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catalyst/tests/test_continuous_futures.py
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Eddie Hebert d3ff536de4 BUG: Allow rolls to skip over contracts. 
For futures that behave like GC, use the latest roll as the back contract when
walking backwards over the window, so that when the front contract is skipped
because it never has more volume between its auto close date and the previous
auto close date, the back contract which did have volume is still used when
making comparisons to construct the chain.
2016-12-05 22:33:03 -05:00

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#
# Copyright 2016 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from collections import deque
from functools import partial
from textwrap import dedent
from numpy import (
arange,
array,
int64,
full,
repeat,
tile,
)
from numpy.testing import assert_almost_equal
import pandas as pd
from pandas import Timestamp, DataFrame
from zipline import TradingAlgorithm
from zipline.assets.continuous_futures import (
OrderedContracts,
delivery_predicate
)
from zipline.data.minute_bars import FUTURES_MINUTES_PER_DAY
from zipline.testing.fixtures import (
WithAssetFinder,
WithCreateBarData,
WithDataPortal,
WithBcolzFutureMinuteBarReader,
WithSimParams,
ZiplineTestCase,
)
class ContinuousFuturesTestCase(WithCreateBarData,
WithDataPortal,
WithSimParams,
WithBcolzFutureMinuteBarReader,
ZiplineTestCase):
START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
END_DATE = pd.Timestamp('2016-10-19', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-26', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-28', tz='UTC')
SIM_PARAMS_DATA_FREQUENCY = 'minute'
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
TRADING_ENV_FUTURE_CHAIN_PREDICATES = {
'BZ': partial(delivery_predicate, set(['F', 'H'])),
}
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO', 'BA', 'BZ', 'MA'],
'root_symbol_id': [1, 2, 3, 4],
'exchange': ['CME', 'CME', 'CME', 'CME']})
@classmethod
def make_futures_info(self):
fo_frame = DataFrame({
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16', 'FOK16', 'FOF22',
'FOG22'],
'sid': range(0, 7),
'root_symbol': ['FO'] * 7,
'asset_name': ['Foo'] * 7,
'start_date': [Timestamp('2015-01-05', tz='UTC'),
Timestamp('2015-02-05', tz='UTC'),
Timestamp('2015-03-05', tz='UTC'),
Timestamp('2015-04-05', tz='UTC'),
Timestamp('2015-05-05', tz='UTC'),
Timestamp('2021-01-05', tz='UTC'),
Timestamp('2015-01-05', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-09-19', tz='UTC'),
Timestamp('2016-10-19', tz='UTC'),
Timestamp('2016-11-19', tz='UTC'),
Timestamp('2022-08-19', tz='UTC'),
Timestamp('2022-09-19', tz='UTC'),
# Set the last contract's end date (which is the last
# date for which there is data to a value that is
# within the range of the dates being tested. This
# models real life scenarios where the end date of the
# furthest out contract is not necessarily the
# greatest end date all contracts in the chain.
Timestamp('2015-02-05', tz='UTC')],
'notice_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC'),
Timestamp('2022-02-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC'),
Timestamp('2022-02-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2016-05-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC'),
Timestamp('2022-02-26', tz='UTC')],
'tick_size': [0.001] * 7,
'multiplier': [1000.0] * 7,
'exchange': ['CME'] * 7,
})
# BA is set up to test a quarterly roll, to test Eurodollar-like
# behavior
# The roll should go from BAH16 -> BAM16
ba_frame = DataFrame({
'symbol': ['BAH16', 'BAK16', 'BAM16'],
'root_symbol': ['BA'] * 3,
'asset_name': ['Bar'] * 3,
'sid': range(7, 10),
'start_date': [Timestamp('2005-04-01', tz='UTC'),
Timestamp('2016-04-21', tz='UTC'),
Timestamp('2005-06-21', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-04-21', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'expiration_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'auto_close_date': [Timestamp('2016-03-11', tz='UTC'),
Timestamp('2016-05-13', tz='UTC'),
Timestamp('2016-06-10', tz='UTC')],
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
# BZ is set up to test chain predicates, for futures such as PL which
# only use a subset of contracts for the roll chain.
bz_frame = DataFrame({
'symbol': ['BZF16', 'BZG16', 'BZH16'],
'root_symbol': ['BZ'] * 3,
'asset_name': ['Baz'] * 3,
'sid': range(10, 13),
'start_date': [Timestamp('2005-01-01', tz='UTC'),
Timestamp('2005-01-21', tz='UTC'),
Timestamp('2005-01-21', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-11-21', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'expiration_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-11', tz='UTC'),
Timestamp('2016-02-08', tz='UTC'),
Timestamp('2016-03-09', tz='UTC')],
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
# MA is set up to test a contract which is has no active volume.
ma_frame = DataFrame({
'symbol': ['MAG16', 'MAH16', 'MAJ16'],
'root_symbol': ['MA'] * 3,
'asset_name': ['Most Active'] * 3,
'sid': range(14, 17),
'start_date': [Timestamp('2005-01-01', tz='UTC'),
Timestamp('2005-01-21', tz='UTC'),
Timestamp('2005-01-21', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-11-21', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-02-17', tz='UTC'),
Timestamp('2016-03-16', tz='UTC'),
Timestamp('2016-04-13', tz='UTC')],
'expiration_date': [Timestamp('2016-02-17', tz='UTC'),
Timestamp('2016-03-16', tz='UTC'),
Timestamp('2016-04-13', tz='UTC')],
'auto_close_date': [Timestamp('2016-02-17', tz='UTC'),
Timestamp('2016-03-16', tz='UTC'),
Timestamp('2016-04-13', tz='UTC')],
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame, bz_frame, ma_frame])
@classmethod
def make_future_minute_bar_data(cls):
tc = cls.trading_calendar
start = pd.Timestamp('2016-01-26', tz='UTC')
end = pd.Timestamp('2016-04-29', tz='UTC')
dts = tc.minutes_for_sessions_in_range(start, end)
sessions = tc.sessions_in_range(start, end)
# Generate values in the XXY.YYY space, with XX representing the
# session and Y.YYY representing the minute within the session.
# e.g. the close of the 23rd session would be 231.440.
r = 10.0
day_markers = repeat(
arange(r, r * len(sessions) + r, r),
FUTURES_MINUTES_PER_DAY)
r = 0.001
min_markers = tile(
arange(r, r * FUTURES_MINUTES_PER_DAY + r, r),
len(sessions))
markers = day_markers + min_markers
# Volume uses a similar scheme as above but times 1000.
r = 10.0 * 1000
vol_day_markers = repeat(
arange(r, r * len(sessions) + r, r, dtype=int64),
FUTURES_MINUTES_PER_DAY)
r = 0.001 * 1000
vol_min_markers = tile(
arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
len(sessions))
vol_markers = vol_day_markers + vol_min_markers
base_df = pd.DataFrame(
{
'open': full(len(dts), 102000.0) + markers,
'high': full(len(dts), 109000.0) + markers,
'low': full(len(dts), 101000.0) + markers,
'close': full(len(dts), 105000.0) + markers,
'volume': full(len(dts), 10000, dtype=int64) + vol_markers,
},
index=dts)
# Add the sid to the ones place of the prices, so that the ones
# place can be used to eyeball the source contract.
# For volume roll tests end sid volume early.
# FOF16 cuts out day before autoclose of 01-26
# FOG16 cuts out on autoclose
# FOH16 cuts out 4 days before autoclose
# FOJ16 cuts out 3 days before autoclose
# Make FOG22 have a blip of trading, but not be the actively trading,
# so that it does not particpate in volume rolls.
sid_to_vol_stop_session = {
0: Timestamp('2016-01-26', tz='UTC'),
1: Timestamp('2016-02-26', tz='UTC'),
2: Timestamp('2016-03-18', tz='UTC'),
3: Timestamp('2016-04-20', tz='UTC'),
6: Timestamp('2016-01-27', tz='UTC'),
}
for i in range(17):
df = base_df.copy()
df += i * 10000
if i in sid_to_vol_stop_session:
vol_stop_session = sid_to_vol_stop_session[i]
m_open = tc.open_and_close_for_session(vol_stop_session)[0]
loc = dts.searchsorted(m_open)
# Add a little bit of noise to roll. So that predicates that
# check for exactly 0 do not work, since there may be
# stragglers after a roll.
df.volume.values[loc] = 1000
df.volume.values[loc + 1:] = 0
j = i - 1
if j in sid_to_vol_stop_session:
non_primary_end = sid_to_vol_stop_session[j]
m_close = tc.open_and_close_for_session(non_primary_end)[1]
if m_close > dts[0]:
loc = dts.get_loc(m_close)
# Add some volume before a roll, since a contract may be
# entered earlier than when it is the primary.
df.volume.values[:loc + 1] = 10
if i == 15: # No volume for MAH16
df.volume.values[:] = 0
yield i, df
def test_create_continuous_future(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
self.assertEqual(cf_primary.root_symbol, 'FO')
self.assertEqual(cf_primary.offset, 0)
self.assertEqual(cf_primary.roll_style, 'calendar')
self.assertEqual(cf_primary.start_date,
Timestamp('2015-01-05', tz='UTC'))
self.assertEqual(cf_primary.end_date,
Timestamp('2022-08-19', tz='UTC'))
retrieved_primary = self.asset_finder.retrieve_asset(
cf_primary.sid)
self.assertEqual(retrieved_primary, cf_primary)
cf_secondary = self.asset_finder.create_continuous_future(
'FO', 1, 'calendar')
self.assertEqual(cf_secondary.root_symbol, 'FO')
self.assertEqual(cf_secondary.offset, 1)
self.assertEqual(cf_secondary.roll_style, 'calendar')
self.assertEqual(cf_primary.start_date,
Timestamp('2015-01-05', tz='UTC'))
self.assertEqual(cf_primary.end_date,
Timestamp('2022-08-19', tz='UTC'))
retrieved = self.asset_finder.retrieve_asset(
cf_secondary.sid)
self.assertEqual(retrieved, cf_secondary)
self.assertNotEqual(cf_primary, cf_secondary)
def test_current_contract(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOF16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-27', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
'Auto close at beginning of session so FOG16 is now '
'the current contract.')
def test_get_value_contract_daily(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
contract = self.data_portal.get_spot_value(
cf_primary,
'contract',
pd.Timestamp('2016-01-26', tz='UTC'),
'daily',
)
self.assertEqual(contract.symbol, 'FOF16')
contract = self.data_portal.get_spot_value(
cf_primary,
'contract',
pd.Timestamp('2016-01-27', tz='UTC'),
'daily',
)
self.assertEqual(contract.symbol, 'FOG16',
'Auto close at beginning of session so FOG16 is now '
'the current contract.')
def test_get_value_close_daily(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
value = self.data_portal.get_spot_value(
cf_primary,
'close',
pd.Timestamp('2016-01-26', tz='UTC'),
'daily',
)
self.assertEqual(value, 105011.44)
value = self.data_portal.get_spot_value(
cf_primary,
'close',
pd.Timestamp('2016-01-27', tz='UTC'),
'daily',
)
self.assertEqual(value, 115021.44,
'Auto close at beginning of session so FOG16 is now '
'the current contract.')
# Check a value which occurs after the end date of the last known
# contract, to prevent a regression where the end date of the last
# contract was used instead of the max date of all contracts.
value = self.data_portal.get_spot_value(
cf_primary,
'close',
pd.Timestamp('2016-03-26', tz='UTC'),
'daily',
)
self.assertEqual(value, 135441.44,
'Value should be for FOJ16, even though last '
'contract ends before query date.')
def test_current_contract_volume_roll(self):
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'volume')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOF16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-27', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
'Auto close at beginning of session. FOG16 is now '
'the current contract.')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-02-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOH16',
'Volume switch to FOH16, should have triggered roll.')
def test_current_contract_in_algo(self):
code = dedent("""
from zipline.api import (
record,
continuous_future,
schedule_function,
get_datetime,
)
def initialize(algo):
algo.primary_cl = continuous_future('FO', 0, 'calendar')
algo.secondary_cl = continuous_future('FO', 1, 'calendar')
schedule_function(record_current_contract)
def record_current_contract(algo, data):
record(datetime=get_datetime())
record(primary=data.current(algo.primary_cl, 'contract'))
record(secondary=data.current(algo.secondary_cl, 'contract'))
""")
algo = TradingAlgorithm(script=code,
sim_params=self.sim_params,
trading_calendar=self.trading_calendar,
env=self.env)
results = algo.run(self.data_portal)
result = results.iloc[0]
self.assertEqual(result.primary.symbol,
'FOF16',
'Primary should be FOF16 on first session.')
self.assertEqual(result.secondary.symbol,
'FOG16',
'Secondary should be FOG16 on first session.')
result = results.iloc[1]
# Second day, primary should switch to FOG
self.assertEqual(result.primary.symbol,
'FOG16',
'Primary should be FOG16 on second session, auto '
'close is at beginning of the session.')
self.assertEqual(result.secondary.symbol,
'FOH16',
'Secondary should be FOH16 on second session, auto '
'close is at beginning of the session.')
result = results.iloc[2]
# Second day, primary should switch to FOG
self.assertEqual(result.primary.symbol,
'FOG16',
'Primary should remain as FOG16 on third session.')
self.assertEqual(result.secondary.symbol,
'FOH16',
'Secondary should remain as FOH16 on third session.')
def test_current_chain_in_algo(self):
code = dedent("""
from zipline.api import (
record,
continuous_future,
schedule_function,
get_datetime,
)
def initialize(algo):
algo.primary_cl = continuous_future('FO', 0, 'calendar')
algo.secondary_cl = continuous_future('FO', 1, 'calendar')
schedule_function(record_current_contract)
def record_current_contract(algo, data):
record(datetime=get_datetime())
primary_chain = data.current_chain(algo.primary_cl)
secondary_chain = data.current_chain(algo.secondary_cl)
record(primary_len=len(primary_chain))
record(primary_first=primary_chain[0].symbol)
record(primary_last=primary_chain[-1].symbol)
record(secondary_len=len(secondary_chain))
record(secondary_first=secondary_chain[0].symbol)
record(secondary_last=secondary_chain[-1].symbol)
""")
algo = TradingAlgorithm(script=code,
sim_params=self.sim_params,
trading_calendar=self.trading_calendar,
env=self.env)
results = algo.run(self.data_portal)
result = results.iloc[0]
self.assertEqual(result.primary_len,
6,
'There should be only 6 contracts in the chain for '
'the primary, there are 7 contracts defined in the '
'fixture, but one has a start after the simulation '
'date.')
self.assertEqual(result.secondary_len,
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 7 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. And the first is not included because it is '
'the primary on that date.')
self.assertEqual(result.primary_first,
'FOF16',
'Front of primary chain should be FOF16 on first '
'session.')
self.assertEqual(result.secondary_first,
'FOG16',
'Front of secondary chain should be FOG16 on first '
'session.')
self.assertEqual(result.primary_last,
'FOG22',
'End of primary chain should be FOK16 on first '
'session.')
self.assertEqual(result.secondary_last,
'FOG22',
'End of secondary chain should be FOK16 on first '
'session.')
# Second day, primary should switch to FOG
result = results.iloc[1]
self.assertEqual(result.primary_len,
5,
'There should be only 5 contracts in the chain for '
'the primary, there are 7 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll.')
self.assertEqual(result.secondary_len,
4,
'There should be only 4 contracts in the chain for '
'the primary, there are 7 contracts defined in the '
'fixture, but one has a start after the simulation '
'date. The first is not included because of roll, '
'the second is the primary on that date.')
self.assertEqual(result.primary_first,
'FOG16',
'Front of primary chain should be FOG16 on second '
'session.')
self.assertEqual(result.secondary_first,
'FOH16',
'Front of secondary chain should be FOH16 on second '
'session.')
# These values remain FOJ16 because fixture data is not exhaustive
# enough to move the end of the chain.
self.assertEqual(result.primary_last,
'FOG22',
'End of primary chain should be FOK16 on second '
'session.')
self.assertEqual(result.secondary_last,
'FOG22',
'End of secondary chain should be FOK16 on second '
'session.')
def test_history_sid_session(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-26', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should be FOG16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
self.assertEqual(window.loc['2016-03-24', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-03-28', cf],
3,
"Should be FOJ16 on session after roll.")
def test_history_sid_session_quarter_rolls(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'BA', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-13 18:01', tz='US/Eastern').tz_convert('UTC'),
3, '1d', 'sid')
self.assertEqual(window.loc['2016-03-10', cf],
7,
"Should be BAH16 at beginning of window.")
self.assertEqual(window.loc['2016-03-11', cf],
9,
"Should be BAM16 after first roll, having skipped "
"over BAK16.")
self.assertEqual(window.loc['2016-03-14', cf],
9,
"Should have remained BAM16")
def test_history_sid_session_delivery_predicate(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'BZ', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-11 18:01', tz='US/Eastern').tz_convert('UTC'),
3, '1d', 'sid')
self.assertEqual(window.loc['2016-01-08', cf],
10,
"Should be BZF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-11', cf],
12,
"Should be BZH16 after first roll, having skipped "
"over BZG16.")
self.assertEqual(window.loc['2016-01-12', cf],
12,
"Should have remained BZG16")
def test_history_sid_session_secondary(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 1, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-26', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
2,
"Should be FOH16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
2,
"Should be FOH16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
3,
"Should be FOJ16 on session after roll.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-02-25', cf],
2,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
3,
"Should be FOJ16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
3,
"Should be FOJ16 on session after roll.")
self.assertEqual(window.loc['2016-03-24', cf],
4,
"Should be FOK16 on session with roll.")
self.assertEqual(window.loc['2016-03-28', cf],
4,
"Should be FOK16 on session after roll.")
def test_history_sid_session_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
# Volume cuts out for FOF16 on 2016-01-25
self.assertEqual(window.loc['2016-01-26', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should have rolled to FOG16.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on session with roll.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should be FOH16 on session after roll.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
"Should be FOH16 on roll session.")
self.assertEqual(window.loc['2016-02-29', cf],
2,
"Should remain FOH16.")
self.assertEqual(window.loc['2016-03-17', cf],
2,
"Should be FOH16 on session before volume cuts out.")
self.assertEqual(window.loc['2016-03-18', cf],
2,
"Should be FOH16 on session where the volume of "
"FOH16 cuts out, the roll is upcoming.")
self.assertEqual(window.loc['2016-03-24', cf],
3,
"Should have rolled to FOJ16.")
self.assertEqual(window.loc['2016-03-28', cf],
3,
"Should have remained FOJ16.")
def test_history_sid_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
0,
"Should be FOF16 at beginning of window. A minute "
"which is in the 01-26 session, before the roll.")
self.assertEqual(window.loc['2016-01-26 23:00', cf],
0,
"Should be FOF16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-01-26 23:01', cf],
1,
"Should be FOG16 on minute after roll.")
# Advance the window a day.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-27 22:32', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-27 23:01', cf],
1,
"Should remain FOG16 on next session.")
def test_history_close_session(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-01-26', cf],
105011.440,
err_msg="At beginning of window, should be FOG16's first value.")
assert_almost_equal(
window.loc['2016-02-26', cf],
125241.440,
err_msg="On session with roll, should be FOH16's 24th value.")
assert_almost_equal(
window.loc['2016-02-29', cf],
125251.440,
err_msg="After roll, Should be FOH16's 25th value.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-02-24', cf],
115221.440,
err_msg="At beginning of window, should be FOG16's 22nd value.")
assert_almost_equal(
window.loc['2016-02-26', cf],
125241.440,
err_msg="On session with roll, should be FOH16's 24th value.")
assert_almost_equal(
window.loc['2016-02-29', cf],
125251.440,
err_msg="On session after roll, should be FOH16's 25th value.")
assert_almost_equal(
window.loc['2016-03-24', cf],
135431.440,
err_msg="On session with roll, should be FOJ16's 43rd value.")
assert_almost_equal(
window.loc['2016-03-28', cf],
135441.440,
err_msg="On session after roll, Should be FOJ16's 44th value.")
def test_history_close_session_skip_volume(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'MA', 0, 'volume')
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-01-26', cf],
245011.440,
err_msg="At beginning of window, should be MAG16's first value.")
assert_almost_equal(
window.loc['2016-02-26', cf],
265241.440,
err_msg="Should have skipped MAH16 to MAJ16.")
assert_almost_equal(
window.loc['2016-02-29', cf],
265251.440,
err_msg="Should have remained MAJ16.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
assert_almost_equal(
window.loc['2016-02-24', cf],
265221.440,
err_msg="Should be MAJ16, having skipped MAH16.")
assert_almost_equal(
window.loc['2016-02-29', cf],
265251.440,
err_msg="Should be MAJ1 for rest of window.")
assert_almost_equal(
window.loc['2016-03-24', cf],
265431.440,
err_msg="Should be MAJ16 for rest of window.")
def test_history_close_session_adjusted(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
cf_mul = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar').adj('mul')
cf_add = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar').adj('add')
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
# Unadjusted value is: 115011.44
# Adjustment is based on hop from 115231.44 to 125231.44
# a ratio of ~0.920
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
124992.348,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
125011.44,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
assert_almost_equal(
window.loc['2016-02-26', cf_mul],
125241.440,
err_msg="On session with roll, should be FOH16's 24th value, "
"unadjusted.")
assert_almost_equal(
window.loc['2016-02-26', cf_add],
125241.440,
err_msg="On session with roll, should be FOH16's 24th value, "
"unadjusted.")
assert_almost_equal(
window.loc['2016-02-29', cf_mul],
125251.440,
err_msg="After roll, Should be FOH16's 25th value, unadjusted.")
assert_almost_equal(
window.loc['2016-02-29', cf_add],
125251.440,
err_msg="After roll, Should be FOH16's 25th value, unadjusted.")
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
# Unadjusted value: 115221.44
# Adjustments based on hops:
# 2016-02-25 00:00:00+00:00
# front 115231.440
# back 125231.440
# ratio: ~0.920
# difference: 10000.0
# and
# 2016-03-23 00:00:00+00:00
# front 125421.440
# back 135421.440
# ratio: ~1.080
# difference: 10000.00
assert_almost_equal(
window.loc['2016-02-24', cf_mul],
135236.905,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments.")
assert_almost_equal(
window.loc['2016-02-24', cf_add],
135251.44,
err_msg="At beginning of window, should be FOG16's 22nd value, "
"with two adjustments")
# Unadjusted: 125241.44
assert_almost_equal(
window.loc['2016-02-26', cf_mul],
135259.442,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-26', cf_add],
135271.44,
err_msg="On session with roll, should be FOH16's 24th value, "
"with one adjustment.")
# Unadjusted: 125251.44
assert_almost_equal(
window.loc['2016-02-29', cf_mul],
135270.241,
err_msg="On session after roll, should be FOH16's 25th value, "
"with one adjustment.")
assert_almost_equal(
window.loc['2016-02-29', cf_add],
135281.44,
err_msg="On session after roll, should be FOH16's 25th value, "
"unadjusted.")
# Unadjusted: 135431.44
assert_almost_equal(
window.loc['2016-03-24', cf_mul],
135431.44,
err_msg="On session with roll, should be FOJ16's 43rd value, "
"unadjusted.")
assert_almost_equal(
window.loc['2016-03-24', cf_add],
135431.44,
err_msg="On session with roll, should be FOJ16's 43rd value.")
# Unadjusted: 135441.44
assert_almost_equal(
window.loc['2016-03-28', cf_mul],
135441.44,
err_msg="On session after roll, Should be FOJ16's 44th value.")
assert_almost_equal(
window.loc['2016-03-28', cf_add],
135441.44,
err_msg="On session after roll, Should be FOJ16's 44th value.")
def test_history_close_minute(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
self.assertEqual(window.loc['2016-02-25 22:32', cf],
115231.412,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
self.assertEqual(window.loc['2016-02-25 23:00', cf],
115231.440,
"Should be FOG16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-02-25 23:01', cf],
125240.001,
"Should be FOH16 on minute after roll.")
# Advance the window a session.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
self.assertEqual(window.loc['2016-02-26 22:32', cf],
125241.412,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-28 23:01', cf],
125250.001,
"Should remain FOH16 on next session.")
def test_history_close_minute_adjusted(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
cf_mul = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar').adj('mul')
cf_add = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar').adj('add')
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# Unadjusted: 115231.412
# Adjustment based on roll:
# 2016-02-25 23:00:00+00:00
# front: 115231.440
# back: 125231.440
# Ratio: ~0.920
# Difference: 10000.00
self.assertEqual(window.loc['2016-02-25 22:32', cf_mul],
125231.41,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
self.assertEqual(window.loc['2016-02-25 22:32', cf_add],
125231.412,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
# Unadjusted: 115231.44
# Should use same ratios as above.
self.assertEqual(window.loc['2016-02-25 23:00', cf_mul],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:00', cf_add],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_mul],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_add],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
# Advance the window a session.
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# No adjustments in this window.
self.assertEqual(window.loc['2016-02-26 22:32', cf_mul],
125241.412,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-28 23:01', cf_mul],
125250.001,
"Should remain FOH16 on next session.")
def test_history_close_minute_adjusted_volume_roll(self):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume')
cf_mul = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume').adj('mul')
cf_add = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'volume').adj('add')
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# Unadjusted: 115231.412
# Adjustment based on roll:
# 2016-02-25 23:00:00+00:00
# front: 115231.440
# back: 125231.440
# Ratio: ~0.920
# Difference: 10000.00
self.assertEqual(window.loc['2016-02-25 22:32', cf_mul],
125231.41,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
self.assertEqual(window.loc['2016-02-25 22:32', cf_add],
125231.412,
"Should be FOG16 at beginning of window. A minute "
"which is in the 02-25 session, before the roll.")
# Unadjusted: 115231.44
# Should use same ratios as above.
self.assertEqual(window.loc['2016-02-25 23:00', cf_mul],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:00', cf_add],
125231.44,
"Should be FOG16 on on minute before roll minute, "
"adjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_mul],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
self.assertEqual(window.loc['2016-02-25 23:01', cf_add],
125240.001,
"Should be FOH16 on minute after roll, unadjusted.")
# Advance the window a session.
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
# No adjustments in this window.
self.assertEqual(window.loc['2016-02-26 22:32', cf_mul],
125241.412,
"Should be FOH16 at beginning of window.")
self.assertEqual(window.loc['2016-02-28 23:01', cf_mul],
125250.001,
"Should remain FOH16 on next session.")
class OrderedContractsTestCase(WithAssetFinder,
ZiplineTestCase):
@classmethod
def make_root_symbols_info(self):
return pd.DataFrame({
'root_symbol': ['FO', 'BA'],
'root_symbol_id': [1, 2],
'exchange': ['CME', 'CME']})
@classmethod
def make_futures_info(self):
fo_frame = DataFrame({
'root_symbol': ['FO'] * 4,
'asset_name': ['Foo'] * 4,
'symbol': ['FOF16', 'FOG16', 'FOH16', 'FOJ16'],
'sid': range(1, 5),
'start_date': pd.date_range('2015-01-01', periods=4, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=4, tz="UTC"),
'notice_date': pd.date_range('2016-01-01', periods=4, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'auto_close_date': pd.date_range(
'2016-01-01', periods=4, tz="UTC"),
'tick_size': [0.001] * 4,
'multiplier': [1000.0] * 4,
'exchange': ['CME'] * 4,
})
# BA is set up to test a quarterly roll, to test Eurodollar-like
# behavior
# The roll should go from BAH16 -> BAM16
ba_frame = DataFrame({
'root_symbol': ['BA'] * 3,
'asset_name': ['Bar'] * 3,
'symbol': ['BAF16', 'BAG16', 'BAH16'],
'sid': range(5, 8),
'start_date': pd.date_range('2015-01-01', periods=3, tz="UTC"),
'end_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'notice_date': pd.date_range('2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'expiration_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'auto_close_date': pd.date_range(
'2016-01-01', periods=3, tz="UTC"),
'tick_size': [0.001] * 3,
'multiplier': [1000.0] * 3,
'exchange': ['CME'] * 3,
})
return pd.concat([fo_frame, ba_frame])
def test_contract_at_offset(self):
contract_sids = array([1, 2, 3, 4], dtype=int64)
start_dates = pd.date_range('2015-01-01', periods=4, tz="UTC")
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('FO', contracts)
self.assertEquals(1,
oc.contract_at_offset(1, 0, start_dates[-1].value),
"Offset of 0 should return provided sid")
self.assertEquals(2,
oc.contract_at_offset(1, 1, start_dates[-1].value),
"Offset of 1 should return next sid in chain.")
self.assertEquals(None,
oc.contract_at_offset(4, 1, start_dates[-1].value),
"Offset at end of chain should not crash.")
def test_active_chain(self):
contract_sids = array([1, 2, 3, 4], dtype=int64)
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('FO', contracts)
# Test sid 1 as days increment, as the sessions march forward
# a contract should be added per day, until all defined contracts
# are returned.
chain = oc.active_chain(1, pd.Timestamp('2014-12-31', tz='UTC').value)
self.assertEquals([], list(chain),
"On session before first start date, no contracts "
"in chain should be active.")
chain = oc.active_chain(1, pd.Timestamp('2015-01-01', tz='UTC').value)
self.assertEquals([1], list(chain),
"[1] should be the active chain on 01-01, since all "
"other start dates occur after 01-01.")
chain = oc.active_chain(1, pd.Timestamp('2015-01-02', tz='UTC').value)
self.assertEquals([1, 2], list(chain),
"[1, 2] should be the active contracts on 01-02.")
chain = oc.active_chain(1, pd.Timestamp('2015-01-03', tz='UTC').value)
self.assertEquals([1, 2, 3], list(chain),
"[1, 2, 3] should be the active contracts on 01-03.")
chain = oc.active_chain(1, pd.Timestamp('2015-01-04', tz='UTC').value)
self.assertEquals(4, len(chain),
"[1, 2, 3, 4] should be the active contracts on "
"01-04, this is all defined contracts in the test "
"case.")
chain = oc.active_chain(1, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals(4, len(chain),
"[1, 2, 3, 4] should be the active contracts on "
"01-05. This tests the case where all start dates "
"are before the query date.")
# Test querying each sid at a time when all should be alive.
chain = oc.active_chain(2, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals([2, 3, 4], list(chain))
chain = oc.active_chain(3, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals([3, 4], list(chain))
chain = oc.active_chain(4, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals([4], list(chain))
# Test defined contract to check edge conditions.
chain = oc.active_chain(4, pd.Timestamp('2015-01-03', tz='UTC').value)
self.assertEquals([], list(chain),
"No contracts should be active, since 01-03 is "
"before 4's start date.")
chain = oc.active_chain(4, pd.Timestamp('2015-01-04', tz='UTC').value)
self.assertEquals([4], list(chain),
"[4] should be active beginning at its start date.")
def test_delivery_predicate(self):
contract_sids = range(5, 8)
contracts = deque(self.asset_finder.retrieve_all(contract_sids))
oc = OrderedContracts('BA', contracts,
chain_predicate=partial(delivery_predicate,
set(['F', 'H'])))
# Test sid 1 as days increment, as the sessions march forward
# a contract should be added per day, until all defined contracts
# are returned.
chain = oc.active_chain(5, pd.Timestamp('2015-01-05', tz='UTC').value)
self.assertEquals(
[5, 7], list(chain),
"Contract BAG16 (sid=6) should be ommitted from chain, since "
"it does not satisfy the roll predicate.")
class NoPrefetchContinuousFuturesTestCase(ContinuousFuturesTestCase):
DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0
DATA_PORTAL_DAILY_HISTORY_PREFETCH = 0
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