{"action":"created","issue":{"url":"https://api.github.com/repos/quantopian/zipline/issues/673","repository_url":"https://api.github.com/repos/quantopian/zipline","labels_url":"https://api.github.com/repos/quantopian/zipline/issues/673/labels{/name}","comments_url":"https://api.github.com/repos/quantopian/zipline/issues/673/comments","events_url":"https://api.github.com/repos/quantopian/zipline/issues/673/events","html_url":"https://github.com/quantopian/zipline/pull/673","id":100024955,"number":673,"title":"WIP, ENH: allows cascading of assets into children products","user":{"login":"warren-oneill","id":10514666,"avatar_url":"https://avatars1.githubusercontent.com/u/10514666?v=4","gravatar_id":"","url":"https://api.github.com/users/warren-oneill","html_url":"https://github.com/warren-oneill","followers_url":"https://api.github.com/users/warren-oneill/followers","following_url":"https://api.github.com/users/warren-oneill/following{/other_user}","gists_url":"https://api.github.com/users/warren-oneill/gists{/gist_id}","starred_url":"https://api.github.com/users/warren-oneill/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/warren-oneill/subscriptions","organizations_url":"https://api.github.com/users/warren-oneill/orgs","repos_url":"https://api.github.com/users/warren-oneill/repos","events_url":"https://api.github.com/users/warren-oneill/events{/privacy}","received_events_url":"https://api.github.com/users/warren-oneill/received_events","type":"User","site_admin":false},"labels":[],"state":"open","locked":false,"assignee":null,"assignees":[],"milestone":null,"comments":5,"created_at":"2015-08-10T10:00:24Z","updated_at":"2018-04-02T17:56:00Z","closed_at":null,"author_association":"CONTRIBUTOR","pull_request":{"url":"https://api.github.com/repos/quantopian/zipline/pulls/673","html_url":"https://github.com/quantopian/zipline/pull/673","diff_url":"https://github.com/quantopian/zipline/pull/673.diff","patch_url":"https://github.com/quantopian/zipline/pull/673.patch"},"body":"In European gas and energy futures larger products (years, quarters) can be cascade into smaller \"children\" products (months, days). \n![67304_ill_cascading](https://cloud.githubusercontent.com/assets/10514666/9167513/14d20d54-3f55-11e5-9297-1328ede0e4c8.png)\nExamples can be found [here](http://kwa-analytics.com/access-level/public-access/european-gas-futures-cascade-rules-overview-1/) and [here](http://www.nasdaqomx.com/transactions/markets/commodities/markets/power/power-ds-futures)\nThis is very important functionality for us but I was unable to find any U.S. examples. Is cascading possible in North American markets? If not another usage of this functionality would be the opening of arbitrage possibility between the larger and smaller products.\n\nTo-dos:\n- add algo unittest\n- combine with auto-close (i.e. the first quarter of a year product is closed and the remaining 3 quarters are opened)\n\ncc @jfkirk @StewartDouglas @yankees714 @dhexus\n"},"comment":{"url":"https://api.github.com/repos/quantopian/zipline/issues/comments/377993792","html_url":"https://github.com/quantopian/zipline/pull/673#issuecomment-377993792","issue_url":"https://api.github.com/repos/quantopian/zipline/issues/673","id":377993792,"user":{"login":"freddiev4","id":8339018,"avatar_url":"https://avatars3.githubusercontent.com/u/8339018?v=4","gravatar_id":"","url":"https://api.github.com/users/freddiev4","html_url":"https://github.com/freddiev4","followers_url":"https://api.github.com/users/freddiev4/followers","following_url":"https://api.github.com/users/freddiev4/following{/other_user}","gists_url":"https://api.github.com/users/freddiev4/gists{/gist_id}","starred_url":"https://api.github.com/users/freddiev4/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/freddiev4/subscriptions","organizations_url":"https://api.github.com/users/freddiev4/orgs","repos_url":"https://api.github.com/users/freddiev4/repos","events_url":"https://api.github.com/users/freddiev4/events{/privacy}","received_events_url":"https://api.github.com/users/freddiev4/received_events","type":"User","site_admin":false},"created_at":"2018-04-02T17:56:00Z","updated_at":"2018-04-02T17:56:00Z","author_association":"MEMBER","body":"Closing this due to inactivity / many conflicts."}}
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