def test_lookup_future_chain(self):
metadata = {
# Expires today, so should be valid
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-06-15', tz='UTC')
},
# Copy of the above future, but starts trading in August,
# so it isn't valid.
3: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-15', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 3)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[1].sid, 1)
self.assertEqual(ad_contracts[2].sid, 0)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 2)
def test_lookup_future_chain(self):
metadata = {
# Expires today, so should be valid
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-06-15', tz='UTC')
},
# Copy of the above future, but starts trading in August,
# so it isn't valid.
3: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-15', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 3)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[1].sid, 1)
self.assertEqual(ad_contracts[2].sid, 0)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 2)
def test_lookup_future_chain(self):
metadata = {
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-06-15', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC')
},
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-19', tz='UTC')
# Check that we get the expected number of contract, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so not valid
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Starts trading in August, so not valid.
3: {
'symbol': 'ADX16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
self.env.write_data(futures_data=metadata)
finder = AssetFinder(self.env.engine)
dt = pd.Timestamp('2015-05-14', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
# Check that pd.NaT for knowledge_date uses the value of as_of_date
ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT)
self.assertEqual(len(ad_contracts), 2)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 1)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day)
self.assertEqual(len(ad_contracts), 4)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so should be valid.
0: {
"symbol": "ADN15",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2015-05-14", tz="UTC"),
"expiration_date": pd.Timestamp("2015-06-14", tz="UTC"),
"start_date": pd.Timestamp("2015-01-01", tz="UTC"),
},
1: {
"symbol": "ADV15",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2015-08-14", tz="UTC"),
"expiration_date": pd.Timestamp("2015-09-14", tz="UTC"),
"start_date": pd.Timestamp("2015-01-01", tz="UTC"),
},
# Starts trading today, so should be valid.
2: {
"symbol": "ADF16",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2015-11-16", tz="UTC"),
"expiration_date": pd.Timestamp("2015-12-16", tz="UTC"),
"start_date": pd.Timestamp("2015-05-14", tz="UTC"),
},
# Starts trading in August, so not valid.
3: {
"symbol": "ADX16",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2015-11-16", tz="UTC"),
"expiration_date": pd.Timestamp("2015-12-16", tz="UTC"),
"start_date": pd.Timestamp("2015-08-01", tz="UTC"),
},
# Notice date comes after expiration
4: {
"symbol": "ADZ16",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2016-11-25", tz="UTC"),
"expiration_date": pd.Timestamp("2016-11-16", tz="UTC"),
"start_date": pd.Timestamp("2015-08-01", tz="UTC"),
},
# This contract has no start date and also this contract should be
# last in all chains
5: {
"symbol": "ADZ20",
"root_symbol": "AD",
"notice_date": pd.Timestamp("2020-11-25", tz="UTC"),
"expiration_date": pd.Timestamp("2020-11-16", tz="UTC"),
},
}
self.env.write_data(futures_data=metadata)
finder = AssetFinder(self.env.engine)
dt = pd.Timestamp("2015-05-14", tz="UTC")
dt_2 = pd.Timestamp("2015-10-14", tz="UTC")
dt_3 = pd.Timestamp("2016-11-17", tz="UTC")
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain("AD", dt)
self.assertEqual(len(ad_contracts), 6)
self.assertEqual(ad_contracts[0].sid, 0)
self.assertEqual(ad_contracts[1].sid, 1)
self.assertEqual(ad_contracts[5].sid, 5)
# Check that, when some contracts have expired, the chain has advanced
# properly to the next contracts
ad_contracts = finder.lookup_future_chain("AD", dt_2)
self.assertEqual(len(ad_contracts), 4)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[3].sid, 5)
# Check that when the expiration_date has passed but the
# notice_date hasn't, contract is still considered invalid.
ad_contracts = finder.lookup_future_chain("AD", dt_3)
self.assertEqual(len(ad_contracts), 1)
self.assertEqual(ad_contracts[0].sid, 5)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain("AD", pd.NaT)
self.assertEqual(len(ad_contracts), 6)
self.assertEqual(ad_contracts[5].sid, 5)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so should be valid.
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-06-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Starts trading in August, so not valid.
3: {
'symbol': 'ADX16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
# Notice date comes after expiration
4: {
'symbol': 'ADZ16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2016-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
self.env.write_data(futures_data=metadata)
finder = AssetFinder(self.env.engine)
dt = pd.Timestamp('2015-05-14', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
dt_2 = pd.Timestamp('2016-11-17', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 3)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[1].sid, 1)
# Check that pd.NaT for knowledge_date uses the value of as_of_date
ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT)
self.assertEqual(len(ad_contracts), 3)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 2)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day)
self.assertEqual(len(ad_contracts), 5)
# Check that when the expiration_date has past but the
# notice_date hasn't, contract is still considered invalid.
ad_contracts = finder.lookup_future_chain('AD', dt_2, dt_2)
self.assertEqual(len(ad_contracts), 0)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so not valid
2: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Copy of the above future, but starts trading in August,
# so it isn't valid.
3: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-05-14', tz='UTC')
last_year = pd.Timestamp('2014-01-01', tz='UTC')
first_day = pd.Timestamp('2015-01-01', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
# Check that pd.NaT for knowledge_date uses the value of as_of_date
ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT)
self.assertEqual(len(ad_contracts), 2)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
self.assertEqual(len(ad_contracts), 1)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day)
self.assertEqual(len(ad_contracts), 4)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so should be valid.
0: {
'symbol': 'ADN15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-06-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
1: {
'symbol': 'ADV15',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
# Starts trading today, so should be valid.
2: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
},
# Starts trading in August, so not valid.
3: {
'symbol': 'ADX16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
# Notice date comes after expiration
4: {
'symbol': 'ADZ16',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2016-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2016-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
},
# This contract has no start date and also this contract should be
# last in all chains
5: {
'symbol': 'ADZ20',
'root_symbol': 'AD',
'asset_type': 'future',
'notice_date': pd.Timestamp('2020-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2020-11-16', tz='UTC')
},
}
self.env.write_data(futures_data=metadata)
finder = AssetFinder(self.env.engine)
dt = pd.Timestamp('2015-05-14', tz='UTC')
dt_2 = pd.Timestamp('2015-10-14', tz='UTC')
dt_3 = pd.Timestamp('2016-11-17', tz='UTC')
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain('AD', dt)
self.assertEqual(len(ad_contracts), 6)
self.assertEqual(ad_contracts[0].sid, 0)
self.assertEqual(ad_contracts[1].sid, 1)
self.assertEqual(ad_contracts[5].sid, 5)
# Check that, when some contracts have expired, the chain has advanced
# properly to the next contracts
ad_contracts = finder.lookup_future_chain('AD', dt_2)
self.assertEqual(len(ad_contracts), 4)
self.assertEqual(ad_contracts[0].sid, 2)
self.assertEqual(ad_contracts[3].sid, 5)
# Check that when the expiration_date has passed but the
# notice_date hasn't, contract is still considered invalid.
ad_contracts = finder.lookup_future_chain('AD', dt_3)
self.assertEqual(len(ad_contracts), 1)
self.assertEqual(ad_contracts[0].sid, 5)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain('AD', pd.NaT)
self.assertEqual(len(ad_contracts), 6)
self.assertEqual(ad_contracts[5].sid, 5)
def test_lookup_future_chain(self):
metadata = {
# Notice day is today, so not valid
2: {
"symbol": "ADN15",
"root_symbol": "AD",
"asset_type": "future",
"notice_date": pd.Timestamp("2015-05-14", tz="UTC"),
"start_date": pd.Timestamp("2015-01-01", tz="UTC"),
},
1: {
"symbol": "ADV15",
"root_symbol": "AD",
"asset_type": "future",
"notice_date": pd.Timestamp("2015-08-14", tz="UTC"),
"start_date": pd.Timestamp("2015-01-01", tz="UTC"),
},
# Starts trading today, so should be valid.
0: {
"symbol": "ADF16",
"root_symbol": "AD",
"asset_type": "future",
"notice_date": pd.Timestamp("2015-11-16", tz="UTC"),
"start_date": pd.Timestamp("2015-05-14", tz="UTC"),
},
# Copy of the above future, but starts trading in August,
# so it isn't valid.
3: {
"symbol": "ADF16",
"root_symbol": "AD",
"asset_type": "future",
"notice_date": pd.Timestamp("2015-11-16", tz="UTC"),
"start_date": pd.Timestamp("2015-08-01", tz="UTC"),
},
}
self.env.write_data(futures_data=metadata)
finder = AssetFinder(self.env.engine)
dt = pd.Timestamp("2015-05-14", tz="UTC")
last_year = pd.Timestamp("2014-01-01", tz="UTC")
first_day = pd.Timestamp("2015-01-01", tz="UTC")
# Check that we get the expected number of contracts, in the
# right order
ad_contracts = finder.lookup_future_chain("AD", dt, dt)
self.assertEqual(len(ad_contracts), 2)
self.assertEqual(ad_contracts[0].sid, 1)
self.assertEqual(ad_contracts[1].sid, 0)
# Check that pd.NaT for knowledge_date uses the value of as_of_date
ad_contracts = finder.lookup_future_chain("AD", dt, pd.NaT)
self.assertEqual(len(ad_contracts), 2)
# Check that we get nothing if our knowledge date is last year
ad_contracts = finder.lookup_future_chain("AD", dt, last_year)
self.assertEqual(len(ad_contracts), 0)
# Check that we get things that start on the knowledge date
ad_contracts = finder.lookup_future_chain("AD", dt, first_day)
self.assertEqual(len(ad_contracts), 1)
# Check that pd.NaT for as_of_date gives the whole chain
ad_contracts = finder.lookup_future_chain("AD", pd.NaT, first_day)
self.assertEqual(len(ad_contracts), 4)