本文整理汇总了Python中zipline.algorithm.TradingAlgorithm.future_chain方法的典型用法代码示例。如果您正苦于以下问题：Python TradingAlgorithm.future_chain方法的具体用法？Python TradingAlgorithm.future_chain怎么用？Python TradingAlgorithm.future_chain使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类zipline.algorithm.TradingAlgorithm的用法示例。
在下文中一共展示了TradingAlgorithm.future_chain方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: test_future_chain
# 需要导入模块: from zipline.algorithm import TradingAlgorithm [as 别名]
# 或者: from zipline.algorithm.TradingAlgorithm import future_chain [as 别名]
def test_future_chain(self):
""" Tests the future_chain API function.
"""
metadata = {
0: {
'symbol': 'CLG06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')},
1: {
'root_symbol': 'CL',
'symbol': 'CLK06',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')},
2: {
'symbol': 'CLQ06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')},
3: {
'symbol': 'CLX06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
}
algo = TradingAlgorithm(asset_metadata=metadata)
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
# Check that the fields of the FutureChain object are set correctly
cl = algo.future_chain('CL')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, algo.datetime)
# Check the fields are set correctly if an as_of_date is supplied
as_of_date = pd.Timestamp('1952-08-11', tz='UTC')
cl = algo.future_chain('CL', as_of_date=as_of_date)
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
cl = algo.future_chain('CL', as_of_date='1952-08-11')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
# Check that weird capitalization is corrected
cl = algo.future_chain('cL')
self.assertEqual(cl.root_symbol, 'CL')
cl = algo.future_chain('cl')
self.assertEqual(cl.root_symbol, 'CL')
# Check that invalid root symbols raise RootSymbolNotFound
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('CLZ')
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('')