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warren-oneill
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powerline
Extension to the zipline library for the German EPEX and EEX energy markets
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Fix futures parameters
#45
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dhexus
closed
8 years ago
dhexus
commented
8 years ago
begin_delivery parameter is missing
If auto close is requested, set 'auto_close_date' to last trading date (settlement price) before begin of delivery
What's the use of 'children'?
What's the meaning of 'end_date'?
What's the meaning of 'start_date' compared to 'first_traded'?
Please store first day of contract existence and first day contract is traded
'expiration_date' is the last date the future is valid, i.e. the last day of the delivery period (not begin_delivery)
'notice_date' should be empty for (financial) futures (compared to physical forwards)
warren-oneill
commented
8 years ago
Moved to #2. please stop duplicating issues.
will add
auto_close is optional but I can add it
children is used for cascading see
https://github.com/quantopian/zipline/pull/673
end_date is the date where the product ceases to be tradable
start_date is when the product becomes tradable, first_traded is the time the first trade takes place
that is exactly what start_date and first_traded are
will change
notice date is automatically set to expiration date is none if given.