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ENH: Add continuous future current contract.

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Add the ability for an algorithm to request the current contract for a
future chain via `data.current`.

e.g.:
```
data.current(ContinuousFuture('CL', offset=0, roll='calendar'),
'contract')
```
This commit is contained in:
Eddie Hebert
2016-10-06 13:39:44 -04:00
parent 03d77b34b4
commit ec6f298972
9 changed files with 697 additions and 5 deletions
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tests/test_algorithm.py
+9 -2
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@@ -38,6 +38,7 @@ from zipline import run_algorithm
from zipline import TradingAlgorithm
from zipline.api import FixedSlippage
from zipline.assets import Equity, Future, Asset
from zipline.assets.continuous_futures import ContinuousFuture
from zipline.assets.synthetic import (
make_jagged_equity_info,
make_simple_equity_info,
@@ -1431,8 +1432,12 @@ class TestAlgoScript(WithLogger,
STRING_TYPE_NAMES = [s.__name__ for s in string_types]
STRING_TYPE_NAMES_STRING = ', '.join(STRING_TYPE_NAMES)
ASSET_TYPE_NAME = Asset.__name__
CONTINUOUS_FUTURE_NAME = ContinuousFuture.__name__
ASSET_OR_STRING_TYPE_NAMES = ', '.join([ASSET_TYPE_NAME] +
STRING_TYPE_NAMES)
ASSET_OR_STRING_OR_CF_TYPE_NAMES = ', '.join([ASSET_TYPE_NAME,
CONTINUOUS_FUTURE_NAME] +
STRING_TYPE_NAMES)
ARG_TYPE_TEST_CASES = (
('history__assets', (bad_type_history_assets,
ASSET_OR_STRING_TYPE_NAMES,
@@ -1445,7 +1450,7 @@ class TestAlgoScript(WithLogger,
STRING_TYPE_NAMES_STRING,
False)),
('current__assets', (bad_type_current_assets,
ASSET_OR_STRING_TYPE_NAMES,
ASSET_OR_STRING_OR_CF_TYPE_NAMES,
True)),
('current__fields', (bad_type_current_fields,
STRING_TYPE_NAMES_STRING,
@@ -1465,7 +1470,9 @@ class TestAlgoScript(WithLogger,
('history_kwarg__frequency',
(bad_type_history_frequency_kwarg, STRING_TYPE_NAMES_STRING, False)),
('current_kwarg__assets',
(bad_type_current_assets_kwarg, ASSET_OR_STRING_TYPE_NAMES, True)),
(bad_type_current_assets_kwarg,
ASSET_OR_STRING_OR_CF_TYPE_NAMES,
True)),
('current_kwarg__fields',
(bad_type_current_fields_kwarg, STRING_TYPE_NAMES_STRING, True)),
)