3.8 Rolling over Futures

对于没有主连合约数据的期货，我们可以通过RollOver将数据拼接起来。
可以这样：

import backtrader as bt

cerebro = bt.Cerebro()
data0 = bt.feeds.MyFeed(dataname='Expiry0')
data1 =   bt.feeds.MyFeed(dataname='Expiry1')
...
dataN = bt.feeds.MyFeed(dataname='ExpiryN')

drollover = cerebro.rolloverdata(data0, data1, ..., dataN, name='MyRoll', **kwargs)

cerebro.run()

或者：

import backtrader as bt

cerebro = bt.Cerebro()
data0 = bt.feeds.MyFeed(dataname='Expiry0')
data1 = bt.feeds.MyFeed(dataname='Expiry1')
...
dataN = bt.feeds.MyFeed(dataname='ExpiryN')

drollover = bt.feeds.RollOver(data0, data1, ..., dataN, dataname='MyRoll', **kwargs)
cerebro.adddata(drollover)

cerebro.run()

Options for the Roll-Over

• checkdate (default: None) 一旦进入助理合约到期日所在的星期数（或者其他设定的日期范围），则用下一期合约作为主连合约
• checkcondition (default: None) 一旦下一期合约成交量超过当前助理合约，则进行主连合约替换

Example:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)


import argparse
import bisect
import calendar
import datetime

import backtrader as bt


class TheStrategy(bt.Strategy):
    def start(self):
        header = ['Len', 'Name', 'RollName', 'Datetime', 'WeekDay', 'Open',
                  'High', 'Low', 'Close', 'Volume', 'OpenInterest']
        print(', '.join(header))

    def next(self):
        txt = list()
        txt.append('%04d' % len(self.data0))
        txt.append('{}'.format(self.data0._dataname))
        # Internal knowledge ... current expiration in use is in _d
        txt.append('{}'.format(self.data0._d._dataname))
        txt.append('{}'.format(self.data.datetime.date()))
        txt.append('{}'.format(self.data.datetime.date().strftime('%a')))
        txt.append('{}'.format(self.data.open[0]))
        txt.append('{}'.format(self.data.high[0]))
        txt.append('{}'.format(self.data.low[0]))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.data.volume[0]))
        txt.append('{}'.format(self.data.openinterest[0]))
        print(', '.join(txt))


def checkdate(dt, d):
    # Check if the date is in the week where the 3rd friday of Mar/Jun/Sep/Dec

    # EuroStoxx50 expiry codes: MY
    # M -> H, M, U, Z (Mar, Jun, Sep, Dec)
    # Y -> 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 -> year code. 5 -> 2015
    MONTHS = dict(H=3, M=6, U=9, Z=12)

    M = MONTHS[d._dataname[-2]]

    centuria, year = divmod(dt.year, 10)
    decade = centuria * 10

    YCode = int(d._dataname[-1])
    Y = decade + YCode
    if Y < dt.year:  # Example: year 2019 ... YCode is 0 for 2020
        Y += 10

    exp_day = 21 - (calendar.weekday(Y, M, 1) + 2) % 7
    exp_dt = datetime.datetime(Y, M, exp_day)

    # Get the year, week numbers
    exp_year, exp_week, _ = exp_dt.isocalendar()
    dt_year, dt_week, _ = dt.isocalendar()

    # print('dt {} vs {} exp_dt'.format(dt, exp_dt))
    # print('dt_week {} vs {} exp_week'.format(dt_week, exp_week))

    # can switch if in same week
    return (dt_year, dt_week) == (exp_year, exp_week)


def checkvolume(d0, d1):
    return d0.volume[0] < d1.volume[0]  # Switch if volume from d0 < d1


def runstrat(args=None):
    args = parse_args(args)

    cerebro = bt.Cerebro()

    fcodes = ['199FESXM4', '199FESXU4', '199FESXZ4', '199FESXH5', '199FESXM5']
    store = bt.stores.VChartFile()
    ffeeds = [store.getdata(dataname=x) for x in fcodes]

    rollkwargs = dict()
    if args.checkdate:
        rollkwargs['checkdate'] = checkdate

        if args.checkcondition:
            rollkwargs['checkcondition'] = checkvolume

    if not args.no_cerebro:
        if args.rollover:
            cerebro.rolloverdata(name='FESX', *ffeeds, **rollkwargs)
        else:
            cerebro.chaindata(name='FESX', *ffeeds)
    else:
        drollover = bt.feeds.RollOver(*ffeeds, dataname='FESX', **rollkwargs)
        cerebro.adddata(drollover)

    cerebro.addstrategy(TheStrategy)
    cerebro.run(stdstats=False)

    if args.plot:
        pkwargs = dict(style='bar')
        if args.plot is not True:  # evals to True but is not True
            npkwargs = eval('dict(' + args.plot + ')')  # args were passed
            pkwargs.update(npkwargs)

        cerebro.plot(**pkwargs)


def parse_args(pargs=None):

    parser = argparse.ArgumentParser(
        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
        description='Sample for Roll Over of Futures')

    parser.add_argument('--no-cerebro', required=False, action='store_true',
                        help='Use RollOver Directly')

    parser.add_argument('--rollover', required=False, action='store_true')

    parser.add_argument('--checkdate', required=False, action='store_true',
                        help='Change during expiration week')

    parser.add_argument('--checkcondition', required=False,
                        action='store_true',
                        help='Change when a given condition is met')

    # Plot options
    parser.add_argument('--plot', '-p', nargs='?', required=False,
                        metavar='kwargs', const=True,
                        help=('Plot the read data applying any kwargs passed\n'
                              '\n'
                              'For example:\n'
                              '\n'
                              '  --plot style="candle" (to plot candles)\n'))

    if pargs is not None:
        return parser.parse_args(pargs)

    return parser.parse_args()


if __name__ == '__main__':
    runstrat()