quantopian / zipline / 7648

88%

Pull #1533

travis-ci

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_chain(context.primary_cl)
    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.)

7 of 7 new or added lines in 1 file covered. (100.0%)

12048 of 13866 relevant lines covered (86.89%)

1.73 hits per line