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

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.

zipline/assets/continuous_futures.pyx

@@ -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}