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Merge pull request #1779 from quantopian/silver-chains

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Gold/Silver futures contracts only trade certain months
This commit is contained in:
David Michalowicz
2017-05-03 17:18:56 -04:00
committed by GitHub
parent c0123b9caa cb3926f81c
commit f0e100bcf3
1 changed files with 6 additions and 0 deletions
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zipline/assets/continuous_futures.pyx
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@@ -64,6 +64,12 @@ CHAIN_PREDICATES = {
'CD': march_cycle_delivery_predicate, 'CD': march_cycle_delivery_predicate,
'AD': march_cycle_delivery_predicate, 'AD': march_cycle_delivery_predicate,
'BP': march_cycle_delivery_predicate, 'BP': march_cycle_delivery_predicate,
# Gold and silver contracts trade on an unusual specific set of months.
'GC': partial(delivery_predicate, set(['G', 'J', 'M', 'Q', 'V', 'Z'])),
'XG': partial(delivery_predicate, set(['G', 'J', 'M', 'Q', 'V', 'Z'])),
'SV': partial(delivery_predicate, set(['H', 'K', 'N', 'U', 'Z'])),
'YS': partial(delivery_predicate, set(['H', 'K', 'N', 'U', 'Z'])),
} }
ADJUSTMENT_STYLES = {'add', 'mul', None} ADJUSTMENT_STYLES = {'add', 'mul', None}