Python 使用zipline运行欧洲股票交易策略的问题

我在使用zipline基于欧洲股票的运营策略方面遇到了问题。我也在Github上提出了这个问题，但到目前为止我还没有得到回复

步骤：

我将数据下载到CSV文件中（两个文件名为abn.CSV和aex.CSV）。一个人的头看起来像这样：

我修改了

扩展名.py

文件以包含：

我接受了数据

我运行了以下策略

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')

keyrerror回溯（最近一次调用）
pandas/_libs/index.pyx在pandas中。_libs.index.DatetimeEngine.get_loc（）
pandas/_libs/hashtable_class_helper.pxi在pandas._libs.hashtable.Int64HashTable.get_item（）中
pandas/_libs/hashtable_class_helper.pxi在pandas._libs.hashtable.Int64HashTable.get_item（）中
密钥错误：148331520000000000
在处理上述异常期间，发生了另一个异常：
KeyError回溯（最近一次呼叫最后一次）
在（）
---->1 get_ipython（）.run_cell_magic（'zipline'）2017年1月2日开始2019年6月28日结束资本基数1050.0——捆绑欧盟股票-o out.pkl'，“\ndef initialize（context）：\n set_benchmark（'aex'）\n context.asset=symbol（'abn'）\n\ndef handle_数据（context，data）：\n order_目标百分比（context.asset，0.5）”）
运行单元格中的~/anaconda3/envs/env\u zipline2/lib/python3.5/site-packages/IPython/core/interactiveshell.py（self，magic\u name，line，cell）
2165 magic_arg_s=self.var_expand（行、堆栈深度）
2166带自建存水弯：
->2167结果=fn（魔法参数，单元格）
2168返回结果
2169
~/anaconda3/envs/env_zipline2/lib/python3.5/site packages/zipline/_main_uuu.py在zipline\u magic中（线，单元）
309“%s%%拉链线“%”（单元格或“%”和“%”），
310#不要使用系统退出并向调用者传播错误
-->311独立_模式=错误，
312         )
313除系统退出为e外：
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/core.py在main中（self、args、prog_name、complete_var、standalone_模式、**额外）
695尝试：
696将self.make_上下文（程序名、参数、**额外）作为ctx：
-->697 rv=自调用（ctx）
698如果不是独立_模式：
699返回rv
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/core.py in invoke（self，ctx）
893         """
894如果self.callback不是None：
-->895返回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具有增强使用错误（自我）：
534带ctx：
-->535返回回调（*args，**kwargs）
536
537 def forward（*args，**kwargs）：
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/click/decorators.py在new_func（*args，**kwargs）
15     """
16定义新函数（*args，**kwargs）：
--->17返回f（获取当前上下文（），*args，**kwargs）
18返回更新包装（新功能，f）
19
运行中的~/anaconda3/envs/env_zipline2/lib/python3.5/site packages/zipline/\uuuu main\uuuuuuuuuuy.py（ctx、algofile、algotext、define、数据频率、大写字母库、捆绑包、捆绑包时间戳、开始、结束、输出、交易日历、打印算法、度量集、本地命名空间、吸墨纸）
274 local_namespace=local_namespace，
275环境=操作系统环境，
-->276吸墨纸=吸墨纸，
277     )
278
~/anaconda3/envs/env\u zipline2/lib/python3.5/site-packages/zipline/utils/run\u algo.py in\u run（处理数据、初始化、交易开始前、分析、algofile、algotext、定义、数据频率、资本基数、数据、捆绑、捆绑时间戳、开始、结束、输出、交易日历、打印算法、度量集、本地名称空间、环境、吸墨纸）
167权益\分钟\读卡器=捆绑\数据。权益\分钟\条形\读卡器，
168权益日读卡器=捆绑日数据。权益日读卡器，
-->169调整_读取器=捆绑_数据。调整_读取器，
170         )
171
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/zipline/data/data_portal.py in_uuinit__（self、资产查找器、交易日历、第一个交易日、权益日读卡器、权益分钟读卡器、未来日读卡器、未来分钟读卡器、调整读卡器、最后可用会话、最后可用分钟、分钟历史预取长度、日历史预取长度）
289自我第一交易日
290             )
-->291如果self.\u第一个交易日不是别人（无，无）
292         )
293
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/trading_calendars/trading_calendar.py打开和关闭会话（self，会话标签）
758         # http://pandas.pydata.org/pandas-docs/stable/whatsnew.html#datetime-与tz#noqa
759返回(
-->760附表[session_label，'market_open'].tz_localize（UTC），
761附表[session_label，'market_close'].tz_localize（UTC），
762         )
~/anaconda3/envs/env\u zipline2/lib/python3.5/site-packages/pandas/core/index.py in\uuuuu getitem\uuuuuuu（self，key）
1867
1868键=自转换键（键）
->1869返回self.obj.\u获取值（*key，takeable=self.\u takeable）
1870
1871定义设置项（自身、键、值）：
~/anaconda3/envs/env_zipline2/lib/python3.5/site-packages/pandas/core/frame.py in_get_值（self、index、col、takeable）
1983
1984尝试：
->1985返回引擎。获取_值（系列。_值，索引）
1986除外（类型错误、值错误）：
1987
pandas/_libs/index.pyx在pandas中。_libs.index.IndexEngine.get_value（）
pandas/_libs/index.pyx在pandas中。_libs.index.IndexEngine.get_value（）
熊猫/_libs/inde
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
)

def initialize(context):
    set_benchmark('aex')
    context.asset = symbol('abn')

def handle_data(context, data):
    order_target_percent(context.asset, 0.5)

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')