ENH: Add exchange_full to all Assets, incl. Futures.

zipline/assets/_assets.pyx

@@ -40,7 +40,7 @@ from zipline.utils.calendars import get_calendar
 # IMPORTANT NOTE: You must change this template if you change
 # Asset.__reduce__, or else we'll attempt to unpickle an old version of this
 # class
-CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v6.cache'
+CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v7.cache'
 
 
 cdef class Asset:
@@ -58,6 +58,7 @@ cdef class Asset:
     cdef readonly object auto_close_date
 
     cdef readonly object exchange
+    cdef readonly object exchange_full
 
     _kwargnames = frozenset({
         'sid',
@@ -68,6 +69,7 @@ cdef class Asset:
         'first_traded',
         'auto_close_date',
         'exchange',
+        'exchange_full',
     })
 
     def __init__(self,
@@ -78,13 +80,15 @@ cdef class Asset:
                  object start_date=None,
                  object end_date=None,
                  object first_traded=None,
-                 object auto_close_date=None):
+                 object auto_close_date=None,
+                 object exchange_full=None):
 
         self.sid = sid
         self.sid_hash = hash(sid)
         self.symbol = symbol
         self.asset_name = asset_name
         self.exchange = exchange
+        self.exchange_full = exchange_full
         self.start_date = start_date
         self.end_date = end_date
         self.first_traded = first_traded
@@ -164,7 +168,8 @@ cdef class Asset:
                                  self.start_date,
                                  self.end_date,
                                  self.first_traded,
-                                 self.auto_close_date))
+                                 self.auto_close_date,
+                                 self.exchange_full))
 
     cpdef to_dict(self):
         """
@@ -179,6 +184,7 @@ cdef class Asset:
             'first_traded': self.first_traded,
             'auto_close_date': self.auto_close_date,
             'exchange': self.exchange,
+            'exchange_full': self.exchange_full,
         }
 
     @classmethod
@@ -226,59 +232,6 @@ cdef class Asset:
 
 cdef class Equity(Asset):
 
-    cdef readonly object exchange_full
-
-    _kwargnames = frozenset({
-        'sid',
-        'symbol',
-        'asset_name',
-        'start_date',
-        'end_date',
-        'first_traded',
-        'auto_close_date',
-        'exchange',
-        'exchange_full',
-    })
-
-    def __init__(self,
-                 int sid, # sid is required
-                 object exchange, # exchange is required
-                 object symbol="",
-                 object asset_name="",
-                 object start_date=None,
-                 object end_date=None,
-                 object first_traded=None,
-                 object auto_close_date=None,
-                 object exchange_full=None):
-        super().__init__(
-            sid,
-            exchange,
-            symbol=symbol,
-            asset_name=asset_name,
-            start_date=start_date,
-            end_date=end_date,
-            first_traded=first_traded,
-            auto_close_date=auto_close_date,
-        )
-
-        self.exchange_full = exchange_full
-
-    cpdef to_dict(self):
-        """
-        Convert to a python dict.
-        """
-        return {
-            'sid': self.sid,
-            'symbol': self.symbol,
-            'asset_name': self.asset_name,
-            'start_date': self.start_date,
-            'end_date': self.end_date,
-            'first_traded': self.first_traded,
-            'auto_close_date': self.auto_close_date,
-            'exchange': self.exchange,
-            'exchange_full': self.exchange_full,
-        }
-
     def __repr__(self):
         attrs = ('symbol', 'asset_name', 'exchange',
                  'start_date', 'end_date', 'first_traded', 'auto_close_date',
@@ -345,6 +298,7 @@ cdef class Future(Asset):
         'exchange',
         'tick_size',
         'multiplier',
+        'exchange_full',
     })
 
     def __init__(self,
@@ -360,7 +314,8 @@ cdef class Future(Asset):
                  object auto_close_date=None,
                  object first_traded=None,
                  object tick_size="",
-                 float multiplier=1.0):
+                 float multiplier=1.0,
+                 object exchange_full=None):
 
         super().__init__(
             sid,
@@ -371,6 +326,7 @@ cdef class Future(Asset):
             end_date=end_date,
             first_traded=first_traded,
             auto_close_date=auto_close_date,
+            exchange_full=exchange_full,
         )
         self.root_symbol = root_symbol
         self.notice_date = notice_date
@@ -390,7 +346,7 @@ cdef class Future(Asset):
         attrs = ('symbol', 'root_symbol', 'asset_name', 'exchange',
                  'start_date', 'end_date', 'first_traded', 'notice_date',
                  'expiration_date', 'auto_close_date', 'tick_size',
-                 'multiplier')
+                 'multiplier', 'exchange_full')
         tuples = ((attr, repr(getattr(self, attr, None)))
                   for attr in attrs)
         strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
@@ -416,7 +372,8 @@ cdef class Future(Asset):
                                  self.auto_close_date,
                                  self.first_traded,
                                  self.tick_size,
-                                 self.multiplier,))
+                                 self.multiplier,
+                                 self.exchange_full))
 
     cpdef to_dict(self):
         """

zipline/assets/synthetic.py

@@ -222,6 +222,7 @@ def make_future_info(first_sid,
             'expiration_date': notice_date_func(month_begin),
             'multiplier': 500,
             'exchange': "TEST",
+            'exchange_full': 'TEST FULL',
         })
     return pd.DataFrame.from_records(contracts, index='sid').convert_objects()