006-12-08", tz='UTC')
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)
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self.assertEqual(
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algo.future_chain("CL", offset=-10).as_of_date,
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pd.Timestamp("2006-11-16", tz='UTC')
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)
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# September 2016
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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self.assertEqual(
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algo.future_chain(
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"CL",
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as_of_date=pd.Timestamp("2016-08-31", tz='UTC'),
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offset=10
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).as_of_date,
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pd.Timestamp("2016-09-15", tz='UTC')
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)
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def test_future_chain(self):
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algo = TradingAlgorithm(env=self.env)
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algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
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# Check that the fields of the FutureChain object are set correctly
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cl = algo.future_chain('CL')
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self.assertEqual(cl.root_symbol, 'CL')
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self.assertEqual(cl.as_of_date, algo.datetime)
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# Check the fields are set correctly if an as_of_date is supplied
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as_of_date = pd.Timestamp('1952-08-11', tz='UTC')
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cl = algo.future_chain('CL', as_of_date=as_of_date)
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self.assertEqual(cl.root_symbol, 'CL')
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self.assertEqual(cl.as_of_date, as_of_date)
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cl = algo.future_chain('CL', as_of_date='1952-08-11')
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self.assertEqual(cl.root_symbol, 'CL')
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self.assertEqual(cl.as_of_date, as_of_date)
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# Check that weird capitalization is corrected
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cl = algo.future_chain('cL')
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self.assertEqual(cl.root_symbol, 'CL')
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cl = algo.future_chain('cl')
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self.assertEqual(cl.root_symbol, 'CL')
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# Check that invalid root symbols raise RootSymbolNotFound
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with self.assertRaises(RootSymbolNotFound):
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algo.future_chain('CLZ')
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with self.assertRaises(RootSymbolNotFound):
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algo.future_chain('')
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# Check that invalid dates raise UnsupportedDatetimeFormat
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with self.assertRaises(UnsupportedDatetimeFormat):
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algo.future_chain('CL', 'my_finger_slipped')
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with self.assertRaises(UnsupportedDatetimeFormat):
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algo.future_chain('CL', '2015-09-')
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# Supplying a non-string argument to future_chain()
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# should result in a TypeError.
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with self.assertRaises(TypeError):
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algo.future_chain(1)
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with self.assertRaises(TypeError):
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algo.future_chain((1,))
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with self.assertRaises(TypeError):
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algo.future_chain({1})
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with self.assertRaises(TypeError):
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algo.future_chain([1])
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with self.assertRaises(TypeError):
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algo.future_chain({'foo': 'bar'})
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def test_set_symbol_lookup_date(self):
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"""
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Test the set_symbol_lookup_date API method.
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@@ -48,11 +48,6 @@ from zipline.assets.synthetic import (
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from six import itervalues, integer_types
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from toolz import valmap
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from zipline.assets.futures import (
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cme_code_to_month,
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FutureChain,
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month_to_cme_code
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)
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from zipline.assets.asset_writer import (
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check_version_info,
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write_version_info,
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@@ -67,7 +62,6 @@ from zipline.errors import (
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EquitiesNotFound,
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FutureContractsNotFound,
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MultipleSymbolsFound,
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RootSymbolNotFound,
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AssetDBVersionError,
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SidsNotFound,
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SymbolNotFound,
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@@ -883,94 +877,6 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
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self.assertTrue(issubclass(warning.category,
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DeprecationWarning))
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def test_lookup_future_chain(self):
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metadata = pd.DataFrame.from_records([
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# Notice day is today, so should be valid.
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{
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'symbol': 'ADN15',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2015-06-14', tz='UTC'),
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'expiration_date': pd.Timestamp('2015-08-14', tz='UTC'),
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'start_date': pd.Timestamp('2015-01-01', tz='UTC'),
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'exchange': "TEST",
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},
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{
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'symbol': 'ADV15',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
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'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
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'start_date': pd.Timestamp('2015-01-01', tz='UTC'),
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'exchange': "TEST",
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},
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# Starts trading today, so should be valid.
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{
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'symbol': 'ADF16',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
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'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
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'start_date': pd.Timestamp('2015-05-14', tz='UTC'),
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'exchange': "TEST",
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},
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# Starts trading in August, so not valid.
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{
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'symbol': 'ADX16',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
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'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
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'start_date': pd.Timestamp('2015-08-01', tz='UTC'),
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'exchange': "TEST",
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},
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# Notice date comes after expiration
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{
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'symbol': 'ADZ16',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2016-11-25', tz='UTC'),
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'expiration_date': pd.Timestamp('2016-11-16', tz='UTC'),
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'start_date': pd.Timestamp('2015-08-01', tz='UTC'),
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'exchange': "TEST",
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},
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# This contract has no start date and also this contract should be
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# last in all chains
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{
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'symbol': 'ADZ20',
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'root_symbol': 'AD',
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'notice_date': pd.Timestamp('2020-11-25', tz='UTC'),
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'expiration_date': pd.Timestamp('2020-11-16', tz='UTC'),
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'exchange': "TEST",
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},
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])
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self.write_assets(futures=metadata)
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finder = self.asset_finder
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dt = pd.Timestamp('2015-05-14', tz='UTC')
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dt_2 = pd.Timestamp('2015-10-14', tz='UTC')
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dt_3 = pd.Timestamp('2016-11-17', tz='UTC')
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# Check that we get the expected number of contracts, in the
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# right order
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ad_contracts = finder.lookup_future_chain('AD', dt)
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self.assertEqual(len(ad_contracts), 6)
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self.assertEqual(ad_contracts[0].sid, 1)
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self.assertEqual(ad_contracts[1].sid, 0)
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self.assertEqual(ad_contracts[5].sid, 5)
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# Check that, when some contracts have expired, the chain has advanced
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# properly to the next contracts
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ad_contracts = finder.lookup_future_chain('AD', dt_2)
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self.assertEqual(len(ad_contracts), 4)
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self.assertEqual(ad_contracts[0].sid, 2)
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self.assertEqual(ad_contracts[3].sid, 5)
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# Check that when the expiration_date has passed but the
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# notice_date hasn't, contract is still considered invalid.
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ad_contracts = finder.lookup_future_chain('AD', dt_3)
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self.assertEqual(len(ad_contracts), 1)
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self.assertEqual(ad_contracts[0].sid, 5)
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# Check that pd.NaT for as_of_date gives the whole chain
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ad_contracts = finder.lookup_future_chain('AD', pd.NaT)
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self.assertEqual(len(ad_contracts), 6)
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self.assertEqual(ad_contracts[5].sid, 5)
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def test_map_identifier_index_to_sids(self):
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# Build an empty finder and some Assets
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dt = pd.Timestamp('2014-01-01', tz='UTC')
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@@ -1218,179 +1124,6 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
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)
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class TestFutureChain(WithAssetFinder, ZiplineTestCase):
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@classmethod
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def make_futures_info(cls):
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return pd.DataFrame.from_records([
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{
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'symbol': 'CLG06',
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'root_symbol': 'CL',
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'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
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'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
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'expiration_date': pd.Timestamp('2006-01-20', tz='UTC'),
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'exchange': "TEST",
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},
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{
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'root_symbol': 'CL',
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'symbol': 'CLK06',
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'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
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'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
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'expiration_date': pd.Timestamp('2006-04-20', tz='UTC'),
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'exchange': "TEST",
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},
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{
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'symbol': 'CLQ06',
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'root_symbol': 'CL',
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'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
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'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
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'expiration_date': pd.Timestamp('2006-07-20', tz='UTC'),
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'exchange': "TEST",
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},
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{
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'symbol': 'CLX06',
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'root_symbol': 'CL',
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'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
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'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
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'expiration_date': pd.Timestamp('2006-10-20', tz='UTC'),
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'exchange': "TEST",
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}
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])
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def _get_future_chain(self, date_str, symbol):
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dt = pd.Timestamp(date_str, tz='UTC')
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return FutureChain(
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symbol,
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dt,
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self.asset_finder.lookup_future_chain(symbol, dt)
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)
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def test_len(self):
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""" Test the __len__ method of FutureChain.
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"""
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# Sids 0, 1, & 2 have started, 3 has not yet started, but all are in
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# the chain
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(len(cl), 4)
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# Sid 0 is still valid on its notice date.
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cl = self._get_future_chain('2005-12-20', 'CL')
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self.assertEqual(len(cl), 4)
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# Sid 0 is now invalid, leaving Sids 1 & 2 valid (and 3 not started).
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cl = self._get_future_chain('2005-12-21', 'CL')
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self.assertEqual(len(cl), 3)
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# Sid 3 has started, so 1, 2, & 3 are now valid.
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cl = self._get_future_chain('2006-02-01', 'CL')
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self.assertEqual(len(cl), 3)
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# All contracts are no longer valid.
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cl = self._get_future_chain('2006-09-21', 'CL')
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self.assertEqual(len(cl), 0)
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def test_getitem(self):
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""" Test the __getitem__ method of FutureChain.
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"""
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(cl[0], 0)
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self.assertEqual(cl[1], 1)
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self.assertEqual(cl[2], 2)
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cl = self._get_future_chain('2005-12-20', 'CL')
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self.assertEqual(cl[0], 0)
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cl = self._get_future_chain('2005-12-21', 'CL')
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self.assertEqual(cl[0], 1)
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cl = self._get_future_chain('2006-02-01', 'CL')
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self.assertEqual(cl[-1], 3)
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def test_iter(self):
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""" Test the __iter__ method of FutureChain.
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"""
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cl = self._get_future_chain('2005-12-01', 'CL')
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for i, contract in enumerate(cl):
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self.assertEqual(contract, i)
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# First contract is now invalid, so sids will be offset by one
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cl = self._get_future_chain('2005-12-21', 'CL')
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for i, contract in enumerate(cl):
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self.assertEqual(contract, i + 1)
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def test_root_symbols(self):
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""" Test that different variations on root symbols are handled
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as expected.
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"""
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# Make sure this successfully gets the chain for CL.
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(cl.root_symbol, 'CL')
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# These root symbols don't exist, so RootSymbolNotFound should
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# be raised immediately.
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with self.assertRaises(RootSymbolNotFound):
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self._get_future_chain('2005-12-01', 'CLZ')
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with self.assertRaises(RootSymbolNotFound):
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self._get_future_chain('2005-12-01', '')
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def test_repr(self):
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""" Test the __repr__ method of FutureChain.
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"""
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(
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repr(cl),
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"FutureChain('CL', '2005-12-01')"
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)
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def test_contracts_returns_a_copy(self):
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(len(cl), 4)
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contracts = cl.contracts
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contracts.pop(0)
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self.assertEqual(len(contracts), 3)
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self.assertEqual(len(cl), 4)
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def test_cme_code_to_month(self):
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codes = {
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'F': 1, # January
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'G': 2, # February
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'H': 3, # March
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'J': 4, # April
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'K': 5, # May
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'M': 6, # June
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'N': 7, # July
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'Q': 8, # August
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'U': 9, # September
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'V': 10, # October
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'X': 11, # November
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'Z': 12 # December
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}
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for key in codes:
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self.assertEqual(codes[key], cme_code_to_month(key))
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def test_month_to_cme_code(self):
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codes = {
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1: 'F', # January
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2: 'G', # February
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3: 'H', # March
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4: 'J', # April
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5: 'K', # May
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6: 'M', # June
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7: 'N', # July
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8: 'Q', # August
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9: 'U', # September
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10: 'V', # October
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11: 'X', # November
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12: 'Z', # December
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}
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for key in codes:
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self.assertEqual(codes[key], month_to_cme_code(key))
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class TestAssetDBVersioning(ZiplineTestCase):
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def init_instance_fixtures(self):
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