7646

pending completion

Build # 7646

Build Type

Pull #1533

travis-ci

Committed by

web-flow

Commit Message

ENH: Add current chain for continuous futures.

Add `chain`field to current, as well as supporting methods in DataPortal
and OrderedContracts.

Enables the following example:

```
from zipline.api import continuous_future

def initialize(context):
    context.primary_cl = continuous_future('CL', offset=0, roll='calendar')
    schedule_function(print_current_chain)

def print_current_chain(context, data):
    chain = data.current(context.primary_cl, 'chain')
    print 'datetime={0}'.format(get_datetime())
    print 'primary={0}'.format(chain[0])
    print 'secondary={0}'.format(chain[1])
    print 'tertiary={0}'.format(chain[2])
```

```
datetime=2015-12-23 14:31:00+00:00
primary=Future(1058201602 [CLG16])
secondary=Future(1058201603 [CLH16])
tertiary=Future(1058201604 [CLJ16])
```

Also, make return types of OrderedContracts methods compatible across
architectures. (Noticed while adding `active_chain` method.)

Pull Request Pull Request #1533: ENH: Add current chain for continuous futures.

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/zipline/data/data_portal.py

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