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ENH: Adds auto_close_date field to Future objects

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jfkirk
2015-09-11 14:08:03 -04:00
parent 29321af1b4
commit a6ce1e5e8d
6 changed files with 28 additions and 17 deletions
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tests/test_algorithm.py
+1 -2
View File
@@ -1702,8 +1702,7 @@ class TestClosePosAlgo(TestCase):
def test_auto_close_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'notice_date': self.days[3],
'expiration_date': self.days[4]}}
'auto_close_date': self.days[3]}}
self.env.write_data(futures_data=metadata)
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
tests/test_assets.py
+4
View File
@@ -239,6 +239,7 @@ class TestFuture(TestCase):
root_symbol='OM',
notice_date=pd.Timestamp('2014-01-20', tz='UTC'),
expiration_date=pd.Timestamp('2014-02-20', tz='UTC'),
auto_close_date=pd.Timestamp('2014-01-18', tz='UTC'),
contract_multiplier=500
)
@@ -256,6 +257,8 @@ class TestFuture(TestCase):
"tz='UTC')") in reprd)
self.assertTrue("expiration_date=Timestamp('2014-02-20 00:00:00+0000'"
in reprd)
self.assertTrue("auto_close_date=Timestamp('2014-01-18 00:00:00+0000'"
in reprd)
self.assertTrue("contract_multiplier=500" in reprd)
def test_reduce(self):
@@ -267,6 +270,7 @@ class TestFuture(TestCase):
self.assertTrue('root_symbol' in dictd)
self.assertTrue('notice_date' in dictd)
self.assertTrue('expiration_date' in dictd)
self.assertTrue('auto_close_date' in dictd)
self.assertTrue('contract_multiplier' in dictd)
from_dict = Future.from_dict(dictd)
zipline/assets/_assets.pyx
+6 -1
View File
@@ -227,6 +227,7 @@ cdef class Future(Asset):
cdef readonly object root_symbol
cdef readonly object notice_date
cdef readonly object expiration_date
cdef readonly object auto_close_date
cdef readonly float contract_multiplier
def __cinit__(self,
@@ -238,6 +239,7 @@ cdef class Future(Asset):
object end_date=None,
object notice_date=None,
object expiration_date=None,
object auto_close_date=None,
object first_traded=None,
object exchange="",
float contract_multiplier=1):
@@ -245,6 +247,7 @@ cdef class Future(Asset):
self.root_symbol = root_symbol
self.notice_date = notice_date
self.expiration_date = expiration_date
self.auto_close_date = auto_close_date
self.contract_multiplier = contract_multiplier
def __str__(self):
@@ -256,7 +259,7 @@ cdef class Future(Asset):
def __repr__(self):
attrs = ('symbol', 'root_symbol', 'asset_name', 'exchange',
'start_date', 'end_date', 'first_traded', 'notice_date',
'expiration_date', 'contract_multiplier')
'expiration_date', 'auto_close_date', 'contract_multiplier')
tuples = ((attr, repr(getattr(self, attr, None)))
for attr in attrs)
strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
@@ -278,6 +281,7 @@ cdef class Future(Asset):
self.end_date,
self.notice_date,
self.expiration_date,
self.auto_close_date,
self.first_traded,
self.exchange,
self.contract_multiplier,))
@@ -290,6 +294,7 @@ cdef class Future(Asset):
super_dict['root_symbol'] = self.root_symbol
super_dict['notice_date'] = self.notice_date
super_dict['expiration_date'] = self.expiration_date
super_dict['auto_close_date'] = self.auto_close_date
super_dict['contract_multiplier'] = self.contract_multiplier
return super_dict
zipline/assets/asset_writer.py
+5
View File
@@ -29,6 +29,7 @@ ASSET_TABLE_FIELDS = frozenset({
FUTURE_TABLE_FIELDS = ASSET_TABLE_FIELDS | {
'notice_date',
'expiration_date',
'auto_close_date',
'contract_multiplier',
}
@@ -70,6 +71,7 @@ _futures_defaults = {
'exchange': None,
'notice_date': None,
'expiration_date': None,
'auto_close_date': None,
'contract_multiplier': 1,
}
@@ -327,6 +329,7 @@ class AssetDBWriter(with_metaclass(ABCMeta)):
),
sa.Column('notice_date', sa.Integer),
sa.Column('expiration_date', sa.Integer),
sa.Column('auto_close_date', sa.Integer),
sa.Column('contract_multiplier', sa.Float),
)
self.asset_router = sa.Table(
@@ -394,6 +397,8 @@ class AssetDBWriter(with_metaclass(ABCMeta)):
futures_output['notice_date'].apply(self.convert_datetime)
futures_output['expiration_date'] = \
futures_output['expiration_date'].apply(self.convert_datetime)
futures_output['auto_close_date'] = \
futures_output['auto_close_date'].apply(self.convert_datetime)
# Convert symbols and root_symbols to upper case.
futures_output['symbol'] = futures_output.symbol.str.upper()
zipline/assets/assets.py
+4
View File
@@ -259,6 +259,10 @@ class AssetFinder(object):
data['expiration_date'] = pd.Timestamp(
data['expiration_date'], tz='UTC')
if data['auto_close_date']:
data['auto_close_date'] = pd.Timestamp(
data['auto_close_date'], tz='UTC')
_convert_asset_str_fields(data)
future = Future(**data)
zipline/finance/performance/position_tracker.py
+8 -14
View File
@@ -71,19 +71,12 @@ class PositionTracker(object):
asset.contract_multiplier
self._position_payout_multipliers[sid] = \
asset.contract_multiplier
# Futures are closed on their notice_date
if asset.notice_date:
self._insert_auto_close_position_date(
dt=asset.notice_date,
sid=sid
)
# If the Future does not have a notice_date, it will be closed
# on its expiration_date
elif asset.expiration_date:
self._insert_auto_close_position_date(
dt=asset.expiration_date,
sid=sid
)
# Futures auto-close timing is controlled by the Future's
# auto_close_date property
self._insert_auto_close_position_date(
dt=asset.auto_close_date,
sid=sid
)
def _insert_auto_close_position_date(self, dt, sid):
"""
@@ -97,7 +90,8 @@ class PositionTracker(object):
sid : int
The SID of the Asset to be auto-closed
"""
self._auto_close_position_sids.setdefault(dt, set()).add(sid)
if dt is not None:
self._auto_close_position_sids.setdefault(dt, set()).add(sid)
def auto_close_position_events(self, next_trading_day):
"""