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help using zipline on non US stocks

Hi,

I've managed to overcome the issue on skipping the US holiday by adding the following - trading_calendar=get_calendar("LSE") -
twice in TradingAlgorithim - see below in bold. Output is now:

2017-01-13 16:30:00+00:00
2017-01-16 16:30:00+00:00
2017-01-17 16:30:00+00:00

But unfortunately I still have the problem when I use pipeline, I get this: ValueError: Mask shape (20, 1) != data shape (21, 1).

if name == 'main':

start = makeTS("2017-01-01"); end = makeTS("2017-1-31")  

# load the bundle  
bundle_data = load('csv2', os.environ, None)  
cal = bundle_data.equity_daily_bar_reader.trading_calendar.all_sessions  
pipeline_loader = USEquityPricingLoader(bundle_data.equity_daily_bar_reader, bundle_data.adjustment_reader)  
choose_loader = make_choose_loader(pipeline_loader)  
env = TradingEnvironment(bm_symbol='^FTSE', exchange_tz='Europe/London',trading_calendar=get_calendar("LSE"),  
                         asset_db_path=parse_sqlite_connstr(bundle_data.asset_finder.engine.url))  

data = DataPortal(  
    env.asset_finder, get_calendar("LSE"),  
    first_trading_day=bundle_data.equity_minute_bar_reader.first_trading_day,  
    equity_minute_reader=bundle_data.equity_minute_bar_reader,  
    equity_daily_reader=bundle_data.equity_daily_bar_reader,  
    adjustment_reader=bundle_data.adjustment_reader,  
)


# the actual running of the backtest happens in the TradingAlgorithm object  
bt_start = time()  
perf = TradingAlgorithm(  
    env=env,  
    get_pipeline_loader=choose_loader,  
    **trading_calendar=get_calendar("LSE"),**  
    sim_params=create_simulation_parameters(  
        start=start,  
        end=end,  
        capital_base=CAPITAL_BASE,  
        **trading_calendar=get_calendar("LSE"),**  
        data_frequency='daily'  
    ),  
    **{  
        'initialize': initialize,  
        'handle_data': handle_data,  
        'before_trading_start': None,  
        'analyze': None,  
    }  
).run(data, overwrite_sim_params=False,)  
bt_end = time()

Hi Guys,

I'm trying to run zipline locally on UK stocks but I haven't figured out how to stop it using US holidays. The date I'm testing with is 16th Jan 2017 (Martin Luther King Day)

My steps have been -

1) Downloaded data from yahoo into a csv file
2) Implemented the steps to ingest custom data as per this link http://www.prokopyshen.com/create-custom-zipline-data-bundle
3) Ran the ingest comment using the LSE calendar

from zipline.data.bundles import register  
from zipline.data.bundles.viacsv import viacsv  
from zipline.utils.calendars import get_calendar  
from zipline.utils.calendars import exchange_calendar_lse

eqSym = {  
    "CPI",  
}

    register(  
   'csv2',    # name this whatever you like  
   viacsv(eqSym),  
    calendar_name='LSE',  
)

4) Implemented the following code - and so far - bundle_data.equity_daily_bar_reader.trading_calendar.all_sessions has returned a UK looking calendar

 bundle_data = load('csv2', os.environ, None)  
 cal = bundle_data.equity_daily_bar_reader.trading_calendar.all_sessions  
 pipeline_loader = USEquityPricingLoader(bundle_data.equity_daily_bar_reader, bundle_data.adjustment_reader)  
 choose_loader = make_choose_loader(pipeline_loader)  
 env = TradingEnvironment(bm_symbol='^FTSE',  
 exchange_tz='Europe/London',asset_db_path=parse_sqlite_connstr(bundle_data.asset_finder.engine.url))

data = DataPortal(  
        env.asset_finder, get_calendar("LSE"),  
        first_trading_day=bundle_data.equity_minute_bar_reader.first_trading_day,  
        equity_minute_reader=bundle_data.equity_minute_bar_reader,  
        equity_daily_reader=bundle_data.equity_daily_bar_reader,  
        adjustment_reader=bundle_data.adjustment_reader,  
    )

5) But when I run it with a very simple test, I can see it skips 16th Jan 2017 which is a US holiday not a UK one by using get_datetime() in handle_data()

2017-01-12 21:00:00+00:00
2017-01-13 21:00:00+00:00
2017-01-17 21:00:00+00:00

6) And if I use pipeline it throws this error
ValueError: Mask shape (20, 1) != data shape (19, 1).

Any help will greatly be appreciated.

Thanks Stuart

1 response

Hi Stuart,

I've just responded to a similar issue on the zipline repo here in regards to fixing the calendar problem you're having.

Thanks,
Freddie

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