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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.