Load from a dataframe ends in AttributeError: 'Index' object has no attribute 'remove_unused_levels'

[michaelchu]

Load from a dataframe ends in AttributeError: 'Index' object has no attribute 'remove_unused_levels'

[pchaganti]

Some testing code to get familiar with the lib. Not optimized just trying things out :)

import pandas as pd
import yfinance as yf
import time
import datetime
import optopsy as op
import tabulate as tb

ticker = 'SPY'
tickerData = yf.Ticker(ticker)

spy_df = pd.DataFrame()
opt = tickerData.option_chain(option_date)
opt_calls = pd.DataFrame(opt.calls)
opt_calls['type'] = 'call'
opt_puts = pd.DataFrame(opt.puts)
opt_puts['type'] = 'put'
spy_df = spy_df.append(opt_calls)
spy_df = spy_df.append(opt_puts)
spy_df['underlying'] = 'SPY'
spy_df['underlying_last'] = spotPrice
spy_df['expiration'] = datetime.datetime.strptime(option_date, "%Y-%m-%d")
spy_df['quotedate'] = datetime.datetime.today()

new_df = pd.DataFrame() 
new_df['underlying_symbol'] = spy_df['underlying']
new_df['underlying_price'] = spy_df['underlying_last']
new_df['option_type'] = spy_df['type']
new_df['expiration'] = spy_df['expiration']
new_df['quote_date'] = spy_df['quotedate']
new_df['strike'] = spy_df['strike']
new_df['bid'] = spy_df['bid']
new_df['ask'] = spy_df['ask']

print(new_df.head())
straddles = op.long_straddles(spx_data).round(2)
print(straddles)

Prints out the df with what I thought are the required columns from the sample code in the repo.

  underlying_symbol  underlying_price option_type expiration                 quote_date  strike     bid     ask
0               SPY        417.609985        call 2021-05-21 2021-04-26 18:53:01.308009   165.0  252.21  252.59
1               SPY        417.609985        call 2021-05-21 2021-04-26 18:53:01.308009   170.0  219.85  220.58
2               SPY        417.609985        call 2021-05-21 2021-04-26 18:53:01.308009   185.0  210.73  211.53
3               SPY        417.609985        call 2021-05-21 2021-04-26 18:53:01.308009   200.0  217.22  217.60
4               SPY        417.609985        call 2021-05-21 2021-04-26 18:53:01.308009   210.0  185.80  186.61

Ends in the following error

Traceback (most recent call last):
  File "test_straddles.py", line 90, in <module>
    run_strategy()
  File "test_straddles.py", line 71, in run_strategy
    straddles = op.long_straddles(new_df).round(2)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/optopsy/strategies.py", line 117, in long_straddles
    return _straddles(data, [(Side.long, _puts), (Side.long, _calls)], **kwargs)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/optopsy/strategies.py", line 43, in _straddles
    return _process_strategy(
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/optopsy/core.py", line 191, in _process_strategy
    _evaluate_all_options(
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/generic.py", line 5050, in pipe
    return com.pipe(self, func, *args, **kwargs)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/common.py", line 471, in pipe
    return func(obj, *args, **kwargs)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/optopsy/core.py", line 219, in _format_output
    return data.pipe(
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/generic.py", line 5050, in pipe
    return com.pipe(self, func, *args, **kwargs)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/common.py", line 471, in pipe
    return func(obj, *args, **kwargs)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/optopsy/core.py", line 67, in _group_by_intervals
    grouped_dataset = data.groupby(cols)["pct_change"].describe()
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/groupby/generic.py", line 682, in describe
    return result.unstack()
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/series.py", line 3903, in unstack
    return unstack(self, level, fill_value)
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/reshape/reshape.py", line 424, in unstack
    unstacker = _Unstacker(
  File "/Users/prabhakar/Dev/hermes/lib/python3.8/site-packages/pandas/core/reshape/reshape.py", line 92, in __init__
    self.index = index.remove_unused_levels()
AttributeError: 'Index' object has no attribute 'remove_unused_levels'

What am I doing wrong?

thanks!

[michaelchu]

hi @pchaganti

Are you still having problems with this? One thing i noticed is that the quote date should be a formatted date like the expiration column with "YYYY-MM-DD".

Also, what is the date range for your test run? Perhaps the data is not sufficient for the date ranges you want to work with, and it cannot calculate the "pct_changes" with the data you supplied.

[arrtvv852]

hi @pchaganti

Are you still having problems with this? One thing i noticed is that the quote date should be a formatted date like the expiration column with "YYYY-MM-DD".

Also, what is the date range for your test run? Perhaps the data is not sufficient for the date ranges you want to work with, and it cannot calculate the "pct_changes" with the data you supplied.

I'm facing the same issue with the error massage "AttributeError: 'Index' object has no attribute 'remove_unused_levels'". I already check the datetime format of expiration & quote_date are correct and the same format as SPX sample data.

My date range is from 2019-10-01 to 2019-11-15 and the farest expiration date is up to 2021-12-31.