Rename _get_daily_window_for_sids to _get_daily_window_data.
Rename _get_minute_window_for_assets to _get_minute_window_data.
Rename _get_daily_data to get_daily_spot_value.
Instead of using the difference between the session close of the front
contract before the roll and and the open of back contract on the
beginning of the roll, use the close of both at the end of the session
before the roll.
The closes of the session prior to roll is in lieu of settlement data.
Make `__next__` and `seek` share code instead of seek() calling
`__next__`. This avoids having to make a large number of integer
comparisons and `asanyarray` calls when seeking more than one tick
forward.
There have been cases where the requested start or end date is not in
the history calendar.
Add the beginning and of the calendar to the KeyError to give more
detail to figure out root cause.
Add roll style which takes the volume of the contracts into account.
If the volume moves from the front to the back before the auto close
date, the roll is put at that session.
Also, factors out some of the common logic shared with calendar based rolls.
Match the behavior of the minute bar reader, now that the session and
minute bar readers share a common interface.
isnull is slightly slower than checking against -1; however, n cases
where we check against illiquid trades in a tight loop, volume is
checked which is not using nan. The change here should be marginal with
regards to performance.
The last traded dt provided from the session bar reader which resamples
from minutes should provide a dt that is a session label, not one that
is at the minute frequency.
If a KeyError occurred in the adjustment logic, the exception would be
swallowed by the try block, which was intended to just check whether or
not there was an adjustment reader adjusted.
Discovered when some logic in a futures adjustment reader were failing
because of a mismatch of minute and session labels, which resulted in no
adjustments during windows when there should have been.
The minute to session sampling reading was creating two DataFrame
objects, the first to hold the minute data, and then a second returned
by the `DataFrame.groupby` to sample down to sessions.
Instead use the arrays returned by the minute readers `load_raw_arrays`
and implement sampling logic which takes advantage that the minutes
being passed start with the first minute of the first session and end
with the last minute of the last session.
On my machine this takes the tests in `test/test_continuous_futures`
from ~4.0 to about ~0.1 seconds.
Add `.adj('mul')` and `.adj('add')` methods on ContinuousFuture, which
when used with `history`, will calculate and apply adjustments so that
the values are adjusted to account for discounts and premiums during
rolls.
Example usage in an algo:
```
from zipline.api import continuous_future
def initialize(context):
context.cl_add = continuous_future('CL', offset=0, roll='calendar').adj('add')
context.cl_mul = continuous_future('CL', offset=0, roll='calendar').adj('mul')
context.cl = continuous_future('CL', offset=0, roll='calendar')
schedule_function(print_history)
def print_history(context, data):
frame = data.history([context.cl, context.cl_add, context.cl_mul],
['price', 'sid'],
20,
'1d')
print 'unadjusted'
print frame.loc[:, :, context.cl]
print 'adjusted add'
print frame.loc[:, :, context.cl_add]
print 'adjusted mul'
print frame.loc[:, :, context.cl_mul]
```
Start making the equity adjustments calculations for the history loader
conform to the same method signature as `load_adjustments` provided by
`SQLiteAdjustmentReader, so that an `AdjustmentReader` interface can
begin to take form.
This prepares for creating a `DispatchAdjustmentReader` which will route
adjustment calculations for equities to the
`HistoryCompatibleUSEquityAdjustmentReader` and continuous futures to a
not yet implemented adjustment reader. All of these readers will share
the `load_adjustments` method.
Limit the perspective offset to 1. There is a possibility that if a
consumer of the AdjustedArrayWindow does not fetch adjustments between
the end of the data window and the vantage points beyond the end of the
window.
Until that case has a solution, e.g. having the consumer of the
AdjustedArrayWindow include the perspective offset when calculating the
query for adjustments, limit the offsets to 1.
- Refactor `test_adjusted_array` to test a range of perspective_offsets in
all tests.
- Make perspective_offset a parameter to `AdjustedArray.traverse`
instead of `AdjustedArray`.
Add a perspective offset to `AdjustedArrayWindow` and `AdjustedArray`,
so that `HistoryLoader` does not need to twiddle with offsets to support
viewing the data from the bar after end of the window, (Which is the
case when a '1d' history window is retrieved in minute mode, which is
explained in the docstring for `HistoryLoader.history`)
Presently, this simplifies the logic in
`HistoryLoader._get_adjustments_in_range`, and other incoming
AdjustmentReader's, (e.g. the roll based adjustment reader for continous
futures.) This patch should also make it easier for history and pipeline
to converge on a singular `load_adjustments` method.
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.
