Since most brokers will cease accepting trades by the notice date, contracts should not be considered valid after the notice date. This commit adjusts the lookup_future_chain method to consider all contracts with notice dates on or following the current date invalid.
The asset finder retrieved from the test environment is empty, so the
test does not end up testing anything, since the test cases loop over
the empty list of sids in the asset finder.
Remove to possibly be added back in and re-implemented after a larger
refactoring of the module.
Removes unused future lookup methods and consolidates everything into lookup_future_chain. Since the FutureChain object will have to hold a root symbol and dates, it should be responsible for cleaning the user input, so this is removed from the lookup method.
Adds knowledge date to future lookups. This makes our definition of valid contracts more flexible. We know about a contract if it starts trading by the knowledge date, and a contract is expired if it expires by the as_of_date.
Also fixes a bug with computing future chains, where contracts were not included in the chain on their expiration date.
This commit modifies the DataFrameSource and DataPanelSource to accept only Int64Indexes on the incoming data and moves the burden of mapping user identifiers to TradingAlgorithm.run().
The identifier cache's usage was nearly identical to using lookup_generic, so this commit removes identifier-keyed caching and modifies anything that uses it.
- AssetFinder no longer accepts an unused trading_calendar.
- AssetFinder correctly accepts a DataFrame as input.
- Tests for AssetFinder no longer rely on a global trading environment.
This commit refactors the Security cython class to Asset, and refactors some fields of the class accordingly. This change is so the terminology is consistent and correct when Asset is extended to asset types that are not securities, such as futures.
The class is not yet used. Adding this class is part of the effort to allow Zipline
simulation of more types of assets than stocks.
DEV: Adds build_ext to .travis.yml
Andrew Daniels