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Merge pull request #1754 from quantopian/premature-continuous-futures-2

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Allow gaps between auto close and start date
This commit is contained in:
David Michalowicz
2017-04-21 16:34:53 -04:00
committed by GitHub
parent acf345e1d3 0ec8841ea0
commit cd91d518bb
2 changed files with 50 additions and 82 deletions
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tests/test_continuous_futures.py
+50 -75
View File
@@ -67,9 +67,9 @@ class ContinuousFuturesTestCase(WithCreateBarData,
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO', 'BA', 'BZ', 'MA', 'DF'],
'root_symbol_id': [1, 2, 3, 4, 5],
'exchange': ['CME', 'CME', 'CME', 'CME', 'CME']})
'root_symbol': ['FO', 'BZ', 'MA', 'DF'],
'root_symbol_id': [1, 2, 3, 4],
'exchange': ['CME', 'CME', 'CME', 'CME']})
@classmethod
def make_futures_info(self):
@@ -125,34 +125,6 @@ class ContinuousFuturesTestCase(WithCreateBarData,
'exchange': ['CME'] * 7,
})
# BA is set up to test a quarterly roll, to test Eurodollar-like
# behavior
# The roll should go from BAH16 -> BAM16
ba_frame = DataFrame({
'symbol': ['BAH16', 'BAK16', 'BAM16'],
'root_symbol': ['BA'] * 3,
'asset_name': ['Bar'] * 3,
'sid': range(7, 10),
'start_date': [Timestamp('2005-04-01', tz='UTC'),
Timestamp('2016-04-21', tz='UTC'),
Timestamp('2005-06-21', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-04-21', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'expiration_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'auto_close_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
# BZ is set up to test chain predicates, for futures such as PL which
# only use a subset of contracts for the roll chain.
bz_frame = DataFrame({
@@ -234,7 +206,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame, bz_frame, ma_frame, df_frame])
return pd.concat([fo_frame, bz_frame, ma_frame, df_frame])
@classmethod
def make_future_minute_bar_data(cls):
@@ -395,7 +367,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
self.assertEqual(cf_primary.start_date,
Timestamp('2015-01-05', tz='UTC'))
self.assertEqual(cf_primary.end_date,
Timestamp('2022-08-19', tz='UTC'))
Timestamp('2022-09-19', tz='UTC'))
retrieved_primary = self.asset_finder.retrieve_asset(
cf_primary.sid)
@@ -411,7 +383,7 @@ class ContinuousFuturesTestCase(WithCreateBarData,
self.assertEqual(cf_primary.start_date,
Timestamp('2015-01-05', tz='UTC'))
self.assertEqual(cf_primary.end_date,
Timestamp('2022-08-19', tz='UTC'))
Timestamp('2022-09-19', tz='UTC'))
retrieved = self.asset_finder.retrieve_asset(
cf_secondary.sid)
@@ -746,27 +718,6 @@ def record_current_contract(algo, data):
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_session_quarter_rolls(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'BA', 0, 'calendar', None)
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-13 18:01', tz='US/Eastern').tz_convert('UTC'),
3, '1d', 'sid')
self.assertEqual(window.loc['2016-03-10', cf],
7,
"Should be BAH16 at beginning of window.")
self.assertEqual(window.loc['2016-03-11', cf],
9,
"Should be BAM16 after first roll, having skipped "
"over BAK16.")
self.assertEqual(window.loc['2016-03-14', cf],
9,
"Should have remained BAM16")
def test_history_sid_session_delivery_predicate(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'BZ', 0, 'calendar', None)
@@ -1362,8 +1313,6 @@ class OrderedContractsTestCase(WithAssetFinder,
'start_date': pd.date_range('2015-01-01', periods=3, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'notice_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'auto_close_date': pd.date_range(
@@ -1373,28 +1322,41 @@ class OrderedContractsTestCase(WithAssetFinder,
'exchange': ['CME'] * 3,
})
# BZ is set up to test the case where the first contract in a chain has
# an auto close date before its start date.
# an auto close date before its start date. It also tests the case
# where a contract in the chain has a start date after the auto close
# date of the previous contract, leaving a gap with no active contract.
bz_frame = DataFrame({
'root_symbol': ['BZ'] * 3,
'asset_name': ['Baz'] * 3,
'symbol': ['BZF16', 'BZG16', 'BZH16'],
'sid': range(8, 11),
'start_date': pd.date_range('2015-01-02', periods=3, tz='UTC'),
'root_symbol': ['BZ'] * 4,
'asset_name': ['Baz'] * 4,
'symbol': ['BZF15', 'BZG15', 'BZH15', 'BZJ16'],
'sid': range(8, 12),
'start_date': [
pd.Timestamp('2015-01-02', tz='UTC'),
pd.Timestamp('2015-01-03', tz='UTC'),
pd.Timestamp('2015-02-23', tz='UTC'),
pd.Timestamp('2015-02-24', tz='UTC'),
],
'end_date': pd.date_range(
'2015-01-15', periods=3, freq='M', tz='UTC',
),
'notice_date': pd.date_range(
'2014-12-31', periods=3, freq='M', tz='UTC',
'2015-02-01', periods=4, freq='MS', tz='UTC',
),
'notice_date': [
pd.Timestamp('2014-12-31', tz='UTC'),
pd.Timestamp('2015-02-18', tz='UTC'),
pd.Timestamp('2015-03-18', tz='UTC'),
pd.Timestamp('2015-04-17', tz='UTC'),
],
'expiration_date': pd.date_range(
'2015-01-15', periods=3, freq='M', tz='UTC',
'2015-02-01', periods=4, freq='MS', tz='UTC',
),
'auto_close_date': pd.date_range(
'2014-12-29', periods=3, freq='M', tz='UTC',
),
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
'auto_close_date': [
pd.Timestamp('2014-12-29', tz='UTC'),
pd.Timestamp('2015-02-16', tz='UTC'),
pd.Timestamp('2015-03-16', tz='UTC'),
pd.Timestamp('2015-04-15', tz='UTC'),
],
'tick_size': [0.001] * 4,
'multiplier': [1000.0] * 4,
'exchange': ['CME'] * 4,
})
return pd.concat([fo_frame, ba_frame, bz_frame])
@@ -1496,7 +1458,7 @@ class OrderedContractsTestCase(WithAssetFinder,
"it does not satisfy the roll predicate.")
def test_auto_close_before_start(self):
contract_sids = array([8, 9, 10], dtype=int64)
contract_sids = array([8, 9, 10, 11], dtype=int64)
contracts = self.asset_finder.retrieve_all(contract_sids)
oc = OrderedContracts('BZ', deque(contracts))
@@ -1505,6 +1467,19 @@ class OrderedContractsTestCase(WithAssetFinder,
self.assertEqual(oc.end_date, contracts[-1].end_date)
self.assertEqual(oc.contract_before_auto_close(oc.start_date.value), 9)
# The OrderedContracts chain should end on the last contract even
# though there is a gap between the auto close date of BZG16 and the
# start date of BZH16. During this period, BZH16 should be considered
# the center contract, as a placeholder of sorts.
self.assertEqual(
oc.contract_before_auto_close(contracts[1].notice_date.value),
10,
)
self.assertEqual(
oc.contract_before_auto_close(contracts[2].start_date.value),
10,
)
class NoPrefetchContinuousFuturesTestCase(ContinuousFuturesTestCase):
DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0
zipline/assets/continuous_futures.pyx
-7
View File
@@ -339,13 +339,6 @@ cdef class OrderedContracts(object):
if prev is None and contract.start_date >= contract.auto_close_date:
continue
# Prevent contract chains with gaps between auto close and start of
# next contract.
# This is in lieu of more explicit support for
# contracts with quarterly rolls. e.g. Eurodollar
if prev is not None and contract.start_date > prev.contract.auto_close_date:
continue
if not chain_predicate(contract):
continue