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BUG: Use proxy for settlement on future adjustments.

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Instead of using the difference between the session close of the front
contract before the roll and and the open of back contract on the
beginning of the roll, use the close of both at the end of the session
before the roll.

The closes of the session prior to roll is in lieu of settlement data.
This commit is contained in:
Eddie Hebert
2016-10-26 17:08:59 -04:00
parent 82cbac85c2
commit e1bafe1ecc
2 changed files with 57 additions and 57 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_continuous_futures.py
+29 -26
View File
@@ -617,18 +617,18 @@ def record_current_contract(algo, data):
Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
# Unadjusted value is: 115011.44
# Adjustment is based on hop from 115231.44 to 122240.001
# a ratio of ~1.06
# Adjustment is based on hop from 115231.44 to 125231.44
# a ratio of ~0.920
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
118833.237,
124992.348,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
119028.562,
125011.44,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
@@ -661,50 +661,52 @@ def record_current_contract(algo, data):
# Unadjusted value: 115221.44
# Adjustments based on hops:
# 2016-02-25 00:00:00+00:00 115231.440
# 2016-02-26 00:00:00+00:00 122240.001
# ratio: ~1.061
# difference: 7008.561
# 2016-02-25 00:00:00+00:00
# front 115231.440
# back 125231.440
# ratio: ~0.920
# difference: 10000.0
# and
# 2016-03-23 00:00:00+00:00 125421.440
# 2016-03-24 00:00:00+00:00 132430.001
# ratio: ~1.056
# difference: 7008.56
# 2016-03-23 00:00:00+00:00
# front 125421.440
# back 135421.440
# ratio: ~1.080
# difference: 10000.00
assert_almost_equal(
window.loc['2016-02-24', cf_mul],
129090.459,
135236.905,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments.")
assert_almost_equal(
window.loc['2016-02-24', cf_add],
129268.561,
135251.44,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments")
# Unadjusted: 125241.44
assert_almost_equal(
window.loc['2016-02-26', cf_mul],
132271.58,
135259.442,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-26', cf_add],
132280.0,
135271.44,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
# Unadjusted: 125251.44
assert_almost_equal(
window.loc['2016-02-29', cf_mul],
132282.141,
135270.241,
err_msg="On session after roll, should be FOH16's 25th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-29', cf_add],
132290.00,
135281.44,
err_msg="On session after roll, should be FOH16's 25th value, "
"unadjusted.")
@@ -780,29 +782,30 @@ def record_current_contract(algo, data):
# Unadjusted: 115231.412
# Adjustment based on roll:
# 2016-02-25 23:00:00+00:00 115231.440
# 2016-02-25 23:01:00+00:00 122240.001
# Ratio: ~1.061
# Difference: 7008.561
# 2016-02-25 23:00:00+00:00
# front: 115231.440
# back: 125231.440
# Ratio: ~0.920
# Difference: 10000.00
self.assertEqual(window.loc['2016-02-25 22:32', cf_mul],
122239.971,
125231.41,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
self.assertEqual(window.loc['2016-02-25 22:32', cf_add],
122239.973,
125231.412,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
# Unadjusted: 115231.44
# Should use same ratios as above.
self.assertEqual(window.loc['2016-02-25 23:00', cf_mul],
122240.001,
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:00', cf_add],
122240.001,
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
zipline/data/history_loader.py
+28 -31
View File
@@ -184,15 +184,15 @@ class ContinuousFutureAdjustmentReader(object):
def _make_adjustment(self,
adjustment_type,
left_close,
right_open,
front_close,
back_close,
end_loc):
adj_base = left_close - right_open
adj_base = back_close - front_close
if adjustment_type == 'mul':
adj_value = 1.0 - adj_base / left_close
adj_value = 1.0 + adj_base / front_close
adj_class = Float64Multiply
elif adjustment_type == 'add':
adj_value = -adj_base
adj_value = adj_base
adj_class = Float64Add
return adj_class(0,
end_loc,
@@ -215,37 +215,34 @@ class ContinuousFutureAdjustmentReader(object):
adjs = {}
for left, right in sliding_window(2, rolls):
left_sid, right_dt = left
right_sid = right[0]
left_dt = tc.previous_session_label(right_dt)
for front, back in sliding_window(2, rolls):
front_sid, roll_dt = front
back_sid = back[0]
dt = tc.previous_session_label(roll_dt)
if self._frequency == 'minute':
_, left_dt = tc.open_and_close_for_session(left_dt)
right_dt, _ = tc.open_and_close_for_session(right_dt)
partitions.append((left_sid,
right_sid,
left_dt,
right_dt))
dt = tc.open_and_close_for_session(dt)[1]
roll_dt = tc.open_and_close_for_session(roll_dt)[0]
partitions.append((front_sid,
back_sid,
dt,
roll_dt))
for partition in partitions:
left_sid, right_sid, left_dt, right_dt = partition
last_left_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(left_sid),
left_dt)
last_right_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(right_sid),
right_dt)
if isnull(last_left_dt) or isnull(last_right_dt):
front_sid, back_sid, dt, roll_dt = partition
last_front_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(front_sid), dt)
last_back_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(back_sid), dt)
if isnull(last_front_dt) or isnull(last_back_dt):
continue
left_close = self._bar_reader.get_value(
left_sid, last_left_dt, 'close')
right_open = self._bar_reader.get_value(
right_sid, last_right_dt, 'open')
adj_loc = dts.searchsorted(right_dt)
front_close = self._bar_reader.get_value(
front_sid, last_front_dt, 'close')
back_close = self._bar_reader.get_value(
back_sid, last_back_dt, 'close')
adj_loc = dts.searchsorted(roll_dt)
end_loc = adj_loc - 1
adj = self._make_adjustment(cf.adjustment,
left_close,
right_open,
front_close,
back_close,
end_loc)
try:
adjs[adj_loc].append(adj)