mirror of
https://github.com/wassname/catalyst.git
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Eddie HebertandAndrew Daniels
8876092d29
This boundary case was exposed with internal fixture data which used a continuous future with a contract chain of size one.
339 lines
9.8 KiB
Cython
339 lines
9.8 KiB
Cython
# cython: embedsignature=True
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#
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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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"""
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Cythonized ContinuousFutures object.
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"""
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cimport cython
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from cpython.number cimport PyNumber_Index
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from cpython.object cimport (
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Py_EQ,
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Py_NE,
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Py_GE,
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Py_LE,
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Py_GT,
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Py_LT,
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)
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from cpython cimport bool
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from numpy import empty
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from numpy cimport long_t, int64_t
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import warnings
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from zipline.utils.calendars import get_calendar
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cdef class ContinuousFuture:
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"""
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Represents a specifier for a chain of future contracts, where the
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coordinates for the chain are:
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root_symbol : str
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The root symbol of the contracts.
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offset : int
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The distance from the primary chain.
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e.g. 0 specifies the primary chain, 1 the secondary, etc.
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roll_style : str
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How rolls from contract to contract should be calculated.
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Currently supports 'calendar'.
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Instances of this class are exposed to the algorithm.
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"""
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cdef readonly long_t sid
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# Cached hash of self.sid
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cdef long_t sid_hash
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cdef readonly object root_symbol
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cdef readonly int offset
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cdef readonly object roll_style
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cdef readonly object start_date
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cdef readonly object end_date
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cdef readonly object exchange
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cdef readonly object adjustment
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cdef readonly object _adjustment_children
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_kwargnames = frozenset({
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'sid',
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'root_symbol',
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'offset',
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'start_date',
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'end_date',
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'exchange',
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})
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def __init__(self,
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long_t sid, # sid is required
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object root_symbol,
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int offset,
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object roll_style,
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object start_date,
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object end_date,
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object exchange,
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object adjustment=None,
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dict adjustment_children=None):
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self.sid = sid
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self.sid_hash = hash(sid)
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self.root_symbol = root_symbol
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self.roll_style = roll_style
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self.offset = offset
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self.exchange = exchange
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self.start_date = start_date
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self.end_date = end_date
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self.adjustment = adjustment
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self._adjustment_children = adjustment_children
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def __int__(self):
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return self.sid
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def __index__(self):
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return self.sid
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def __hash__(self):
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return self.sid_hash
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def __richcmp__(x, y, int op):
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"""
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Cython rich comparison method. This is used in place of various
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equality checkers in pure python.
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"""
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cdef long_t x_as_int, y_as_int
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try:
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x_as_int = PyNumber_Index(x)
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except (TypeError, OverflowError):
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return NotImplemented
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try:
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y_as_int = PyNumber_Index(y)
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except (TypeError, OverflowError):
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return NotImplemented
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compared = x_as_int - y_as_int
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# Handle == and != first because they're significantly more common
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# operations.
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if op == Py_EQ:
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return compared == 0
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elif op == Py_NE:
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return compared != 0
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elif op == Py_LT:
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return compared < 0
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elif op == Py_LE:
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return compared <= 0
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elif op == Py_GT:
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return compared > 0
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elif op == Py_GE:
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return compared >= 0
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else:
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raise AssertionError('%d is not an operator' % op)
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def __str__(self):
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return '%s(%d [%s, %s, %s, %s])' % (
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type(self).__name__,
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self.sid,
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self.root_symbol,
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self.offset,
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self.roll_style,
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self.adjustment,
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)
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def __repr__(self):
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attrs = ('root_symbol', 'offset', 'roll_style', 'adjustment')
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tuples = ((attr, repr(getattr(self, attr, None)))
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for attr in attrs)
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strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
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params = ', '.join(strings)
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return 'ContinuousFuture(%d, %s)' % (self.sid, params)
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cpdef __reduce__(self):
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"""
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Function used by pickle to determine how to serialize/deserialize this
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class. Should return a tuple whose first element is self.__class__,
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and whose second element is a tuple of all the attributes that should
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be serialized/deserialized during pickling.
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"""
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return (self.__class__, (self.sid,
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self.root_symbol,
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self.start_date,
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self.end_date,
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self.offset,
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self.roll_style,
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self.exchange))
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cpdef to_dict(self):
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"""
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Convert to a python dict.
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"""
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return {
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'sid': self.sid,
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'root_symbol': self.root_symbol,
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'start_date': self.start_date,
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'end_date': self.end_date,
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'offset': self.offset,
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'roll_style': self.roll_style,
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'exchange': self.exchange,
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}
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@classmethod
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def from_dict(cls, dict_):
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"""
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Build an ContinuousFuture instance from a dict.
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"""
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return cls(**dict_)
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def is_alive_for_session(self, session_label):
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"""
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Returns whether the continuous future is alive at the given dt.
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Parameters
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----------
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session_label: pd.Timestamp
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The desired session label to check. (midnight UTC)
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Returns
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-------
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boolean: whether the continuous is alive at the given dt.
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"""
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cdef int64_t ref_start
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cdef int64_t ref_end
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ref_start = self.start_date.value
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ref_end = self.end_date.value
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return ref_start <= session_label.value <= ref_end
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def is_exchange_open(self, dt_minute):
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"""
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Parameters
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----------
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dt_minute: pd.Timestamp (UTC, tz-aware)
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The minute to check.
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Returns
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-------
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boolean: whether the continuous futures's exchange is open at the
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given minute.
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"""
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calendar = get_calendar(self.exchange)
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return calendar.is_open_on_minute(dt_minute)
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def adj(self, style):
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try:
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return self._adjustment_children[style]
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except KeyError:
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return None
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cdef class OrderedContracts(object):
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"""
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A container for aligned values of a future contract chain, in sorted order
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of their occurrence.
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Used to get answers about contracts in relation to their auto close
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dates and start dates.
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The number of contracts for a given root symbol is ~250,
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which is why search by comparison over the range of contracts is
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used. At this size, this is faster than using an index or np.searchsorted.
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Members
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-------
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root_symbol : str
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The root symbol of the future contract chain.
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contract_sids : long[:]
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The contract sids in sorted order of occurrence.
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start_dates : long[:]
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The start dates of the contracts in the chain.
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Corresponds by index with contract_sids.
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auto_close_dates : long[:]
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The auto close dates of the contracts in the chain.
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Corresponds by index with contract_sids.
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Instances of this class are used by the simulation engine, but not
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exposed to the algorithm.
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"""
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cdef readonly object root_symbol
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cdef int _size
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cdef readonly long_t[:] contract_sids
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cdef readonly long_t[:] start_dates
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cdef readonly long_t[:] auto_close_dates
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def __init__(self,
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object root_symbol,
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long_t[:] contract_sids,
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long_t[:] start_dates,
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long_t[:] auto_close_dates):
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self._size = len(contract_sids)
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self.root_symbol = root_symbol
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self.contract_sids = contract_sids
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self.start_dates = start_dates
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self.auto_close_dates = auto_close_dates
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cpdef long_t contract_before_auto_close(self, long_t dt_value):
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"""
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Get the contract with next upcoming auto close date.
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"""
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cdef Py_ssize_t i, auto_close_date
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for i, auto_close_date in enumerate(self.auto_close_dates):
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if auto_close_date > dt_value:
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break
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return self.contract_sids[i]
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cpdef contract_at_offset(self, long_t sid, Py_ssize_t offset, int64_t start_cap):
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"""
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Get the sid which is the given sid plus the offset distance.
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An offset of 0 should be reflexive.
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"""
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cdef Py_ssize_t i, j
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cdef long_t[:] sids
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sids = self.contract_sids
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start_dates = self.start_dates
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i = 0
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j = i + offset
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while j < self._size:
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if sid == sids[i]:
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if start_dates[j] < start_cap:
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return sids[j]
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else:
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return None
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i += 1
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j += 1
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cpdef long_t[:] active_chain(self, long_t starting_sid, long_t dt_value):
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cdef Py_ssize_t left, right, i, j
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cdef long_t[:] sids, start_dates
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left = 0
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right = self._size
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sids = self.contract_sids
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start_dates = self.start_dates
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for i in range(self._size):
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if starting_sid == sids[i]:
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left = i
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break
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for j in range(i, self._size):
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if start_dates[j] > dt_value:
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right = j
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break
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return sids[left:right]
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