Enable unadjusted history for continuous futures.
The history array is filled by the values for the underlying contracts,
where the contract used changes based on rolls.
e.g., if a `1d` history window was over the range
`2016-01-20` -> `2016-02-29` with contracts with a suffix of `F16` that
rolls at the beginning of the session on `2016-01-26`, `G16` on
`2016-02-26`, and `H16` on `2016-03-26`. The `2016-01-20` ->
`2016-01-25` portion would use the values for `F16', the `2016-01-26` ->
`2016-02-25` portion would use `G16` and the `2016-02-26` ->
`2016-02-29` portion would use `H16`.
Using the same contracts as above, a `1m` history window over the range
(using a timezone of US/Eastern) `2016-01-25 4:00PM` -> `2016-01-25
7:00PM` would fill the `4:00PM` -> `6:00PM` portion with data for `F16`
and the `6:01PM` -> `7:00PM` portion with data for `G16`, since the
beginning of the `2016-01-26` session is `2016-01-25 6:01PM`.
Supports `1d` and `1m`.
Also adds the `sid` field to `history` to assist in showing the active
contract at each dt in the window.
Add `chain`field to current, as well as supporting methods in DataPortal
and OrderedContracts.
Enables the following example:
```
from zipline.api import continuous_future
def initialize(context):
context.primary_cl = continuous_future('CL', offset=0, roll='calendar')
schedule_function(print_current_chain)
def print_current_chain(context, data):
chain = data.current_chain(context.primary_cl)
print 'datetime={0}'.format(get_datetime())
print 'primary={0}'.format(chain[0])
print 'secondary={0}'.format(chain[1])
print 'tertiary={0}'.format(chain[2])
```
```
datetime=2015-12-23 14:31:00+00:00
primary=Future(1058201602 [CLG16])
secondary=Future(1058201603 [CLH16])
tertiary=Future(1058201604 [CLJ16])
```
Also:
- make return types of OrderedContracts methods compatible across
architectures. (Noticed while adding `active_chain` method.)
- Add year suffix to future contract names in test data.
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')
```
Eddie Hebert