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ENH: Volume based rolls for futures.

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Add roll style which takes the volume of the contracts into account.
If the volume moves from the front to the back before the auto close
date, the roll is put at that session.

Also, factors out some of the common logic shared with calendar based rolls.
This commit is contained in:
Eddie Hebert
2016-10-21 13:21:07 -04:00
parent fe90cd3177
commit afbe3cdcd7
5 changed files with 270 additions and 95 deletions
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tests/test_continuous_futures.py
+179 -57
View File
@@ -46,8 +46,8 @@ class ContinuousFuturesTestCase(WithCreateBarData,
START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
END_DATE = pd.Timestamp('2016-10-19', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-25', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-27', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-26', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-28', tz='UTC')
SIM_PARAMS_DATA_FREQUENCY = 'minute'
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
@@ -62,37 +62,42 @@ class ContinuousFuturesTestCase(WithCreateBarData,
@classmethod
def make_futures_info(self):
return DataFrame({
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOF22'],
'root_symbol': ['FO', 'FO', 'FO', 'FO', 'FO'],
'asset_name': ['Foo'] * 5,
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOK16', 'FOF22'],
'root_symbol': ['FO'] * 6,
'asset_name': ['Foo'] * 6,
'start_date': [Timestamp('2015-01-05', tz='UTC'),
Timestamp('2015-02-05', tz='UTC'),
Timestamp('2015-03-05', tz='UTC'),
Timestamp('2015-04-05', tz='UTC'),
Timestamp('2015-05-05', tz='UTC'),
Timestamp('2021-01-05', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-09-19', tz='UTC'),
Timestamp('2016-10-19', tz='UTC'),
Timestamp('2016-11-19', tz='UTC'),
Timestamp('2016-12-19', tz='UTC'),
Timestamp('2022-08-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-26', tz='UTC'),
'notice_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-26', tz='UTC'),
'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-26', tz='UTC'),
'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'tick_size': [0.001] * 5,
'multiplier': [1000.0] * 5,
'exchange': ['CME'] * 5,
'tick_size': [0.001] * 6,
'multiplier': [1000.0] * 6,
'exchange': ['CME'] * 6,
})
@classmethod
@@ -126,7 +131,6 @@ class ContinuousFuturesTestCase(WithCreateBarData,
arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
len(sessions))
vol_markers = vol_day_markers + vol_min_markers
base_df = pd.DataFrame(
{
'open': full(len(dts), 102000.0) + markers,
@@ -138,8 +142,39 @@ class ContinuousFuturesTestCase(WithCreateBarData,
index=dts)
# Add the sid to the ones place of the prices, so that the ones
# place can be used to eyeball the source contract.
for i in range(5):
yield i, base_df + i * 10000
# For volume roll tests end sid volume early.
# FOF16 cuts out day before autoclose of 01-26
# FOG16 cuts out on autoclose
# FOH16 cuts out 4 days before autoclose
# FOJ16 cuts out 3 days before autoclose
sid_to_vol_stop_session = {
0: Timestamp('2016-01-26', tz='UTC'),
1: Timestamp('2016-02-26', tz='UTC'),
2: Timestamp('2016-03-18', tz='UTC'),
3: Timestamp('2016-04-20', tz='UTC'),
}
for i in range(6):
df = base_df.copy()
df += i * 10000
if i in sid_to_vol_stop_session:
vol_stop_session = sid_to_vol_stop_session[i]
m_open = tc.open_and_close_for_session(vol_stop_session)[0]
loc = dts.searchsorted(m_open)
# Add a little bit of noise to roll. So that checks for exacly
# 0 do not work, since there may be stragglers after a roll.
df.volume.values[loc] = 1000
df.volume.values[loc + 1:] = 0
j = i - 1
if j in sid_to_vol_stop_session:
non_primary_end = sid_to_vol_stop_session[j] - sessions.freq
m_close = tc.open_and_close_for_session(non_primary_end)[1]
loc = dts.searchsorted(m_close)
# Add some volume before a roll, since a contracted may be
# entered earlier than when it is the primary.
df.volume.values[:loc] = 2000
yield i, df
def test_create_continuous_future(self):
cf_primary = self.asset_finder.create_continuous_future(
@@ -172,13 +207,13 @@ class ContinuousFuturesTestCase(WithCreateBarData,
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-25', tz='UTC'))
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOF16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
lambda: pd.Timestamp('2016-01-27', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
@@ -190,6 +225,29 @@ class ContinuousFuturesTestCase(WithCreateBarData,
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16')
def test_current_contract_volume_roll(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'volume')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
'Auto close at beginning of session. FOG16 remains '
'the current contract.')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-02-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOH16',
'Volume switch to FOH16, should have triggered roll.')
def test_current_contract_in_algo(self):
code = dedent("""
from zipline.api import (
@@ -276,15 +334,15 @@ def record_current_contract(algo, data):
result = results.iloc[0]
self.assertEqual(result.primary_len,
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date.')
self.assertEqual(result.secondary_len,
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. And the first is not included because it is '
'the primary on that date.')
@@ -299,27 +357,27 @@ def record_current_contract(algo, data):
'session.')
self.assertEqual(result.primary_last,
'FOJ16',
'End of primary chain should be FOJ16 on first '
'FOK16',
'End of primary chain should be FOK16 on first '
'session.')
self.assertEqual(result.secondary_last,
'FOJ16',
'End of secondary chain should be FOJ16 on first '
'FOK16',
'End of secondary chain should be FOK16 on first '
'session.')
# Second day, primary should switch to FOG
result = results.iloc[1]
self.assertEqual(result.primary_len,
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll.')
self.assertEqual(result.secondary_len,
2,
'There should be only 2 contracts in the chain for '
'the primary, there are 5 contracts defined in the '
3,
'There should be only 3 contracts in the chain for '
'the primary, there are 6 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll, '
'the second is the primary on that date.')
@@ -336,12 +394,12 @@ def record_current_contract(algo, data):
# These values remain FOJ16 because fixture data is not exhaustive
# enough to move the end of the chain.
self.assertEqual(result.primary_last,
'FOJ16',
'End of primary chain should be FOJ16 on second '
'FOK16',
'End of primary chain should be FOK16 on second '
'session.')
self.assertEqual(result.secondary_last,
'FOJ16',
'End of secondary chain should be FOJ16 on second '
'FOK16',
'End of secondary chain should be FOK16 on second '
'session.')
def test_history_sid_session(self):
@@ -349,20 +407,20 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-03 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-25', cf],
self.assertEqual(window.loc['2016-01-26', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26', cf],
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should be FOG16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOF16 on session before roll.")
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
@@ -398,38 +456,102 @@ def record_current_contract(algo, data):
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_session_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
# Volume cuts out for FOF16 on 2016-01-25
self.assertEqual(window.loc['2016-01-26', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should have remained FOG16.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
self.assertEqual(window.loc['2016-03-17', cf],
2,
"Should be FOH16 on session before volume cuts out.")
self.assertEqual(window.loc['2016-03-18', cf],
3,
"Should be FOJ16 on session where the volume of "
"FOH16 cuts out.")
self.assertEqual(window.loc['2016-03-24', cf],
3,
"Should have remained FOJ16.")
self.assertEqual(window.loc['2016-03-28', cf],
3,
"Should have remained FOJ16.")
def test_history_sid_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-25 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-25 22:32', cf],
self.assertEqual(window.loc['2016-01-26 22:32', cf],
0,
"Should be FOF16 at beginning of window. A minute "
"which is in the 01-25 session, before the roll.")
"which is in the 01-26 session, before the roll.")
self.assertEqual(window.loc['2016-01-25 23:00', cf],
self.assertEqual(window.loc['2016-01-26 23:00', cf],
0,
"Should be FOF16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-01-25 23:01', cf],
self.assertEqual(window.loc['2016-01-26 23:01', cf],
1,
"Should be FOG16 on minute after roll.")
# Advance the window a day.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
self.assertEqual(window.loc['2016-01-27 22:32', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26 23:01', cf],
self.assertEqual(window.loc['2016-01-27 23:01', cf],
1,
"Should remain FOG16 on next session.")
@@ -441,7 +563,7 @@ def record_current_contract(algo, data):
assert_almost_equal(
window.loc['2016-01-26', cf],
115011.440,
105011.440,
err_msg="At beginning of window, should be FOG16's first value.")
assert_almost_equal(
@@ -499,14 +621,14 @@ def record_current_contract(algo, data):
# a ratio of ~1.06
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
122006.62,
118833.237,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
122020.001,
119028.562,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
@@ -550,39 +672,39 @@ def record_current_contract(algo, data):
# difference: 7008.56
assert_almost_equal(
window.loc['2016-02-24', cf_mul],
129059.581,
129090.459,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments.")
assert_almost_equal(
window.loc['2016-02-24', cf_add],
129238.561,
129268.561,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments")
# Unadjusted: 125241.44
assert_almost_equal(
window.loc['2016-02-26', cf_mul],
132239.942,
132271.58,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-26', cf_add],
132250.0,
132280.0,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
# Unadjusted: 125251.44
assert_almost_equal(
window.loc['2016-02-29', cf_mul],
132250.500,
132282.141,
err_msg="On session after roll, should be FOH16's 25th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-29', cf_add],
132260.000,
132290.00,
err_msg="On session after roll, should be FOH16's 25th value, "
"unadjusted.")
zipline/assets/assets.py
+2 -1
View File
@@ -129,7 +129,8 @@ SID_TYPE_IDS = {
}
CONTINUOUS_FUTURE_ROLL_STYLE_IDS = {
'calendar': 0
'calendar': 0,
'volume': 1,
}
CONTINUOUS_FUTURE_ADJUSTMENT_STYLE_IDS = {
zipline/assets/continuous_futures.pyx
+6 -2
View File
@@ -297,7 +297,7 @@ cdef class OrderedContracts(object):
break
return self.contract_sids[i]
cpdef long_t contract_at_offset(self, long_t sid, Py_ssize_t offset):
cpdef contract_at_offset(self, long_t sid, Py_ssize_t offset, int64_t start_cap):
"""
Get the sid which is the given sid plus the offset distance.
An offset of 0 should be reflexive.
@@ -305,9 +305,13 @@ cdef class OrderedContracts(object):
cdef Py_ssize_t i
cdef long_t[:] sids
sids = self.contract_sids
start_dates = self.start_dates
for i in range(self._size):
if sid == sids[i]:
return sids[i + offset]
if start_dates[i + offset] < start_cap:
return sids[i + offset]
else:
return None
cpdef long_t[:] active_chain(self, long_t starting_sid, long_t dt_value):
cdef Py_ssize_t left, right, i, j
zipline/assets/roll_finder.py
+69 -29
View File
@@ -23,8 +23,10 @@ class RollFinder(with_metaclass(ABCMeta, object)):
Abstract base class for calculating when futures contracts are the active
contract.
"""
@abstractmethod
def _active_contract(self, oc, front, back, dt):
raise NotImplementedError
def get_contract_center(self, root_symbol, dt, offset):
"""
Parameters
@@ -42,9 +44,16 @@ class RollFinder(with_metaclass(ABCMeta, object)):
Future
The active future contract at the given dt.
"""
raise NotImplemented
oc = self.asset_finder.get_ordered_contracts(root_symbol)
session = self.trading_calendar.minute_to_session_label(dt)
front = oc.contract_before_auto_close(session.value)
back = oc.contract_at_offset(front, 1, dt.value)
if back is None:
return front
session = self.trading_calendar.minute_to_session_label(dt)
primary = self._active_contract(oc, front, back, session)
return oc.contract_at_offset(primary, offset, session.value)
@abstractmethod
def get_rolls(self, root_symbol, start, end, offset):
"""
Get the rolls, i.e. the session at which to hop from contract to
@@ -69,7 +78,39 @@ class RollFinder(with_metaclass(ABCMeta, object)):
The last pair in the chain has a value of `None` since the roll
is after the range.
"""
raise NotImplemented
oc = self.asset_finder.get_ordered_contracts(root_symbol)
front = self.get_contract_center(root_symbol, end, offset)
back = oc.contract_at_offset(front, 1, end.value)
if back is not None:
first = self._active_contract(oc, front, back, end)
else:
first = front
for i, sid in enumerate(oc.contract_sids):
if sid == first:
break
rolls = [(first, None)]
sessions = self.trading_calendar.sessions_in_range(start, end)
if first == front:
i -= 1
else:
i -= 2
auto_close_date = Timestamp(oc.auto_close_dates[i], tz='UTC')
while auto_close_date > start and i > -1:
session_loc = sessions.searchsorted(auto_close_date)
front = oc.contract_sids[i]
back = oc.contract_sids[i + 1]
while session_loc > -1:
session = sessions[session_loc]
if back != self._active_contract(oc, front, back, session):
break
session_loc -= 1
roll_session = sessions[session_loc + 1]
if roll_session > start:
rolls.insert(0, (front, roll_session))
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i],
tz='UTC')
return rolls
class CalendarRollFinder(RollFinder):
@@ -82,31 +123,30 @@ class CalendarRollFinder(RollFinder):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
def get_contract_center(self, root_symbol, dt, offset):
oc = self.asset_finder.get_ordered_contracts(root_symbol)
session = self.trading_calendar.minute_to_session_label(dt)
primary_candidate = oc.contract_before_auto_close(session.value)
# Here is where a volume check would be.
primary = primary_candidate
return oc.contract_at_offset(primary, offset)
def get_rolls(self, root_symbol, start, end, offset):
oc = self.asset_finder.get_ordered_contracts(root_symbol)
primary_at_end = self.get_contract_center(root_symbol, end, 0)
def _active_contract(self, oc, front, back, dt):
for i, sid in enumerate(oc.contract_sids):
if sid == primary_at_end:
if sid == front:
break
i += offset
first = oc.contract_sids[i]
rolls = [(first, None)]
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i - offset], tz='UTC')
while auto_close_date > start and i > -1:
rolls.insert(0, (oc.contract_sids[i - offset],
auto_close_date))
i -= 1
auto_close_date = Timestamp(oc.auto_close_dates[i - offset],
tz='UTC')
auto_close_date = Timestamp(oc.auto_close_dates[i], tz='UTC')
before_auto_close = dt < auto_close_date
return front if before_auto_close else back
return rolls
class VolumeRollFinder(RollFinder):
"""
The CalendarRollFinder calculates contract rolls based on when
volume activity transfers from one contract to another.
"""
THRESHOLD = 0.10
def __init__(self, trading_calendar, asset_finder, session_reader):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
self.session_reader = session_reader
def _active_contract(self, oc, front, back, dt):
# FIXME: Possible vector for look ahead bias.
front_vol = self.session_reader.get_value(front, dt, 'volume')
back_vol = self.session_reader.get_value(back, dt, 'volume')
return back if back_vol > front_vol else front
zipline/data/data_portal.py
+14 -6
View File
@@ -29,7 +29,10 @@ from zipline.data.continuous_future_reader import (
ContinuousFutureSessionBarReader,
ContinuousFutureMinuteBarReader
)
from zipline.assets.roll_finder import CalendarRollFinder
from zipline.assets.roll_finder import (
CalendarRollFinder,
VolumeRollFinder
)
from zipline.data.dispatch_bar_reader import (
AssetDispatchMinuteBarReader,
AssetDispatchSessionBarReader
@@ -164,11 +167,6 @@ class DataPortal(object):
else:
self._last_trading_session = None
self._roll_finders = {
'calendar': CalendarRollFinder(self.trading_calendar,
self.asset_finder)
}
aligned_equity_minute_reader = self._ensure_reader_aligned(
equity_minute_reader)
aligned_equity_session_reader = self._ensure_reader_aligned(
@@ -178,6 +176,11 @@ class DataPortal(object):
aligned_future_session_reader = self._ensure_reader_aligned(
future_daily_reader)
self._roll_finders = {
'calendar': CalendarRollFinder(self.trading_calendar,
self.asset_finder),
}
aligned_minute_readers = {}
aligned_session_readers = {}
@@ -196,6 +199,11 @@ class DataPortal(object):
if aligned_future_session_reader is not None:
aligned_session_readers[Future] = aligned_future_session_reader
self._roll_finders['volume'] = VolumeRollFinder(
self.trading_calendar,
self.asset_finder,
aligned_future_session_reader,
)
aligned_session_readers[ContinuousFuture] = \
ContinuousFutureSessionBarReader(
aligned_future_session_reader,