Merge pull request #1565 from quantopian/fix-offset-history

BUG: Fix continuous future history with offsets.
yangmiok · Oct 28, 2016 · 9a51efc · 9a51efc
2 parents 575a8cf + 4235dbd
commit 9a51efc
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Showing 2 changed files with 57 additions and 2 deletions.
diff --git a/tests/test_continuous_futures.py b/tests/test_continuous_futures.py
@@ -456,6 +456,60 @@ def test_history_sid_session(self):
                          3,
                          "Should be FOJ16 on session after roll.")
 
+    def test_history_sid_session_secondary(self):
+        cf = self.data_portal.asset_finder.create_continuous_future(
+            'FO', 1, 'calendar')
+        window = self.data_portal.get_history_window(
+            [cf],
+            Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
+            30, '1d', 'sid')
+
+        self.assertEqual(window.loc['2016-01-26', cf],
+                         1,
+                         "Should be FOG16 at beginning of window.")
+
+        self.assertEqual(window.loc['2016-01-27', cf],
+                         2,
+                         "Should be FOH16 after first roll.")
+
+        self.assertEqual(window.loc['2016-02-25', cf],
+                         2,
+                         "Should be FOH16 on session before roll.")
+
+        self.assertEqual(window.loc['2016-02-26', cf],
+                         3,
+                         "Should be FOJ16 on session with roll.")
+
+        self.assertEqual(window.loc['2016-02-29', cf],
+                         3,
+                         "Should be FOJ16 on session after roll.")
+
+        # Advance the window a month.
+        window = self.data_portal.get_history_window(
+            [cf],
+            Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
+            30, '1d', 'sid')
+
+        self.assertEqual(window.loc['2016-02-25', cf],
+                         2,
+                         "Should be FOH16 at beginning of window.")
+
+        self.assertEqual(window.loc['2016-02-26', cf],
+                         3,
+                         "Should be FOJ16 on session with roll.")
+
+        self.assertEqual(window.loc['2016-02-29', cf],
+                         3,
+                         "Should be FOJ16 on session after roll.")
+
+        self.assertEqual(window.loc['2016-03-24', cf],
+                         4,
+                         "Should be FOK16 on session with roll.")
+
+        self.assertEqual(window.loc['2016-03-28', cf],
+                         4,
+                         "Should be FOK16 on session after roll.")
+
     def test_history_sid_session_volume_roll(self):
         cf = self.data_portal.asset_finder.create_continuous_future(
             'FO', 0, 'volume')

diff --git a/zipline/assets/roll_finder.py b/zipline/assets/roll_finder.py
@@ -79,7 +79,7 @@ def get_rolls(self, root_symbol, start, end, offset):
             is after the range.
         """
         oc = self.asset_finder.get_ordered_contracts(root_symbol)
-        front = self.get_contract_center(root_symbol, end, offset)
+        front = self.get_contract_center(root_symbol, end, 0)
         back = oc.contract_at_offset(front, 1, end.value)
         if back is not None:
             first = self._active_contract(oc, front, back, end)
@@ -106,7 +106,8 @@ def get_rolls(self, root_symbol, start, end, offset):
                 session_loc -= 1
             roll_session = sessions[session_loc + 1]
             if roll_session > start:
-                rolls.insert(0, (front, roll_session))
+                rolls.insert(0, (oc.contract_sids[i + offset],
+                                 roll_session))
             i -= 1
             auto_close_date = Timestamp(oc.auto_close_dates[i],
                                         tz='UTC')