Merge pull request #1671 from quantopian/new-futures-hours

Change to a 10.5 hour futures calendar

tests/test_algorithm.py

@@ -3502,6 +3502,115 @@ class TestFutureFlip(WithDataPortal, WithSimParams, ZiplineTestCase):
                 format(i, actual_position, expected_positions[i]))
 
 
+class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
+    START_DATE = pd.Timestamp('2016-01-06', tz='utc')
+    END_DATE = pd.Timestamp('2016-01-07', tz='utc')
+    FUTURE_MINUTE_BAR_START_DATE = pd.Timestamp('2016-01-05', tz='UTC')
+
+    SIM_PARAMS_DATA_FREQUENCY = 'minute'
+
+    TRADING_CALENDAR_STRS = ('us_futures',)
+    TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
+
+    @classmethod
+    def make_futures_info(cls):
+        return pd.DataFrame.from_dict(
+            {
+                1: {
+                    'symbol': 'CLG16',
+                    'root_symbol': 'CL',
+                    'start_date': pd.Timestamp('2015-12-01', tz='UTC'),
+                    'notice_date': pd.Timestamp('2016-01-20', tz='UTC'),
+                    'expiration_date': pd.Timestamp('2016-02-19', tz='UTC'),
+                    'auto_close_date': pd.Timestamp('2016-01-18', tz='UTC'),
+                    'exchange': 'TEST',
+                },
+            },
+            orient='index',
+        )
+
+    def test_futures_history(self):
+        algo_code = dedent(
+            """
+            from datetime import time
+            from zipline.api import (
+                date_rules,
+                get_datetime,
+                schedule_function,
+                sid,
+                time_rules,
+            )
+
+            def initialize(context):
+                context.history_values = []
+
+                schedule_function(
+                    make_history_call,
+                    date_rules.every_day(),
+                    time_rules.market_open(),
+                )
+
+                schedule_function(
+                    check_market_close_time,
+                    date_rules.every_day(),
+                    time_rules.market_close(),
+                )
+
+            def make_history_call(context, data):
+                # Ensure that the market open is 6:31am US/Eastern.
+                open_time = get_datetime().tz_convert('US/Eastern').time()
+                assert open_time == time(6, 31)
+                context.history_values.append(
+                    data.history(sid(1), 'close', 5, '1m'),
+                )
+
+            def check_market_close_time(context, data):
+                # Ensure that this function is called at 4:59pm US/Eastern.
+                # By default, `market_close()` uses an offset of 1 minute.
+                close_time = get_datetime().tz_convert('US/Eastern').time()
+                assert close_time == time(16, 59)
+            """
+        )
+
+        algo = TradingAlgorithm(
+            script=algo_code,
+            sim_params=self.sim_params,
+            env=self.env,
+            trading_calendar=get_calendar('us_futures'),
+        )
+        algo.run(self.data_portal)
+
+        # Assert that we were able to retrieve history data for minutes outside
+        # of the 6:31am US/Eastern to 5:00pm US/Eastern futures open times.
+        np.testing.assert_array_equal(
+            algo.history_values[0].index,
+            pd.date_range(
+                '2016-01-06 6:27',
+                '2016-01-06 6:31',
+                freq='min',
+                tz='US/Eastern',
+            ),
+        )
+        np.testing.assert_array_equal(
+            algo.history_values[1].index,
+            pd.date_range(
+                '2016-01-07 6:27',
+                '2016-01-07 6:31',
+                freq='min',
+                tz='US/Eastern',
+            ),
+        )
+
+        # Expected prices here are given by the range values created by the
+        # default `make_future_minute_bar_data` method.
+        np.testing.assert_array_equal(
+            algo.history_values[0].values, list(map(float, range(2196, 2201))),
+        )
+        np.testing.assert_array_equal(
+            algo.history_values[1].values, list(map(float, range(3636, 3641))),
+        )
+
+
 class TestTradingAlgorithm(ZiplineTestCase):
     def test_analyze_called(self):
         self.perf_ref = None

zipline/algorithm.py

@@ -531,6 +531,17 @@ class TradingAlgorithm(object):
             # as the last minute of the session.
             market_opens = market_closes
 
+        # The calendar's execution times are the minutes over which we actually
+        # want to run the clock. Typically the execution times simply adhere to
+        # the market open and close times. In the case of the futures calendar,
+        # for example, we only want to simulate over a subset of the full 24
+        # hour calendar, so the execution times dictate a market open time of
+        # 6:31am US/Eastern and a close of 5:00pm US/Eastern.
+        execution_opens = \
+            self.trading_calendar.execution_time_from_open(market_opens)
+        execution_closes = \
+            self.trading_calendar.execution_time_from_close(market_closes)
+
         # FIXME generalize these values
         before_trading_start_minutes = days_at_time(
             self.sim_params.sessions,
@@ -540,8 +551,8 @@ class TradingAlgorithm(object):
 
         return MinuteSimulationClock(
             self.sim_params.sessions,
-            market_opens,
-            market_closes,
+            execution_opens,
+            execution_closes,
             before_trading_start_minutes,
             minute_emission=minutely_emission,
         )

zipline/utils/calendars/trading_calendar.py

@@ -667,6 +667,12 @@ class TradingCalendar(with_metaclass(ABCMeta)):
     def last_session(self):
         return self.all_sessions[-1]
 
+    def execution_time_from_open(self, open_dates):
+        return open_dates
+
+    def execution_time_from_close(self, close_dates):
+        return close_dates
+
     @lazyval
     def all_minutes(self):
         """

zipline/utils/calendars/us_futures_calendar.py

@@ -1,6 +1,6 @@
 from datetime import time
 
-from pandas import Timestamp
+from pandas import Timedelta, Timestamp
 from pandas.tseries.holiday import GoodFriday
 from pytz import timezone
 
@@ -13,6 +13,12 @@ from zipline.utils.calendars.us_holidays import (
     Christmas
 )
 
+# Number of hours of offset between the open and close times dictated by this
+# calendar versus the 6:31am to 5:00pm times over which we want to simulate
+# futures algos.
+FUTURES_OPEN_TIME_OFFSET = 12.5
+FUTURES_CLOSE_TIME_OFFSET = -1
+
 
 class QuantopianUSFuturesCalendar(TradingCalendar):
     """Synthetic calendar for trading US futures.
@@ -63,6 +69,12 @@ class QuantopianUSFuturesCalendar(TradingCalendar):
     def open_offset(self):
         return -1
 
+    def execution_time_from_open(self, open_dates):
+        return open_dates + Timedelta(hours=FUTURES_OPEN_TIME_OFFSET)
+
+    def execution_time_from_close(self, close_dates):
+        return close_dates + Timedelta(hours=FUTURES_CLOSE_TIME_OFFSET)
+
     @property
     def regular_holidays(self):
         return HolidayCalendar([

zipline/utils/events.py

@@ -348,11 +348,19 @@ class AfterOpen(StatelessRule):
         self._one_minute = datetime.timedelta(minutes=1)
 
     def calculate_dates(self, dt):
-        # given a dt, find that day's open and period end (open + offset)
-        self._period_start, self._period_close = \
-            self.cal.open_and_close_for_session(
-                self.cal.minute_to_session_label(dt)
-            )
+        """
+        Given a date, find that day's open and period end (open + offset).
+        """
+        period_start, period_close = self.cal.open_and_close_for_session(
+            self.cal.minute_to_session_label(dt),
+        )
+
+        # Align the market open and close times here with the execution times
+        # used by the simulation clock. This ensures that scheduled functions
+        # trigger at the correct times.
+        self._period_start = self.cal.execution_time_from_open(period_start)
+        self._period_close = self.cal.execution_time_from_close(period_close)
+
         self._period_end = self._period_start + self.offset - self._one_minute
 
     def should_trigger(self, dt):
@@ -396,11 +404,17 @@ class BeforeClose(StatelessRule):
         self._one_minute = datetime.timedelta(minutes=1)
 
     def calculate_dates(self, dt):
-        # given a dt, find that day's close and period start (close - offset)
-        self._period_end = \
-            self.cal.open_and_close_for_session(
-                self.cal.minute_to_session_label(dt)
-            )[1]
+        """
+        Given a dt, find that day's close and period start (close - offset).
+        """
+        period_end = self.cal.open_and_close_for_session(
+            self.cal.minute_to_session_label(dt),
+        )[1]
+
+        # Align the market close time here with the execution time used by the
+        # simulation clock. This ensures that scheduled functions trigger at
+        # the correct times.
+        self._period_end = self.cal.execution_time_from_close(period_end)
 
         self._period_start = self._period_end - self.offset
         self._period_close = self._period_end