quantopian / zipline

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master: 88%

LAST BUILD ON BRANCH futures-knowledge-date

branch: futures-knowledge-date

CHANGE BRANCH

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• futures-knowledge-date
• master
• refactor_sim_factory
• 1m_history_bugfix
• history_support_daily_input
• fix_history_columnar_assignment
• record-dynamic-naming
• tutorial3
• Order-In-Init-Error
• verbose-invalid-transform
• verbose-order-init-error
• fix_dividend_boundary_conditions
• refactor_algo_simulator
• dividend_table
• portfolio-init-error
• moved-perf-tracker-assignment
• fix_3317
• v0.7.0
• v0.7.0rc1
• fixed-zero-last-sale-price
• remove_unused_algorithm_methods
• broker_order_statuses
• talib_optional
• log-history-update-failure
• welcome-to-the-family
• q-or-zipline
• exception-on-nan-order-value
• before_trading_start
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• history-cleanup-rebase
• history-cleanup-rebase-maint
• remove_deprecated_method
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• dynamic-history-length-missing-dts
• dynamic-history-still-not-right
• open-orders-bug
• off-by-one
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• pandas_update
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• use_astimezone
• bug_5089
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• risk-metrics-float-cast
• param_set
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• pr/416
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• skip_nans
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• docs_mknotes
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• dale_perf
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• add_risk_to_datapanel
• dnt_list
• update-last-sale-pos-speedup
• fastseries
• fix-zipline-magic
• just-fastseries
• cleanup_fastseries
• dnt_list2
• history_perf_rebased
• history_perf_rebased_2
• cache-event-processors
• v0.8.0rc1
• dont-copy-that-floppy
• blotter_open_orders_2
• perf_tracker_rebase
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• bump_to_pandas_15
• factor-out-position-calc-creation
• move-serialization-methods-into-zipline
• blotter_perf_rebase
• more-detail-on-missing-benchmark-return
• siddata_max_bars_rebase
• dnt-knowledge-date-move
• add-security-class
• pypi_update
• check-travis-pip-install
• position_tracker_refactor_post_serialization_rebase
• test-travis-python-3
• remove-conda-install-of-nose
• rename-security-to-asset
• widebar_origin
• pandas-16-upgrade
• futures-trading
• widebar_origin_2
• remove-more-transform
• downgrade_logbook
• force-nose-install
• travis-build-fix-and-reduction-of-number-of-jobs
• max-leverage
• pandas_index_union_fix
• calendar-clean
• remove-unused-returns
• use-loggers
• limit-slippage
• new_tweak_warnings_module
• cache-treasury-curves-as-dataframe
• orders-by-modified-leak
• use-memory-views-for-risk-calc
• remove-dependency-on-intraday-risk-metrics
• pass-arrays-directly-to-risk-calcs
• do_not_modify_security_lists_directory
• minor_zipline_path_fix
• remove-event-count
• dividend-adjusted-price
• add-max-drawdown-duration
• remove-repetitive-type-checking
• order-target-update
• unroll-process-event
• position-dict-no-longer-uses-missing
• stop-record-changing-results
• group-events
• remove-bar-count-source
• 579
• unhashable-field
• use-tolerant-equals-for-order-target-percent
• call-algo-initialize-after-init
• use-filename-as-symbol
• add-security-fields
• remove-position-proxy
• root-symbol
• consume-metadata-error-text
• ordered_pip_args
• remove-identifier-caching
• cleanup-asset-tests
• dividend-pay-time
• futures-lookup-revisions
• avoid-dt-index-on-risk-update
• futures-api
• remove-noopy-asset-finder-test
• fix-get-datetime
• add-multiplesymbols-extras
• add-multiplesymbols-extra
• use-symbol-lookup-in-algo
• remove-extra-metadata-pass
• prevent-duplicate-dividends
• use-notice-date
• upgrade_nose_parameterized
• asset-finder-backed-by-db
• asset-finder-backed-by-db-2
• remove-string-is-checks
• improve-risk-update-speed
• static-symbol-lookup
• fixes-for-asset-finder-integration
• asset-db-writer
• ffc-api-rebase
• dividend-payout-timing
• remove-unused-property
• asset-db-writer-legacy
• futures-auto-close
• ffc-fixes
• lookup-future-chain-nat
• more-ffc-fixes
• sane-setup
• no-more-threadbound
• loader_fixes
• futures-auto-close-timing
• clarify-assets-test
• asset-db-writer-update
• setup_py_improvements
• visualize-ffc
• update-statsmodels-and-requirements-files
• fix-minute-bar-siblings
• lazy-mainline
• travis-pip-cache
• q1-release
• exchange-calendars-v2
• rotate-anaconda-token
• conda-root-version
• win10-setuptools
• volumeshare_fp_error
• conda-updates
• pandas_upgrade
• and-osx
• pip-compiled

MAINT: Consolidates and improves future lookup methods

Removes unused future lookup methods and consolidates everything into lookup_future_chain. Since the FutureChain object will have to hold a root symbol and dates, it should be responsible for cleaning the user input, so this is removed from the lookup method.

Adds knowledge date to future lookups. This makes our definition of valid contracts more flexible. We know about a contract if it starts trading by the knowledge date, and a contract is expired if it expires by the as_of_date.

Also fixes a bug with computing future chains, where contracts were not included in the chain on their expiration date.