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MAINT: Use March quarterly cycle for JY, CD, AD, & BP continuous futures

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The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
This commit is contained in:
Andrew Daniels
2017-04-25 15:31:33 -04:00
parent 362f2c2f7a
commit a1d30c94ee
1 changed files with 15 additions and 2 deletions
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zipline/assets/continuous_futures.pyx
+15 -2
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@@ -47,10 +47,23 @@ def delivery_predicate(codes, contract):
delivery_code = contract.symbol[-3]
return delivery_code in codes
march_cycle_delivery_predicate = partial(delivery_predicate,
set(['H', 'M', 'U', 'Z']))
CHAIN_PREDICATES = {
'ME': partial(delivery_predicate, set(['H', 'M', 'U', 'Z'])),
'ME': march_cycle_delivery_predicate,
'PL': partial(delivery_predicate, set(['F', 'J', 'N', 'V'])),
'PA': partial(delivery_predicate, set(['H', 'M', 'U', 'Z']))
'PA': march_cycle_delivery_predicate,
# The majority of trading in these currency futures is done on a
# March quarterly cycle (Mar, Jun, Sep, Dec) but contracts are
# listed for the first 3 consecutive months from the present day. We
# want the continuous futures to be composed of just the quarterly
# contracts.
'JY': march_cycle_delivery_predicate,
'CD': march_cycle_delivery_predicate,
'AD': march_cycle_delivery_predicate,
'BP': march_cycle_delivery_predicate,
}
ADJUSTMENT_STYLES = {'add', 'mul', None}