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ENH: Adds future chain cache and future lookups to AssetFinder
This commit is contained in:
Andrew Daniels
@@ -574,3 +574,125 @@ class AssetFinderTestCase(TestCase):
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for warning in w:
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self.assertTrue(issubclass(warning.category,
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DeprecationWarning))
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def test_lookup_future_in_chain(self):
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metadata = {
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2: {
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'symbol': 'ADN15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
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},
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1: {
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'symbol': 'ADV15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
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},
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0: {
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'symbol': 'ADF16',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
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},
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}
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finder = AssetFinder(metadata=metadata)
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dt = pd.Timestamp('2015-06-19', tz='UTC')
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# Check that the primary and secondary contracts are as expected
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primary = finder.lookup_future_in_chain('AD', dt, 1)
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secondary = finder.lookup_future_in_chain('AD', dt, 2)
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self.assertEqual(primary.sid, 1)
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self.assertEqual(secondary.sid, 0)
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# Check that we get None for an invalid contract num
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self.assertIsNone(finder.lookup_future_in_chain('AD', dt, 0))
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self.assertIsNone(finder.lookup_future_in_chain('AD', dt, -10))
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self.assertIsNone(finder.lookup_future_in_chain('AD', dt, 10))
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self.assertIsNone(finder.lookup_future_in_chain('CL', dt, 1))
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def test_lookup_future_chain(self):
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metadata = {
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2: {
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'symbol': 'ADN15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
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},
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1: {
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'symbol': 'ADV15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
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},
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0: {
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'symbol': 'ADF16',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
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},
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}
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finder = AssetFinder(metadata=metadata)
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dt = pd.Timestamp('2015-06-19', tz='UTC')
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# Check that we get the expected number of contract, in the
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# right order
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ad_contracts = finder.lookup_future_chain('AD', dt)
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self.assertEqual(len(ad_contracts), 2)
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self.assertEqual(ad_contracts[0].sid, 1)
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self.assertEqual(ad_contracts[1].sid, 0)
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def test_lookup_future_by_expiration(self):
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metadata = {
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2: {
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'symbol': 'ADN15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
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},
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1: {
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'symbol': 'ADV15',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
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},
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0: {
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'symbol': 'ADF16',
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'root_symbol': 'AD',
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'asset_type': 'future',
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'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
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},
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}
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finder = AssetFinder(metadata=metadata)
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dt = pd.Timestamp('2015-06-19', tz='UTC')
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# First-of-the-month timestamps
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may_15 = pd.Timestamp('2015-05-01', tz='UTC')
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june_15 = pd.Timestamp('2015-06-01', tz='UTC')
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sept_15 = pd.Timestamp('2015-09-01', tz='UTC')
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dec_15 = pd.Timestamp('2015-12-01', tz='UTC')
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jan_16 = pd.Timestamp('2016-01-01', tz='UTC')
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# ADV15 is the next valid contract, so check that we get it
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# for every ref_date before 9/14/15
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contract = finder.lookup_future_by_expiration('AD', dt, may_15)
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self.assertEqual(contract.sid, 1)
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contract = finder.lookup_future_by_expiration('AD', dt, june_15)
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self.assertEqual(contract.sid, 1)
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contract = finder.lookup_future_by_expiration('AD', dt, sept_15)
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self.assertEqual(contract.sid, 1)
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# ADF16 has the next expiration date after 12/1/15
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contract = finder.lookup_future_by_expiration('AD', dt, dec_15)
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self.assertEqual(contract.sid, 0)
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# No contracts exist after 12/14/2015, so we should get none
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self.assertIsNone(finder.lookup_future_by_expiration('AD', dt, jan_16))
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@@ -67,6 +67,7 @@ class AssetFinder(object):
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self.cache = {}
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self.sym_cache = {}
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self.future_chains_cache = {}
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self.identifier_cache = {}
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self.fuzzy_match = {}
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@@ -230,6 +231,107 @@ class AssetFinder(object):
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else:
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self.fuzzy_match[(symbol, fuzzy, as_of_date)] = None
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def _sort_future_chains(self):
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""" Sort by increasing expiration date the list of contracts
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for each root symbol in the future cache.
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"""
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exp_key = operator.attrgetter('expiration_date')
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for root_symbol in self.future_chains_cache:
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self.future_chains_cache[root_symbol].sort(key=exp_key)
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def _valid_contracts(self, root_symbol, as_of_date):
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""" Returns a list of the currently valid futures contracts
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for a given root symbol, sorted by expiration date (the
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contracts are sorted when the AssetFinder is built).
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"""
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try:
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return [c for c in self.future_chains_cache[root_symbol]
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if c.expiration_date > as_of_date]
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except KeyError:
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return None
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def lookup_future_chain(self, root_symbol, as_of_date):
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""" Return the futures chain for a given root symbol.
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Parameters
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----------
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root_symbol : str
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Root symbol of the desired future.
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as_of_date : pd.Timestamp
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Date at the time of the lookup.
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Returns
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-------
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[Future]
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"""
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root_symbol.upper()
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as_of_date = normalize_date(as_of_date)
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return self._valid_contracts(root_symbol, as_of_date)
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def lookup_future_in_chain(self, root_symbol, as_of_date, contract_num=1):
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""" Find a specific contract in the futures chain for a given
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root symbol.
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Parameters
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----------
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root_symbol : str
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Root symbol of the desired future.
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as_of_date : pd.Timestamp
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Date at the time of the lookup.
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contract_num : int
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1 for the primary contract, 2 for the secondary, etc.,
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relative to as_of_date.
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Returns
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-------
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Future
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The (contract_num)th contract in the futures chain. If none
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exits, returns None.
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"""
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root_symbol.upper()
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as_of_date = normalize_date(as_of_date)
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valid_contracts = self._valid_contracts(root_symbol, as_of_date)
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contract_index = contract_num - 1
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if valid_contracts and contract_index >= 0:
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try:
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return valid_contracts[contract_index]
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except IndexError:
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pass
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return None
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def lookup_future_by_expiration(self, root_symbol, as_of_date, ref_date):
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""" Find a specific contract in the futures chain by expiration
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date.
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Parameters
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----------
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root_symbol : str
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Root symbol of the desired future.
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as_of_date : pd.Timestamp
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Date at the time of the lookup.
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ref_date : pd.Timestamp
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Reference point for expiration dates.
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Returns
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-------
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Future
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The valid contract the has the closest expiration date
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after ref_date. If none exists, returns None.
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"""
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root_symbol.upper()
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as_of_date = normalize_date(as_of_date)
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ref_date = normalize_date(ref_date)
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valid_contracts = self._valid_contracts(root_symbol, as_of_date)
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contracts_after_date = (c for c in valid_contracts
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if c.expiration_date > ref_date)
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return next(contracts_after_date, None)
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def populate_cache(self):
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"""
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Populates the asset cache with all values in the assets
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@@ -239,6 +341,7 @@ class AssetFinder(object):
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# Wipe caches before repopulating
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self.cache = {}
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self.sym_cache = {}
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self.future_chains_cache = {}
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self.identifier_cache = {}
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self.fuzzy_match = {}
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@@ -252,6 +355,14 @@ class AssetFinder(object):
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if asset.symbol is not '':
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self.sym_cache.setdefault(asset.symbol, []).append(asset)
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if isinstance(asset, Future) and asset.root_symbol is not '':
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self.future_chains_cache.setdefault(asset.root_symbol,
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[]).append(asset)
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# Pre-sort the future chains, we assume in future lookups
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# that they're ordered correctly.
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self._sort_future_chains()
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def _spawn_asset(self, identifier, **kwargs):
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# Check if the sid is declared
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