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test_continuous_futures.py
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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', 'DF'],
'root_symbol_id': [1, 2, 3, 4, 5],
'exchange': ['CME', '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,
})
# DF is set up to have a double volume flip between the 'F' and 'G'
# contracts, and then a really early temporary volume flip between the
# 'G' and 'H' contracts.
df_frame = DataFrame({
'symbol': ['DFF16', 'DFG16', 'DFH16'],
'root_symbol': ['DF'] * 3,
'asset_name': ['Double Flip'] * 3,
'sid': range(17, 20),
'start_date': [Timestamp('2005-01-01', tz='UTC'),
Timestamp('2005-02-01', tz='UTC'),
Timestamp('2005-03-01', tz='UTC')],
'end_date': [Timestamp('2016-08-19', tz='UTC'),
Timestamp('2016-09-19', tz='UTC'),
Timestamp('2016-10-19', tz='UTC')],
'notice_date': [Timestamp('2016-02-19', tz='UTC'),
Timestamp('2016-03-18', tz='UTC'),
Timestamp('2016-04-22', tz='UTC')],
'expiration_date': [Timestamp('2016-02-19', tz='UTC'),
Timestamp('2016-03-18', tz='UTC'),
Timestamp('2016-04-22', tz='UTC')],
'auto_close_date': [Timestamp('2016-02-17', tz='UTC'),
Timestamp('2016-03-16', tz='UTC'),
Timestamp('2016-04-20', 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, df_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(20):
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
if i == 17:
end_loc = dts.searchsorted('2016-02-16 23:00:00+00:00')
df.volume.values[:end_loc] = 10
df.volume.values[end_loc:] = 0
if i == 18:
cross_loc_1 = dts.searchsorted('2016-02-09 23:01:00+00:00')
cross_loc_2 = dts.searchsorted('2016-02-11 23:01:00+00:00')
cross_loc_3 = dts.searchsorted('2016-02-15 23:01:00+00:00')
end_loc = dts.searchsorted('2016-03-15 23:01:00+00:00')
df.volume.values[:cross_loc_1] = 5
df.volume.values[cross_loc_1:cross_loc_2] = 15
df.volume.values[cross_loc_2:cross_loc_3] = 5
df.volume.values[cross_loc_3:end_loc] = 15
df.volume.values[end_loc:] = 0
if i == 19:
early_cross_1 = dts.searchsorted('2016-03-01 23:01:00+00:00')
early_cross_2 = dts.searchsorted('2016-03-03 23:01:00+00:00')
end_loc = dts.searchsorted('2016-04-19 23:01:00+00:00')
df.volume.values[:early_cross_1] = 1
df.volume.values[early_cross_1:early_cross_2] = 20
df.volume.values[early_cross_2:end_loc] = 10
df.volume.values[end_loc:] = 0
yield i, df
def test_double_volume_switch(self):
"""
Test that when a double volume switch occurs we treat the first switch
as the roll, assuming it is within a certain distance of the next auto
close date. See `VolumeRollFinder._active_contract` for a full
explanation and example.
"""
cf = self.asset_finder.create_continuous_future('DF', 0, 'volume')
sessions = self.trading_calendar.sessions_in_range(
'2016-02-09', '2016-02-17',
)
for session in sessions:
bar_data = self.create_bardata(lambda: session)
contract = bar_data.current(cf, 'contract')
# The 'G' contract surpasses the 'F' contract in volume on
# 2016-02-10, which means that the 'G' contract should become the
# front contract starting on 2016-02-11.
if session < pd.Timestamp('2016-02-11', tz='UTC'):
self.assertEqual(contract.symbol, 'DFF16')
else:
self.assertEqual(contract.symbol, 'DFG16')
# TODO: This test asserts behavior about a back contract briefly
# spiking in volume, but more than a week before the front contract's
# auto close date, meaning it does not fall in the 'grace' period used
# by `VolumeRollFinder._active_contract`. The current behavior is that
# during the spike, the back contract is considered current, but it may
# be worth changing that behavior in the future.
# sessions = self.trading_calendar.sessions_in_range(
# '2016-03-01', '2016-03-21',
# )
# for session in sessions:
# bar_data = self.create_bardata(lambda: session)
# contract = bar_data.current(cf, 'contract')
# if session < pd.Timestamp('2016-03-16', tz='UTC'):
# self.assertEqual(contract.symbol, 'DFG16')
# else:
# self.assertEqual(contract.symbol, 'DFH16')
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(