Merge pull request #1730 from quantopian/no-current-contract

Add safeguard if current contract of continuous future is None

tests/test_continuous_futures.py

@@ -467,6 +467,16 @@ def test_get_value_contract_daily(self):
                          'Auto close at beginning of session so FOG16 is now '
                          'the current contract.')
 
+        # Test that the current contract outside of the continuous future's
+        # start and end dates is None.
+        contract = self.data_portal.get_spot_value(
+            cf_primary,
+            'contract',
+            self.START_DATE - self.trading_calendar.day,
+            'daily',
+        )
+        self.assertIsNone(contract)
+
     def test_get_value_close_daily(self):
         cf_primary = self.asset_finder.create_continuous_future(
             'FO', 0, 'calendar', None)

zipline/data/continuous_future_reader.py

@@ -1,4 +1,5 @@
 import numpy as np
+import pandas as pd
 from zipline.data.session_bars import SessionBarReader
 
 
@@ -162,6 +163,8 @@ def get_last_traded_dt(self, asset, dt):
         sid = (rf.get_contract_center(asset.root_symbol,
                                       dt,
                                       asset.offset))
+        if sid is None:
+            return pd.NaT
         contract = rf.asset_finder.retrieve_asset(sid)
         return self._bar_reader.get_last_traded_dt(contract, dt)
 
@@ -346,6 +349,8 @@ def get_last_traded_dt(self, asset, dt):
         sid = (rf.get_contract_center(asset.root_symbol,
                                       dt,
                                       asset.offset))
+        if sid is None:
+            return pd.NaT
         contract = rf.asset_finder.retrieve_asset(sid)
         return self._bar_reader.get_last_traded_dt(contract, dt)
 

zipline/data/data_portal.py

@@ -500,10 +500,10 @@ def get_single_asset_value(asset):
                      session_label > asset.end_date):
                 if field == "volume":
                     return 0
-                elif field != "last_traded":
-                    return np.NaN
                 elif field == "contract":
                     return None
+                elif field != "last_traded":
+                    return np.NaN
 
             if data_frequency == "daily":
                 if field == "contract":
@@ -1368,7 +1368,9 @@ def get_current_future_chain(self, continuous_future, dt):
 
     def _get_current_contract(self, continuous_future, dt):
         rf = self._roll_finders[continuous_future.roll_style]
-        return self.asset_finder.retrieve_asset(
-            rf.get_contract_center(continuous_future.root_symbol,
-                                   dt,
-                                   continuous_future.offset))
+        contract_sid = rf.get_contract_center(continuous_future.root_symbol,
+                                              dt,
+                                              continuous_future.offset)
+        if contract_sid is None:
+            return None
+        return self.asset_finder.retrieve_asset(contract_sid)