mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-04 12:45:06 +08:00
Eddie Hebert
fcf3e50cde
Add the ability for an algorithm to request the current contract for a
future chain via `data.current`.
e.g.:
```
data.current(ContinuousFuture('CL', offset=0, roll='calendar'),
'contract')
```
64 lines
2.1 KiB
Python
64 lines
2.1 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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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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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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