Back to Community
[research question] Security replaced by Asset?

After the latest research environment maintenance, an algo which was running fine failed with:

InvalidAssetType: AssetMetaData contained an invalid Asset type: 'Asset'.

Looking at the data, I see that Security has become Asset, which I'm assuming has caused the error. Is this expected and what do I need to do to fix it?

8 responses

I'm getting the same error.

Hi Martin and Dave,
I can reproduce this...but don't know how to fix it. There was a change to zipline a few weeks ago to enable futures, that introduced the asset types. I thought it was backwards compatible, but clearly there is some issue. I'm not sure why it just started to break now.

We'll figure out what needs to change in the code and post the update....unfortunately it might not be until after the holiday weekend.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Even the Research tutorial "Tutorial (Advanced) - Backtesting with Zipline.ipynb" is broken now.

Ray check out this related thread.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Dave, Martin, and Ray - We have isolated the bug that is causing Research backtests to fail, and the fix will be deployed ASAP. It is the same one as in the thread that James Christopher linked above.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

@James when will the fix be deployed as I'm unable to use the research environment. Alternatively, is there a workaround?

This issue should be resolved, but may require you to make changes to your code.

The issue happened because the Research environment was updated to use the newest version of the Zipline backtesting engine. This included a few changes.

  1. The Zipline order methods now require Asset/Equity/Future objects to be passed as arguments, rather than simply an integer SID. This change is in preparation for futures trading support and performance.

If your algo is failing and raising a "Passing non-Asset argument to 'order()' is not supported." error, try wrapping your argument with the sid() method. An example of this can be found in the 'Tutorial (Advanced) - Markowitz Portfolio Optimization' notebook.

E.g.:
from zipline.api import (order, sid)

def handle_data(context, data):
order(24, 100) --> order(sid(24), 100)

  1. History DataFrames are no longer indexed on the full Asset/Equity/Future objects but are, instead, indexed on only the integer sid of the Asset. This improves backtest performance, as DataFrames perform better when indexed on integers. However, this does make the history() results a bit harder to read. We are working to make this easier.

If you have issues with an algo in research, please reach out to us at [email protected] so that we can help get it working again.

Seems to be working fine now. Thks.