本文整理汇总了Python中zipline.assets.AssetFinder.lookup_future_by_expiration方法的典型用法代码示例。如果您正苦于以下问题：Python AssetFinder.lookup_future_by_expiration方法的具体用法？Python AssetFinder.lookup_future_by_expiration怎么用？Python AssetFinder.lookup_future_by_expiration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.assets.AssetFinder的用法示例。
在下文中一共展示了AssetFinder.lookup_future_by_expiration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_lookup_future_by_expiration
# 需要导入模块: from zipline.assets import AssetFinder [as 别名]
# 或者: from zipline.assets.AssetFinder import lookup_future_by_expiration [as 别名]
def test_lookup_future_by_expiration(self):
metadata = {
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')
},
0: {
'symbol': 'ADF16',
'root_symbol': 'AD',
'asset_type': 'future',
'expiration_date': pd.Timestamp('2015-12-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
},
}
finder = AssetFinder(metadata=metadata)
dt = pd.Timestamp('2015-06-19', tz='UTC')
# First-of-the-month timestamps
may_15 = pd.Timestamp('2015-05-01', tz='UTC')
june_15 = pd.Timestamp('2015-06-01', tz='UTC')
sept_15 = pd.Timestamp('2015-09-01', tz='UTC')
dec_15 = pd.Timestamp('2015-12-01', tz='UTC')
jan_16 = pd.Timestamp('2016-01-01', tz='UTC')
# ADV15 is the next valid contract, so check that we get it
# for every ref_date before 9/14/15
contract = finder.lookup_future_by_expiration('AD', dt, may_15)
self.assertEqual(contract.sid, 1)
contract = finder.lookup_future_by_expiration('AD', dt, june_15)
self.assertEqual(contract.sid, 1)
contract = finder.lookup_future_by_expiration('AD', dt, sept_15)
self.assertEqual(contract.sid, 1)
# ADF16 has the next expiration date after 12/1/15
contract = finder.lookup_future_by_expiration('AD', dt, dec_15)
self.assertEqual(contract.sid, 0)
# No contracts exist after 12/14/2015, so we should get none
self.assertIsNone(finder.lookup_future_by_expiration('AD', dt, jan_16))