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ENH: Simplified implementation of FutureChain object (not user-facing API).

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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
2016-08-29 11:30:25 -04:00
parent f5d6bfca4d
commit d1160439d2
4 changed files with 153 additions and 244 deletions
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tests/test_algorithm.py
+44 -2
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@@ -726,9 +726,51 @@ def log_nyse_close(context, data):
with self.assertRaises(TypeError):
algo.future_symbol({'foo': 'bar'})
def test_future_chain_offset(self):
# November 2006 December 2006
# Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
# 1 2 3 4 1 2
# 5 6 7 8 9 10 11 3 4 5 6 7 8 9
# 12 13 14 15 16 17 18 10 11 12 13 14 15 16
# 19 20 21 22 23 24 25 17 18 19 20 21 22 23
# 26 27 28 29 30 24 25 26 27 28 29 30
# 31
algo = TradingAlgorithm(env=self.env)
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
self.assertEqual(
algo.future_chain('CL', offset=1).as_of_date,
pd.Timestamp("2006-12-04", tz='UTC')
)
self.assertEqual(
algo.future_chain("CL", offset=5).as_of_date,
pd.Timestamp("2006-12-08", tz='UTC')
)
self.assertEqual(
algo.future_chain("CL", offset=-10).as_of_date,
pd.Timestamp("2006-11-16", tz='UTC')
)
# September 2016
# Su Mo Tu We Th Fr Sa
# 1 2 3
# 4 5 6 7 8 9 10
# 11 12 13 14 15 16 17
# 18 19 20 21 22 23 24
# 25 26 27 28 29 30
self.assertEqual(
algo.future_chain(
"CL",
as_of_date=pd.Timestamp("2016-08-31", tz='UTC'),
offset=10
).as_of_date,
pd.Timestamp("2016-09-15", tz='UTC')
)
def test_future_chain(self):
""" Tests the future_chain API function.
"""
algo = TradingAlgorithm(env=self.env)
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')