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ENH: Volume based rolls for futures. #1556

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merged 1 commit into from Oct 25, 2016
Merged

ENH: Volume based rolls for futures. #1556

merged 1 commit into from Oct 25, 2016

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@ehebert
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@ehebert ehebert commented Oct 25, 2016

Add roll style which takes the volume of the contracts into account.
If the volume moves from the front to the back before the auto close
date, the roll is put at that session.

Also, factors out some of the common logic shared with calendar based rolls.

Add roll style which takes the volume of the contracts into account.
If the volume moves from the front to the back before the auto close
date, the roll is put at that session.

Also, factors out some of the common logic shared with calendar based rolls.
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@coveralls coveralls commented Oct 25, 2016

Coverage Status

Coverage increased (+0.08%) to 87.0% when pulling afbe3cd on volume-based-rolls into 321afc1 on master.

@ehebert ehebert merged commit f192934 into master Oct 25, 2016
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@ehebert ehebert deleted the volume-based-rolls branch Oct 25, 2016
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