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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 textwrap import dedent | ||
|
|
||
| import pandas as pd | ||
| from pandas import Timestamp, DataFrame | ||
|
|
||
| from zipline import TradingAlgorithm | ||
| from zipline.testing.fixtures import ( | ||
| WithCreateBarData, | ||
| WithSimParams, | ||
| ZiplineTestCase, | ||
| ) | ||
|
|
||
|
|
||
| class ContinuousFuturesTestCase(WithCreateBarData, | ||
| WithSimParams, | ||
| ZiplineTestCase): | ||
|
|
||
| START_DATE = pd.Timestamp('2015-01-05', tz='UTC') | ||
| END_DATE = pd.Timestamp('2016-10-19', tz='UTC') | ||
|
|
||
| SIM_PARAMS_START = pd.Timestamp('2016-01-25', tz='UTC') | ||
| SIM_PARAMS_END = pd.Timestamp('2016-01-27', tz='UTC') | ||
| SIM_PARAMS_DATA_FREQUENCY = 'minute' | ||
| TRADING_CALENDAR_STRS = ('us_futures',) | ||
| TRADING_CALENDAR_PRIMARY_CAL = 'us_futures' | ||
|
|
||
| @classmethod | ||
| def make_root_symbols_info(self): | ||
| return pd.DataFrame({ | ||
| 'root_symbol': ['FO'], | ||
| 'root_symbol_id': [1], | ||
| 'exchange': ['CME']}) | ||
|
|
||
| @classmethod | ||
| def make_futures_info(self): | ||
| return DataFrame({ | ||
| 'symbol': ['FOF', 'FOG', 'FOH'], | ||
| 'root_symbol': ['FO', 'FO', 'FO'], | ||
| 'asset_name': ['Foo'] * 3, | ||
| 'start_date': [Timestamp('2015-01-05', tz='UTC'), | ||
| Timestamp('2015-02-05', tz='UTC'), | ||
| Timestamp('2015-03-05', 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('2016-01-26', tz='UTC'), | ||
| Timestamp('2016-02-26', tz='UTC'), | ||
| Timestamp('2016-03-26', tz='UTC')], | ||
| 'expiration_date': [Timestamp('2016-01-26', tz='UTC'), | ||
| Timestamp('2016-02-26', tz='UTC'), | ||
| Timestamp('2016-03-26', tz='UTC')], | ||
| 'auto_close_date': [Timestamp('2016-01-26', tz='UTC'), | ||
| Timestamp('2016-02-26', tz='UTC'), | ||
| Timestamp('2016-03-26', tz='UTC')], | ||
| 'tick_size': [0.001] * 3, | ||
| 'multiplier': [1000.0] * 3, | ||
| 'exchange': ['CME'] * 3, | ||
| }) | ||
|
|
||
| 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') | ||
|
|
||
| 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') | ||
|
|
||
| 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('2016-01-25', tz='UTC')) | ||
| contract = bar_data.current(cf_primary, 'contract') | ||
|
|
||
| self.assertEqual(contract.symbol, 'FOF') | ||
|
|
||
| bar_data = self.create_bardata( | ||
| lambda: pd.Timestamp('2016-01-26', tz='UTC')) | ||
| contract = bar_data.current(cf_primary, 'contract') | ||
|
|
||
| self.assertEqual(contract.symbol, 'FOG', | ||
| 'Auto close at beginning of session so FOG is now ' | ||
| 'the current contract.') | ||
|
|
||
| bar_data = self.create_bardata( | ||
| lambda: pd.Timestamp('2016-01-27', tz='UTC')) | ||
| contract = bar_data.current(cf_primary, 'contract') | ||
| self.assertEqual(contract.symbol, 'FOG') | ||
|
|
||
| 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) | ||
|
|
||
| self.assertEqual(results.iloc[0].primary.symbol, | ||
| 'FOF', | ||
| 'Primary should be FOF on first session.') | ||
| self.assertEqual(results.iloc[0].secondary.symbol, | ||
| 'FOG', | ||
| 'Secondary should be FOG on first session.') | ||
|
|
||
| # Second day, primary should switch to FOG | ||
| self.assertEqual(results.iloc[1].primary.symbol, | ||
| 'FOG', | ||
| 'Primary should be FOG on second session, auto close ' | ||
| 'is at beginning of the session.') | ||
| self.assertEqual(results.iloc[1].secondary.symbol, | ||
| 'FOH', | ||
| 'Secondary should be FOH on second session, auto ' | ||
| 'close is at beginning of the session.') | ||
|
|
||
| # Second day, primary should switch to FOG | ||
| self.assertEqual(results.iloc[2].primary.symbol, | ||
| 'FOG', | ||
| 'Primary should remain as FOG on third session.') | ||
| self.assertEqual(results.iloc[2].secondary.symbol, | ||
| 'FOH', | ||
| 'Secondary should remain as FOG on third session.') |
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