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ENH: Adds future chain cache and future lookups to AssetFinder

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Andrew Daniels
2015-06-25 10:18:18 -04:00
parent 60418f931d
commit cc77a52322
2 changed files with 233 additions and 0 deletions
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tests/test_assets.py
+122
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@@ -574,3 +574,125 @@ class AssetFinderTestCase(TestCase):
for warning in w:
self.assertTrue(issubclass(warning.category,
DeprecationWarning))
def test_lookup_future_in_chain(self):
metadata = {
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
},
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-19', tz='UTC')
# Check that the primary and secondary contracts are as expected
primary = finder.lookup_future_in_chain('AD', dt, 1)
secondary = finder.lookup_future_in_chain('AD', dt, 2)
self.assertEqual(primary.sid, 1)
self.assertEqual(secondary.sid, 0)
# Check that we get None for an invalid contract num
self.assertIsNone(finder.lookup_future_in_chain('AD', dt, 0))
self.assertIsNone(finder.lookup_future_in_chain('AD', dt, -10))
self.assertIsNone(finder.lookup_future_in_chain('AD', dt, 10))
self.assertIsNone(finder.lookup_future_in_chain('CL', dt, 1))
def test_lookup_future_chain(self):
metadata = {
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
},
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-19', tz='UTC')
# Check that we get the expected number of contract, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
def test_lookup_future_by_expiration(self):
metadata = {
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
},
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-19', tz='UTC')
# First-of-the-month timestamps
may_15 = pd.Timestamp('2015-05-01', tz='UTC')
june_15 = pd.Timestamp('2015-06-01', tz='UTC')
sept_15 = pd.Timestamp('2015-09-01', tz='UTC')
dec_15 = pd.Timestamp('2015-12-01', tz='UTC')
jan_16 = pd.Timestamp('2016-01-01', tz='UTC')
# ADV15 is the next valid contract, so check that we get it
# for every ref_date before 9/14/15
contract = finder.lookup_future_by_expiration('AD', dt, may_15)
self.assertEqual(contract.sid, 1)
contract = finder.lookup_future_by_expiration('AD', dt, june_15)
self.assertEqual(contract.sid, 1)
contract = finder.lookup_future_by_expiration('AD', dt, sept_15)
self.assertEqual(contract.sid, 1)
# ADF16 has the next expiration date after 12/1/15
contract = finder.lookup_future_by_expiration('AD', dt, dec_15)
self.assertEqual(contract.sid, 0)
# No contracts exist after 12/14/2015, so we should get none
self.assertIsNone(finder.lookup_future_by_expiration('AD', dt, jan_16))