Merge pull request #803 from quantopian/future-flip

Future flip fix

tests/test_algorithm.py

@@ -48,6 +48,7 @@ from zipline.test_algorithms import (
     EmptyPositionsAlgorithm,
     InvalidOrderAlgorithm,
     RecordAlgorithm,
+    FutureFlipAlgo,
     TestAlgorithm,
     TestOrderAlgorithm,
     TestOrderInstantAlgorithm,
@@ -1842,3 +1843,51 @@ class TestClosePosAlgo(TestCase):
                 actual_position, expected_positions[i],
                 "position for day={0} not equal, actual={1}, expected={2}".
                 format(i, actual_position, expected_positions[i]))
+
+
+class TestFutureFlip(TestCase):
+    def setUp(self):
+        self.env = TradingEnvironment()
+        self.days = self.env.trading_days[:4]
+        self.trades_panel = pd.Panel({1: pd.DataFrame({
+            'price': [1, 2, 4], 'volume': [1e9, 1e9, 1e9],
+            'type': [DATASOURCE_TYPE.TRADE,
+                     DATASOURCE_TYPE.TRADE,
+                     DATASOURCE_TYPE.TRADE]},
+            index=self.days[:3])
+        })
+
+    def test_flip_algo(self):
+        metadata = {1: {'symbol': 'TEST',
+                        'end_date': self.days[3],
+                        'contract_multiplier': 5}}
+        self.env.write_data(futures_data=metadata)
+
+        algo = FutureFlipAlgo(sid=1, amount=1, env=self.env,
+                              commission=PerShare(0),
+                              order_count=0,  # not applicable but required
+                              instant_fill=True)
+        data = DataPanelSource(self.trades_panel)
+
+        results = algo.run(data)
+
+        expected_positions = [1, -1, 0]
+        self.check_algo_positions(results, expected_positions)
+
+        expected_pnl = [0, 5, -10]
+        self.check_algo_pnl(results, expected_pnl)
+
+    def check_algo_pnl(self, results, expected_pnl):
+        np.testing.assert_array_almost_equal(results.pnl, expected_pnl)
+
+    def check_algo_positions(self, results, expected_positions):
+        for i, amount in enumerate(results.positions):
+            if amount:
+                actual_position = amount[0]['amount']
+            else:
+                actual_position = 0
+
+            self.assertEqual(
+                actual_position, expected_positions[i],
+                "position for day={0} not equal, actual={1}, expected={2}".
+                format(i, actual_position, expected_positions[i]))

zipline/finance/performance/tracker.py

@@ -288,14 +288,18 @@ class PerformanceTracker(object):
 
         return _dict
 
-    def process_trade(self, event):
-        # update last sale, and pay out a cash adjustment
+    def _handle_event_price(self, event):
+        # updates last sale, and pays out a cash adjustment if applicable
         cash_adjustment = self.position_tracker.update_last_sale(event)
         if cash_adjustment != 0:
             for perf_period in self.perf_periods:
                 perf_period.handle_cash_payment(cash_adjustment)
 
+    def process_trade(self, event):
+        self._handle_event_price(event)
+
     def process_transaction(self, event):
+        self._handle_event_price(event)
         self.txn_count += 1
         self.position_tracker.execute_transaction(event)
         for perf_period in self.perf_periods:

zipline/test_algorithms.py

@@ -442,6 +442,16 @@ class TestTargetValueAlgorithm(TradingAlgorithm):
                 20 / (data[0].price * self.sid(0).contract_multiplier))
 
 
+class FutureFlipAlgo(TestAlgorithm):
+    def handle_data(self, data):
+        if len(self.portfolio.positions) > 0:
+            if self.portfolio.positions[self.asset.sid]["amount"] > 0:
+                self.order_target(self.asset, -self.amount)
+            else:
+                self.order_target(self.asset, 0)
+        else:
+            self.order_target(self.asset, self.amount)
+
 ############################
 # AccountControl Test Algos#
 ############################