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ENH: Volume based rolls for futures.
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
@@ -46,8 +46,8 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
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END_DATE = pd.Timestamp('2016-10-19', tz='UTC')
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SIM_PARAMS_START = pd.Timestamp('2016-01-25', tz='UTC')
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SIM_PARAMS_END = pd.Timestamp('2016-01-27', tz='UTC')
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SIM_PARAMS_START = pd.Timestamp('2016-01-26', tz='UTC')
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SIM_PARAMS_END = pd.Timestamp('2016-01-28', tz='UTC')
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SIM_PARAMS_DATA_FREQUENCY = 'minute'
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TRADING_CALENDAR_STRS = ('us_futures',)
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TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
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@@ -62,37 +62,42 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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@classmethod
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def make_futures_info(self):
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return DataFrame({
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'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOF22'],
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'root_symbol': ['FO', 'FO', 'FO', 'FO', 'FO'],
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'asset_name': ['Foo'] * 5,
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'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOK16', 'FOF22'],
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'root_symbol': ['FO'] * 6,
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'asset_name': ['Foo'] * 6,
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'start_date': [Timestamp('2015-01-05', tz='UTC'),
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Timestamp('2015-02-05', tz='UTC'),
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Timestamp('2015-03-05', tz='UTC'),
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Timestamp('2015-04-05', tz='UTC'),
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Timestamp('2015-05-05', tz='UTC'),
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Timestamp('2021-01-05', tz='UTC')],
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'end_date': [Timestamp('2016-08-19', tz='UTC'),
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Timestamp('2016-09-19', tz='UTC'),
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Timestamp('2016-10-19', tz='UTC'),
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Timestamp('2016-11-19', tz='UTC'),
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Timestamp('2016-12-19', tz='UTC'),
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Timestamp('2022-08-19', tz='UTC')],
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'notice_date': [Timestamp('2016-01-26', tz='UTC'),
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'notice_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'expiration_date': [Timestamp('2016-01-26', tz='UTC'),
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'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'auto_close_date': [Timestamp('2016-01-26', tz='UTC'),
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'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
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Timestamp('2016-02-26', tz='UTC'),
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Timestamp('2016-03-24', tz='UTC'),
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Timestamp('2016-04-26', tz='UTC'),
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Timestamp('2016-05-26', tz='UTC'),
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Timestamp('2022-01-26', tz='UTC')],
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'tick_size': [0.001] * 5,
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'multiplier': [1000.0] * 5,
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'exchange': ['CME'] * 5,
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'tick_size': [0.001] * 6,
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'multiplier': [1000.0] * 6,
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'exchange': ['CME'] * 6,
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})
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@classmethod
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@@ -126,7 +131,6 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
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len(sessions))
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vol_markers = vol_day_markers + vol_min_markers
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base_df = pd.DataFrame(
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{
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'open': full(len(dts), 102000.0) + markers,
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@@ -138,8 +142,39 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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index=dts)
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# Add the sid to the ones place of the prices, so that the ones
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# place can be used to eyeball the source contract.
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for i in range(5):
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yield i, base_df + i * 10000
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# For volume roll tests end sid volume early.
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# FOF16 cuts out day before autoclose of 01-26
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# FOG16 cuts out on autoclose
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# FOH16 cuts out 4 days before autoclose
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# FOJ16 cuts out 3 days before autoclose
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sid_to_vol_stop_session = {
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0: Timestamp('2016-01-26', tz='UTC'),
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1: Timestamp('2016-02-26', tz='UTC'),
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2: Timestamp('2016-03-18', tz='UTC'),
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3: Timestamp('2016-04-20', tz='UTC'),
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}
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for i in range(6):
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df = base_df.copy()
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df += i * 10000
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if i in sid_to_vol_stop_session:
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vol_stop_session = sid_to_vol_stop_session[i]
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m_open = tc.open_and_close_for_session(vol_stop_session)[0]
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loc = dts.searchsorted(m_open)
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# Add a little bit of noise to roll. So that checks for exacly
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# 0 do not work, since there may be stragglers after a roll.
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df.volume.values[loc] = 1000
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df.volume.values[loc + 1:] = 0
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j = i - 1
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if j in sid_to_vol_stop_session:
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non_primary_end = sid_to_vol_stop_session[j] - sessions.freq
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m_close = tc.open_and_close_for_session(non_primary_end)[1]
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loc = dts.searchsorted(m_close)
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# Add some volume before a roll, since a contracted may be
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# entered earlier than when it is the primary.
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df.volume.values[:loc] = 2000
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yield i, df
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def test_create_continuous_future(self):
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cf_primary = self.asset_finder.create_continuous_future(
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@@ -172,13 +207,13 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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cf_primary = self.asset_finder.create_continuous_future(
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'FO', 0, 'calendar')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-25', tz='UTC'))
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOF16')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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lambda: pd.Timestamp('2016-01-27', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16',
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@@ -190,6 +225,29 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16')
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def test_current_contract_volume_roll(self):
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cf_primary = self.asset_finder.create_continuous_future(
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'FO', 0, 'volume')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-01-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOG16',
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'Auto close at beginning of session. FOG16 remains '
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'the current contract.')
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bar_data = self.create_bardata(
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lambda: pd.Timestamp('2016-02-26', tz='UTC'))
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contract = bar_data.current(cf_primary, 'contract')
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self.assertEqual(contract.symbol, 'FOH16',
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'Volume switch to FOH16, should have triggered roll.')
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def test_current_contract_in_algo(self):
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code = dedent("""
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from zipline.api import (
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@@ -276,15 +334,15 @@ def record_current_contract(algo, data):
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result = results.iloc[0]
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self.assertEqual(result.primary_len,
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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5,
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'There should be only 5 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date.')
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self.assertEqual(result.secondary_len,
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. And the first is not included because it is '
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'the primary on that date.')
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@@ -299,27 +357,27 @@ def record_current_contract(algo, data):
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'session.')
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self.assertEqual(result.primary_last,
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'FOJ16',
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'End of primary chain should be FOJ16 on first '
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'FOK16',
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'End of primary chain should be FOK16 on first '
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'session.')
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self.assertEqual(result.secondary_last,
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'FOJ16',
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'End of secondary chain should be FOJ16 on first '
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'FOK16',
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'End of secondary chain should be FOK16 on first '
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'session.')
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# Second day, primary should switch to FOG
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result = results.iloc[1]
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self.assertEqual(result.primary_len,
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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4,
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'There should be only 4 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. The first is not included because of roll.')
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self.assertEqual(result.secondary_len,
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2,
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'There should be only 2 contracts in the chain for '
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'the primary, there are 5 contracts defined in the '
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3,
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'There should be only 3 contracts in the chain for '
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'the primary, there are 6 contracts defined in the '
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'fixture, but one has a start after the simulation '
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'date. The first is not included because of roll, '
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'the second is the primary on that date.')
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@@ -336,12 +394,12 @@ def record_current_contract(algo, data):
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# These values remain FOJ16 because fixture data is not exhaustive
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# enough to move the end of the chain.
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self.assertEqual(result.primary_last,
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'FOJ16',
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'End of primary chain should be FOJ16 on second '
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'FOK16',
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'End of primary chain should be FOK16 on second '
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'session.')
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self.assertEqual(result.secondary_last,
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'FOJ16',
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'End of secondary chain should be FOJ16 on second '
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'FOK16',
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'End of secondary chain should be FOK16 on second '
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'session.')
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def test_history_sid_session(self):
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@@ -349,20 +407,20 @@ def record_current_contract(algo, data):
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'FO', 0, 'calendar')
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-03-03 18:01', tz='US/Eastern').tz_convert('UTC'),
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Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1d', 'sid')
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self.assertEqual(window.loc['2016-01-25', cf],
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self.assertEqual(window.loc['2016-01-26', cf],
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0,
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"Should be FOF16 at beginning of window.")
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self.assertEqual(window.loc['2016-01-26', cf],
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self.assertEqual(window.loc['2016-01-27', cf],
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1,
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"Should be FOG16 after first roll.")
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self.assertEqual(window.loc['2016-02-25', cf],
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1,
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"Should be FOF16 on session before roll.")
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"Should be FOG16 on session before roll.")
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self.assertEqual(window.loc['2016-02-26', cf],
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2,
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@@ -398,38 +456,102 @@ def record_current_contract(algo, data):
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3,
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"Should be FOJ16 on session after roll.")
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def test_history_sid_session_volume_roll(self):
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cf = self.data_portal.asset_finder.create_continuous_future(
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'FO', 0, 'volume')
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1d', 'sid')
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# Volume cuts out for FOF16 on 2016-01-25
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self.assertEqual(window.loc['2016-01-26', cf],
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1,
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"Should be FOG16 at beginning of window.")
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self.assertEqual(window.loc['2016-01-27', cf],
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1,
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"Should have remained FOG16.")
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self.assertEqual(window.loc['2016-02-25', cf],
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1,
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"Should be FOG16 on session before roll.")
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self.assertEqual(window.loc['2016-02-26', cf],
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2,
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"Should be FOH16 on session with roll.")
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self.assertEqual(window.loc['2016-02-29', cf],
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2,
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"Should be FOH16 on session after roll.")
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# Advance the window a month.
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1d', 'sid')
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self.assertEqual(window.loc['2016-02-25', cf],
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1,
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"Should be FOG16 at beginning of window.")
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self.assertEqual(window.loc['2016-02-26', cf],
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2,
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"Should be FOH16 on session with roll.")
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self.assertEqual(window.loc['2016-02-29', cf],
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2,
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"Should be FOH16 on session after roll.")
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self.assertEqual(window.loc['2016-03-17', cf],
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2,
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"Should be FOH16 on session before volume cuts out.")
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self.assertEqual(window.loc['2016-03-18', cf],
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3,
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"Should be FOJ16 on session where the volume of "
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"FOH16 cuts out.")
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self.assertEqual(window.loc['2016-03-24', cf],
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3,
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"Should have remained FOJ16.")
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self.assertEqual(window.loc['2016-03-28', cf],
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3,
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"Should have remained FOJ16.")
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def test_history_sid_minute(self):
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cf = self.data_portal.asset_finder.create_continuous_future(
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'FO', 0, 'calendar')
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window = self.data_portal.get_history_window(
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[cf.sid],
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Timestamp('2016-01-25 18:01', tz='US/Eastern').tz_convert('UTC'),
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Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1m', 'sid')
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self.assertEqual(window.loc['2016-01-25 22:32', cf],
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self.assertEqual(window.loc['2016-01-26 22:32', cf],
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0,
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"Should be FOF16 at beginning of window. A minute "
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"which is in the 01-25 session, before the roll.")
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"which is in the 01-26 session, before the roll.")
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self.assertEqual(window.loc['2016-01-25 23:00', cf],
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self.assertEqual(window.loc['2016-01-26 23:00', cf],
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0,
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"Should be FOF16 on on minute before roll minute.")
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self.assertEqual(window.loc['2016-01-25 23:01', cf],
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self.assertEqual(window.loc['2016-01-26 23:01', cf],
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1,
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"Should be FOG16 on minute after roll.")
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# Advance the window a day.
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window = self.data_portal.get_history_window(
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[cf],
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Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
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Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
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30, '1m', 'sid')
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self.assertEqual(window.loc['2016-01-26 22:32', cf],
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self.assertEqual(window.loc['2016-01-27 22:32', cf],
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1,
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"Should be FOG16 at beginning of window.")
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self.assertEqual(window.loc['2016-01-26 23:01', cf],
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self.assertEqual(window.loc['2016-01-27 23:01', cf],
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1,
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"Should remain FOG16 on next session.")
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@@ -441,7 +563,7 @@ def record_current_contract(algo, data):
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assert_almost_equal(
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window.loc['2016-01-26', cf],
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115011.440,
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105011.440,
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err_msg="At beginning of window, should be FOG16's first value.")
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assert_almost_equal(
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@@ -499,14 +621,14 @@ def record_current_contract(algo, data):
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# a ratio of ~1.06
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assert_almost_equal(
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window.loc['2016-01-26', cf_mul],
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122006.62,
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118833.237,
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err_msg="At beginning of window, should be FOG16's first value, "
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"adjusted.")
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# Difference of 7008.561
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assert_almost_equal(
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window.loc['2016-01-26', cf_add],
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122020.001,
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119028.562,
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err_msg="At beginning of window, should be FOG16's first value, "
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"adjusted.")
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@@ -550,39 +672,39 @@ def record_current_contract(algo, data):
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# difference: 7008.56
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assert_almost_equal(
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window.loc['2016-02-24', cf_mul],
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129059.581,
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129090.459,
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err_msg="At beginning of window, should be FOG16's 22nd value, "
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"with two adjustments.")
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assert_almost_equal(
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window.loc['2016-02-24', cf_add],
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129238.561,
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129268.561,
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err_msg="At beginning of window, should be FOG16's 22nd value, "
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"with two adjustments")
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# Unadjusted: 125241.44
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assert_almost_equal(
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window.loc['2016-02-26', cf_mul],
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132239.942,
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132271.58,
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err_msg="On session with roll, should be FOH16's 24th value, "
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"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.")
|
||||
|
||||
|
||||
Reference in New Issue
Block a user