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https://github.com/wassname/catalyst.git
synced 2026-08-14 12:10:24 +08:00
ENH: Simplified implementation of FutureChain object (not user-facing API).
No longer auto-updates its internal as-of date, instead requires an explicit as-of date from the consumer. Take a static list of contracts (instead of needing an assetfinder). Instead of the as_of method, the user-facing API now lets you pass in an offset, which is defined as an integral number of sessions.
This commit is contained in:
Jean Bredeche
+44
-2
@@ -726,9 +726,51 @@ def log_nyse_close(context, data):
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with self.assertRaises(TypeError):
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algo.future_symbol({'foo': 'bar'})
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def test_future_chain_offset(self):
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# November 2006 December 2006
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# Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
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# 1 2 3 4 1 2
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# 5 6 7 8 9 10 11 3 4 5 6 7 8 9
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# 12 13 14 15 16 17 18 10 11 12 13 14 15 16
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# 19 20 21 22 23 24 25 17 18 19 20 21 22 23
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# 26 27 28 29 30 24 25 26 27 28 29 30
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# 31
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algo = TradingAlgorithm(env=self.env)
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algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
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self.assertEqual(
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algo.future_chain('CL', offset=1).as_of_date,
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pd.Timestamp("2006-12-04", tz='UTC')
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)
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self.assertEqual(
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algo.future_chain("CL", offset=5).as_of_date,
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pd.Timestamp("2006-12-08", tz='UTC')
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)
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self.assertEqual(
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algo.future_chain("CL", offset=-10).as_of_date,
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pd.Timestamp("2006-11-16", tz='UTC')
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)
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# September 2016
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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self.assertEqual(
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algo.future_chain(
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"CL",
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as_of_date=pd.Timestamp("2016-08-31", tz='UTC'),
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offset=10
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).as_of_date,
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pd.Timestamp("2016-09-15", tz='UTC')
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)
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def test_future_chain(self):
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""" Tests the future_chain API function.
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"""
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algo = TradingAlgorithm(env=self.env)
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algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
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+34
-105
@@ -17,7 +17,7 @@
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Tests for the zipline.assets package
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"""
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from contextlib import contextmanager
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from datetime import datetime, timedelta
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from datetime import timedelta
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from functools import partial
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import pickle
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import sys
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@@ -1169,56 +1169,65 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
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}
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])
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def _get_future_chain(self, date_str, symbol):
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dt = pd.Timestamp(date_str, tz='UTC')
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return FutureChain(
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symbol,
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dt,
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self.asset_finder.lookup_future_chain(symbol, dt)
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)
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def test_len(self):
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""" Test the __len__ method of FutureChain.
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"""
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# Sids 0, 1, & 2 have started, 3 has not yet started, but all are in
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# the chain
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(len(cl), 4)
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# Sid 0 is still valid on its notice date.
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cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
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cl = self._get_future_chain('2005-12-20', 'CL')
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self.assertEqual(len(cl), 4)
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# Sid 0 is now invalid, leaving Sids 1 & 2 valid (and 3 not started).
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cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
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cl = self._get_future_chain('2005-12-21', 'CL')
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self.assertEqual(len(cl), 3)
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# Sid 3 has started, so 1, 2, & 3 are now valid.
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cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
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cl = self._get_future_chain('2006-02-01', 'CL')
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self.assertEqual(len(cl), 3)
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# All contracts are no longer valid.
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cl = FutureChain(self.asset_finder, lambda: '2006-09-21', 'CL')
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cl = self._get_future_chain('2006-09-21', 'CL')
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self.assertEqual(len(cl), 0)
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def test_getitem(self):
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""" Test the __getitem__ method of FutureChain.
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"""
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(cl[0], 0)
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self.assertEqual(cl[1], 1)
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self.assertEqual(cl[2], 2)
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cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
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cl = self._get_future_chain('2005-12-20', 'CL')
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self.assertEqual(cl[0], 0)
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cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
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cl = self._get_future_chain('2005-12-21', 'CL')
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self.assertEqual(cl[0], 1)
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cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
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cl = self._get_future_chain('2006-02-01', 'CL')
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self.assertEqual(cl[-1], 3)
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def test_iter(self):
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""" Test the __iter__ method of FutureChain.
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"""
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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cl = self._get_future_chain('2005-12-01', 'CL')
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for i, contract in enumerate(cl):
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self.assertEqual(contract, i)
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# First contract is now invalid, so sids will be offset by one
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cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
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cl = self._get_future_chain('2005-12-21', 'CL')
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for i, contract in enumerate(cl):
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self.assertEqual(contract, i + 1)
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@@ -1227,116 +1236,36 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
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as expected.
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"""
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# Make sure this successfully gets the chain for CL.
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(cl.root_symbol, 'CL')
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# These root symbols don't exist, so RootSymbolNotFound should
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# be raised immediately.
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with self.assertRaises(RootSymbolNotFound):
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FutureChain(self.asset_finder, lambda: '2005-12-01', 'CLZ')
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self._get_future_chain('2005-12-01', 'CLZ')
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with self.assertRaises(RootSymbolNotFound):
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FutureChain(self.asset_finder, lambda: '2005-12-01', '')
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self._get_future_chain('2005-12-01', '')
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def test_repr(self):
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""" Test the __repr__ method of FutureChain.
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"""
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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cl_feb = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL',
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as_of_date=pd.Timestamp('2006-02-01', tz='UTC'))
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cl = self._get_future_chain('2005-12-01', 'CL')
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# The default chain should not include the as of date.
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self.assertEqual(repr(cl), "FutureChain(root_symbol='CL')")
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# An explicit as of date should show up in the repr.
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self.assertEqual(
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repr(cl_feb),
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("FutureChain(root_symbol='CL', "
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"as_of_date='2006-02-01 00:00:00+00:00')")
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repr(cl),
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"FutureChain('CL', '2005-12-01')"
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)
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def test_as_of(self):
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""" Test the as_of method of FutureChain.
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"""
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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def test_contracts_returns_a_copy(self):
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cl = self._get_future_chain('2005-12-01', 'CL')
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self.assertEqual(len(cl), 4)
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# Test that the as_of_date is set correctly to the future
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feb = pd.Timestamp('2006-02-01', tz='UTC')
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cl_feb = cl.as_of(feb)
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self.assertEqual(
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cl_feb.as_of_date,
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pd.Timestamp(feb, tz='UTC')
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)
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contracts = cl.contracts
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contracts.pop(0)
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# Test that the as_of_date is set correctly to the past, with
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# args of str, datetime.datetime, and pd.Timestamp.
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feb_prev = pd.Timestamp('2005-02-01', tz='UTC')
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cl_feb_prev = cl.as_of(feb_prev)
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self.assertEqual(
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cl_feb_prev.as_of_date,
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pd.Timestamp(feb_prev, tz='UTC')
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)
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feb_prev = pd.Timestamp(datetime(year=2005, month=2, day=1), tz='UTC')
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cl_feb_prev = cl.as_of(feb_prev)
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self.assertEqual(
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cl_feb_prev.as_of_date,
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pd.Timestamp(feb_prev, tz='UTC')
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)
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feb_prev = pd.Timestamp('2005-02-01', tz='UTC')
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cl_feb_prev = cl.as_of(feb_prev)
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self.assertEqual(
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cl_feb_prev.as_of_date,
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pd.Timestamp(feb_prev, tz='UTC')
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)
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# Test that the as_of() method works with str args
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feb_str = '2006-02-01'
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cl_feb = cl.as_of(feb_str)
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self.assertEqual(
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cl_feb.as_of_date,
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pd.Timestamp(feb, tz='UTC')
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)
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# The chain as of the current dt should always be the same as
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# the defualt chain.
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self.assertEqual(cl[0], cl.as_of(pd.Timestamp('2005-12-01'))[0])
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def test_offset(self):
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""" Test the offset method of FutureChain.
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"""
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cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
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# Test that an offset forward sets as_of_date as expected
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self.assertEqual(
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cl.offset('3 days').as_of_date,
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cl.as_of_date + pd.Timedelta(days=3)
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)
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# Test that an offset backward sets as_of_date as expected, with
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# time delta given as str, datetime.timedelta, and pd.Timedelta.
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self.assertEqual(
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cl.offset('-1000 days').as_of_date,
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cl.as_of_date + pd.Timedelta(days=-1000)
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)
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self.assertEqual(
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cl.offset(timedelta(days=-1000)).as_of_date,
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cl.as_of_date + pd.Timedelta(days=-1000)
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)
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self.assertEqual(
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cl.offset(pd.Timedelta('-1000 days')).as_of_date,
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cl.as_of_date + pd.Timedelta(days=-1000)
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)
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# An offset of zero should give the original chain.
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self.assertEqual(cl[0], cl.offset(0)[0])
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self.assertEqual(cl[0], cl.offset("0 days")[0])
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# A string that doesn't represent a time delta should raise a
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# ValueError.
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with self.assertRaises(ValueError):
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cl.offset("blah")
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self.assertEqual(len(contracts), 3)
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self.assertEqual(len(cl), 4)
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def test_cme_code_to_month(self):
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codes = {
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