TP2 Conversion between H and QH

warren-oneill / powerline

Extension to the zipline library for the German EPEX and EEX energy markets

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Closed warren-oneill closed 8 years ago

warren-oneill commented 8 years ago

Transfer of hour products to quarter-hour products

5 is implemented.

Tasks
Unittests(eg)
ability to turn off autoclose
metadata holds info about linked products OR a function which defines the rolling
- add "children" to ASSET_FIELDS
build conversion functions between H and QH (similar methods as auto close)
use conversion function at H expiry (should it work the same as close position ie as an event??)
HOW TO OWN BOTH SIMULTANEOUSLY????
check latest zipline work

warren-oneill commented 8 years ago

attempted to solve with the following zipline PR https://github.com/quantopian/zipline/pull/673. May have to add this to our own gg branch until it gets accepted.

warren-oneill commented 8 years ago

dhexus commented 8 years ago

Please provide "(next bigger) parent product" functionality too, in this case H for given QH.

warren-oneill commented 8 years ago

@dhexus do we need that now? can't that wait until it's needed? I'd prefer to keep the issues small instead of extending them.

warren-oneill commented 8 years ago

self-closing. When "(next bigger) parent product" functionality is required then a new issue will be opened.