mirror of
https://github.com/wassname/catalyst.git
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Eddie Hebert
2f16c08dcd
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.
113 lines
3.7 KiB
Python
113 lines
3.7 KiB
Python
#
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# Copyright 2016 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from abc import ABCMeta, abstractmethod
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from six import with_metaclass
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from pandas import Timestamp
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class RollFinder(with_metaclass(ABCMeta, object)):
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"""
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Abstract base class for calculating when futures contracts are the active
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contract.
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"""
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@abstractmethod
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def get_contract_center(self, root_symbol, dt, offset):
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"""
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Parameters
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----------
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root_symbol : str
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The root symbol for the contract chain.
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dt : Timestamp
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The datetime for which to retrieve the current contract.
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offset : int
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The offset from the primary contract.
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0 is the primary, 1 is the secondary, etc.
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Returns
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-------
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Future
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The active future contract at the given dt.
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"""
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raise NotImplemented
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@abstractmethod
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def get_rolls(self, root_symbol, start, end, offset):
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"""
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Get the rolls, i.e. the session at which to hop from contract to
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contract in the chain.
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Parameters
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----------
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root_symbol : str
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The root symbol for which to calculate rolls.
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start : Timestamp
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Start of the date range.
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end : Timestamp
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End of the date range.
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offset : int
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Offset from the primary.
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Returns
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-------
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rolls - list[tuple(sid, roll_date)]
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A list of rolls, where first value is the first active `sid`,
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and the `roll_date` on which to hop to the next contract.
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The last pair in the chain has a value of `None` since the roll
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is after the range.
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"""
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raise NotImplemented
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class CalendarRollFinder(RollFinder):
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"""
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The CalendarRollFinder calculates contract rolls based purely on the
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contract's auto close date.
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"""
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def __init__(self, trading_calendar, asset_finder):
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self.trading_calendar = trading_calendar
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self.asset_finder = asset_finder
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def get_contract_center(self, root_symbol, dt, offset):
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oc = self.asset_finder.get_ordered_contracts(root_symbol)
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session = self.trading_calendar.minute_to_session_label(dt)
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primary_candidate = oc.contract_before_auto_close(session.value)
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# Here is where a volume check would be.
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primary = primary_candidate
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return oc.contract_at_offset(primary, offset)
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def get_rolls(self, root_symbol, start, end, offset):
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oc = self.asset_finder.get_ordered_contracts(root_symbol)
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primary_at_end = self.get_contract_center(root_symbol, end, 0)
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for i, sid in enumerate(oc.contract_sids):
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if sid == primary_at_end:
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break
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i += offset
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first = oc.contract_sids[i]
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rolls = [(first, None)]
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i -= 1
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auto_close_date = Timestamp(oc.auto_close_dates[i - offset], tz='UTC')
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while auto_close_date > start and i > -1:
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rolls.insert(0, (oc.contract_sids[i - offset],
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auto_close_date))
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i -= 1
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auto_close_date = Timestamp(oc.auto_close_dates[i - offset],
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tz='UTC')
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return rolls
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