ENH: Add continuous future current contract.

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
2016-10-07 18:26:23 -04:00
parent b6f8a67aad
commit fcf3e50cde
9 changed files with 697 additions and 5 deletions
+2
View File
@@ -80,6 +80,8 @@ class LazyBuildExtCommandClass(dict):
ext_modules = [
Extension('zipline.assets._assets', ['zipline/assets/_assets.pyx']),
Extension('zipline.assets.continuous_futures',
['zipline/assets/continuous_futures.pyx']),
Extension('zipline.lib.adjustment', ['zipline/lib/adjustment.pyx']),
Extension('zipline.lib._factorize', ['zipline/lib/_factorize.pyx']),
Extension(