gusgordon/open_source_trading_talk

How to make a trading strategy with open source Python tools

open_source_trading_talk's Issues

the label [2015-01-02 00:00:00+00:00] is not in the [index]

Hi Gus Gordon,

Thanks for running the talk and sharing the code here.

I tried to run the notebook in the following environment:
alembic 0.7.7 py35_0 quantopian
alphalens 0.1.1
bcolz 0.12.1 np111py35_0 quantopian
bleach 1.5.0 py35_0
bottleneck 1.2.1 np111py35_0
bzip2 1.0.6 vc14_3 [vc14]
certifi 2016.2.28 py35_0
click 6.7 py35_0
colorama 0.3.9 py35_0
contextlib2 0.5.5 py35_0
cycler 0.10.0 py35_0
cyordereddict 0.2.2 py35_0 quantopian
cython 0.26 py35_0
decorator 4.1.2 py35_0
empyrical 0.2.2 py35_0 quantopian
entrypoints 0.2.3 py35_0
funcsigs 0.4 py35_0
geopy 1.11.0
hdf5 1.8.17 vc14_0 [vc14]
html5lib 0.9999999 py35_0
icu 57.1 vc14_0 [vc14]
intervaltree 2.1.0 py35_0 quantopian
ipykernel 4.6.1 py35_0
ipython 6.1.0 py35_0
ipython_genutils 0.2.0 py35_0
ipywidgets 6.0.0 py35_0
jedi 0.10.2 py35_2
jinja2 2.9.6 py35_0
jpeg 9b vc14_0 [vc14]
jsonschema 2.6.0 py35_0
jupyter 1.0.0 py35_3
jupyter_client 5.1.0 py35_0
jupyter_console 5.2.0 py35_0
jupyter_core 4.3.0 py35_0
libpng 1.6.30 vc14_1 [vc14]
logbook 0.12.5 py35_0 quantopian
lru-dict 1.1.4 py35_0 quantopian
mako 1.0.6 py35_0
markupsafe 1.0 py35_0
matplotlib 2.0.2 np111py35_0
mistune 0.7.4 py35_0
mkl 2017.0.3 0
mock 2.0.0 py35_0
multipledispatch 0.4.9 py35_0
nbconvert 5.2.1 py35_0
nbformat 4.4.0 py35_0
networkx 1.11 py35_0
notebook 5.0.0 py35_0
numexpr 2.6.2 np111py35_0
numpy 1.11.3 py35_0
openssl 1.0.2l vc14_0 [vc14]
pandas 0.18.1 np111py35_0
pandas-datareader 0.5.0 py35_0
pandocfilters 1.4.2 py35_0
path.py 10.3.1 py35_0
patsy 0.4.1 py35_0
pbr 1.10.0 py35_0
pickleshare 0.7.4 py35_0
pip 9.0.1 py35_1
prompt_toolkit 1.0.15 py35_0
pyfolio 0.5.1
pyfolio 0.5.1 py_0 quantopian
pygments 2.2.0 py35_0
pyparsing 2.2.0 py35_0
pyqt 5.6.0 py35_2
pytables 3.3.0 np111py35_0
python 3.5.4 0
python-dateutil 2.6.1 py35_0
pytz 2017.2 py35_0
pyzmq 16.0.2 py35_0
qt 5.6.2 vc14_6 [vc14]
qtconsole 4.3.1 py35_0
requests 2.14.2 py35_0
requests-file 1.4.1 py35_0
requests-ftp 0.3.1 py35_0
scikit-learn 0.18.1 np111py35_1
scipy 0.19.0 np111py35_0
seaborn 0.8 py35_0
setuptools 36.4.0 py35_0
simplegeneric 0.8.1 py35_1
sip 4.18 py35_0
six 1.10.0 py35_1
sortedcontainers 1.5.7 py35_0
sqlalchemy 1.1.13 py35_0
statsmodels 0.8.0 np111py35_0
ta-lib 0.4.9 np111py35_0 quantopian
testpath 0.3.1 py35_0
tk 8.5.18 vc14_0 [vc14]
toolz 0.8.2 py35_0
tornado 4.5.2 py35_0
tqdm 4.15.0
traitlets 4.3.2 py35_0
vs2015_runtime 14.0.25420 0
wcwidth 0.1.7 py35_0
wheel 0.29.0 py35_0
widgetsnbextension 3.0.2 py35_0
win_unicode_console 0.5 py35_0
wincertstore 0.2 py35_0
zipline 1.1.1 np111py35_0 quantopian
zlib 1.2.11 vc14_0 [vc14]

But facing the "the label [2015-01-02 00:00:00+00:00] is not in the [index]" error when executing the following code in the notebook:
results = zipline.run_algorithm(pd.Timestamp(start, tz='EST'), pd.Timestamp(end, tz='EST'),
initialize, 1e6, data=pricing.ffill())

I stark at screen for long and not sure what is the root cause of the error. I suspect it might due to different version of zipline or pandas I used.

Please advise. Thanks in advance.