Merge pull request #2549 from quantopian/futures-test-data

Futures test data

zipline/assets/roll_finder.py

@@ -156,11 +156,10 @@ def _active_contract(self, oc, front, back, dt):
 
 class VolumeRollFinder(RollFinder):
     """
-    The CalendarRollFinder calculates contract rolls based on when
+    The VolumeRollFinder calculates contract rolls based on when
     volume activity transfers from one contract to another.
     """
     GRACE_DAYS = 7
-    THRESHOLD = 0.10
 
     def __init__(self, trading_calendar, asset_finder, session_reader):
         self.trading_calendar = trading_calendar

zipline/assets/synthetic.py

@@ -3,7 +3,6 @@
 
 import pandas as pd
 from pandas.tseries.offsets import MonthBegin
-from six import iteritems
 
 from .futures import CMES_CODE_TO_MONTH
 
@@ -255,13 +254,14 @@ def make_future_info(first_sid,
     year_strs = list(map(str, years))
     years = [pd.Timestamp(s, tz='UTC') for s in year_strs]
 
-    # Pairs of string/date like ('K06', 2006-05-01)
+    # Pairs of string/date like ('K06', 2006-05-01) sorted by year/month
+    # `MonthBegin(month_num - 1)` since the year already starts at month 1.
     contract_suffix_to_beginning_of_month = tuple(
-        (month_code + year_str[-2:], year + MonthBegin(month_num))
+        (month_code + year_str[-2:], year + MonthBegin(month_num - 1))
         for ((year, year_str), (month_code, month_num))
         in product(
             zip(years, year_strs),
-            iteritems(month_codes),
+            sorted(list(month_codes.items()), key=lambda item: item[1]),
         )
     )
 
@@ -274,7 +274,7 @@ def make_future_info(first_sid,
             'symbol': root_sym + suffix,
             'start_date': start_date_func(month_begin),
             'notice_date': notice_date_func(month_begin),
-            'expiration_date': notice_date_func(month_begin),
+            'expiration_date': expiration_date_func(month_begin),
             'multiplier': multiplier,
             'exchange': "TEST",
         })