我在使用 zipline 运行基于欧洲股票的策略时遇到问题。我也在 Github 上提出了这个问题，但到目前为止我还没有收到回复。
脚步：
- 我将数据下载到 CSV 文件中（两个文件名为 abn.csv 和 aex.csv）。一个人的头是这样的：
date,open,high,low,close,volume,dividend,split
2017-01-02,21.100000381469727,21.295000076293945,20.94499969482422,21.274999618530273,407919,0,0
2017-01-03,21.334999084472656,22.06999969482422,21.334999084472656,21.950000762939453,1453872,0,0
2017-01-04,21.989999771118164,22.135000228881836,21.934999465942383,22.125,1169976,0,0
- 我修改了
extension.py文件以包含：
import pandas as pd
from zipline.data.bundles import register
from zipline.data.bundles.csvdir import csvdir_equities
start_session = pd.Timestamp('2017-01-02', tz='utc')
end_session = pd.Timestamp('2019-06-28', tz='utc')
# register the bundle
register(
'eu_stocks',
csvdir_equities(
['daily'],
'/path/',
),
calendar_name='XAMS', # Euronext Amsterdam
start_session=start_session,
end_session=end_session
)
- 我摄取了数据
- 我运行了以下策略
def initialize(context):
set_benchmark('aex')
context.asset = symbol('abn')
def handle_data(context, data):
order_target_percent(context.asset, 0.5)
导致以下错误的原因：
KeyError Traceback (most recent call last)
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()
pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()
pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()
KeyError: 1483315200000000000
During handling of the above exception, another exception occurred:
KeyError Traceback (most recent call last)
<ipython-input-33-9eaf08e4c73f> in <module>()
----> 1 get_ipython().run_cell_magic('zipline', '--start 2017-1-2 --end 2019-6-28 --capital-base 1050.0 --bundle eu_stocks -o out.pkl', "\ndef initialize(context):\n set_benchmark('aex')\n context.asset = symbol('abn')\n\ndef handle_data(context, data):\n order_target_percent(context.asset, 0.5)")
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/IPython/core/interactiveshell.py in run_cell_magic(self, magic_name, line, cell)
2165 magic_arg_s = self.var_expand(line, stack_depth)
2166 with self.builtin_trap:
-> 2167 result = fn(magic_arg_s, cell)
2168 return result
2169
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/zipline/__main__.py in zipline_magic(line, cell)
309 '%s%%zipline' % ((cell or '') and '%'),
310 # don't use system exit and propogate errors to the caller
--> 311 standalone_mode=False,
312 )
313 except SystemExit as e:
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/core.py in main(self, args, prog_name, complete_var, standalone_mode, **extra)
695 try:
696 with self.make_context(prog_name, args, **extra) as ctx:
--> 697 rv = self.invoke(ctx)
698 if not standalone_mode:
699 return rv
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/core.py in invoke(self, ctx)
893 """
894 if self.callback is not None:
--> 895 return ctx.invoke(self.callback, **ctx.params)
896
897
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/core.py in invoke(*args, **kwargs)
533 with augment_usage_errors(self):
534 with ctx:
--> 535 return callback(*args, **kwargs)
536
537 def forward(*args, **kwargs):
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/decorators.py in new_func(*args, **kwargs)
15 """
16 def new_func(*args, **kwargs):
---> 17 return f(get_current_context(), *args, **kwargs)
18 return update_wrapper(new_func, f)
19
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/zipline/__main__.py in run(ctx, algofile, algotext, define, data_frequency, capital_base, bundle, bundle_timestamp, start, end, output, trading_calendar, print_algo, metrics_set, local_namespace, blotter)
274 local_namespace=local_namespace,
275 environ=os.environ,
--> 276 blotter=blotter,
277 )
278
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/zipline/utils/run_algo.py in _run(handle_data, initialize, before_trading_start, analyze, algofile, algotext, defines, data_frequency, capital_base, data, bundle, bundle_timestamp, start, end, output, trading_calendar, print_algo, metrics_set, local_namespace, environ, blotter)
167 equity_minute_reader=bundle_data.equity_minute_bar_reader,
168 equity_daily_reader=bundle_data.equity_daily_bar_reader,
--> 169 adjustment_reader=bundle_data.adjustment_reader,
170 )
171
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/zipline/data/data_portal.py in __init__(self, asset_finder, trading_calendar, first_trading_day, equity_daily_reader, equity_minute_reader, future_daily_reader, future_minute_reader, adjustment_reader, last_available_session, last_available_minute, minute_history_prefetch_length, daily_history_prefetch_length)
289 self._first_trading_day
290 )
--> 291 if self._first_trading_day is not None else (None, None)
292 )
293
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/trading_calendars/trading_calendar.py in open_and_close_for_session(self, session_label)
758 # http://pandas.pydata.org/pandas-docs/stable/whatsnew.html#datetime-with-tz # noqa
759 return (
--> 760 sched.at[session_label, 'market_open'].tz_localize(UTC),
761 sched.at[session_label, 'market_close'].tz_localize(UTC),
762 )
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/pandas/core/indexing.py in __getitem__(self, key)
1867
1868 key = self._convert_key(key)
-> 1869 return self.obj._get_value(*key, takeable=self._takeable)
1870
1871 def __setitem__(self, key, value):
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/pandas/core/frame.py in _get_value(self, index, col, takeable)
1983
1984 try:
-> 1985 return engine.get_value(series._values, index)
1986 except (TypeError, ValueError):
1987
pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_value()
pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_value()
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()
KeyError: Timestamp('2017-01-02 00:00:00+0000', tz='UTC')