search

AI4Finance-Foundation / FinRL

FinRL: Financial Reinforcement Learning. 🔥
https://ai4finance.org
MIT License
9.71k stars 2.35k forks source link

Fixing tuple, and 'UTC has no key' errors in examples/FinRL_PaperTrading_Demo.ipynb #1186

Closed kurone02 closed 6 months ago

kurone02 commented 6 months ago

I have submitted a similar pull request at FinRL-Tutorials. Still, I think it should also be updated here since more people might come here to view the example files, and are unaware of the tutorial repository.

An updated version of the gymnasium package changes the behavior of gymnasium.Env.reset. The return value of the reset method now returns a tuple of observation and info, which causes the tuple error mentioned in #1184 and #1164. Please refer to the gymasium's documentation for more details. This is fixed by ignoring the second value in the returned tuple.

The current version of the exchange-calendars package requires the dates to be timezone native, which causes the "UTC has no key" error. The traceback can be found below. This was resolved by erasing tz=pytz.UTC.

---------------------------------------------------------------------------
AttributeError                            Traceback (most recent call last)
Cell In[5], [line 1](vscode-notebook-cell:?execution_count=5&line=1)
----> [1](vscode-notebook-cell:?execution_count=5&line=1) df_erl, cumu_erl = alpaca_history(key=API_KEY, 
      [2](vscode-notebook-cell:?execution_count=5&line=2)                                   secret=API_SECRET, 
      [3](vscode-notebook-cell:?execution_count=5&line=3)                                   url=API_BASE_URL, 
      [4](vscode-notebook-cell:?execution_count=5&line=4)                                   start='2024-03-01', #must be within 1 month
      [5](vscode-notebook-cell:?execution_count=5&line=5)                                   end='2024-03-16') #change the date if error occurs

Cell In[4], [line 13](vscode-notebook-cell:?execution_count=4&line=13)
     [11](vscode-notebook-cell:?execution_count=4&line=11) def alpaca_history(key, secret, url, start, end):
     [12](vscode-notebook-cell:?execution_count=4&line=12)     api = tradeapi.REST(key, secret, url, 'v2')
---> [13](vscode-notebook-cell:?execution_count=4&line=13)     trading_days = get_trading_days(start, end)
     [14](vscode-notebook-cell:?execution_count=4&line=14)     df = pd.DataFrame()
     [15](vscode-notebook-cell:?execution_count=4&line=15)     for day in trading_days:
     [16](vscode-notebook-cell:?execution_count=4&line=16)         #df = df.append(api.get_portfolio_history(date_start = day,timeframe='5Min').df.iloc[:78])

Cell In[4], [line 3](vscode-notebook-cell:?execution_count=4&line=3)
      [1](vscode-notebook-cell:?execution_count=4&line=1) def get_trading_days(start, end):
      [2](vscode-notebook-cell:?execution_count=4&line=2)     nyse = tc.get_calendar('NYSE')
----> [3](vscode-notebook-cell:?execution_count=4&line=3)     df = nyse.sessions_in_range(pd.Timestamp(start,tz=pytz.UTC),
      [4](vscode-notebook-cell:?execution_count=4&line=4)                                 pd.Timestamp(end,tz=pytz.UTC))
      [5](vscode-notebook-cell:?execution_count=4&line=5)     trading_days = []
      [6](vscode-notebook-cell:?execution_count=4&line=6)     for day in df:

File [~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2200](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2200), in ExchangeCalendar.sessions_in_range(self, start, end, _parse)
   [2182](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2182) def sessions_in_range(
   [2183](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2183)     self, start: Date, end: Date, _parse: bool = True
   [2184](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2184) ) -> pd.DatetimeIndex:
   [2185](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2185)     """Return sessions within a given range.
   [2186](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2186) 
   [2187](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2187)     Parameters
   (...)
   [2198](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2198)         Sessions from `start` through `end`.
   [2199](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2199)     """
-> [2200](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2200)     slc = self._get_sessions_slice(start, end, _parse)
   [2201](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2201)     return self.sessions[slc]

File [~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2177](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2177), in ExchangeCalendar._get_sessions_slice(self, start, end, _parse)
   [2175](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2175) def _get_sessions_slice(self, start: Date, end: Date, _parse=True) -> slice:
   [2176](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2176)     """Slice representing a range of sessions."""
-> [2177](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2177)     start, end = self._parse_start_end_dates(start, end, _parse)
   [2178](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2178)     slice_start = self.sessions_nanos.searchsorted(start.value, side="left")
   [2179](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2179)     slice_end = self.sessions_nanos.searchsorted(end.value, side="right")

File [~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2173](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2173), in ExchangeCalendar._parse_start_end_dates(self, start, end, _parse)
   [2171](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2171) if not _parse:
   [2172](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2172)     return start, end
-> [2173](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2173) return parse_date(start, "start", self), parse_date(end, "end", self)

File [~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:379](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:379), in parse_date(date, param_name, calendar, raise_oob)
    [375](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:375) ts = parse_timestamp(date, param_name, raise_oob=False, side="left", utc=False)
    [377](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:377) if ts.tz is not None:
    [378](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:378)     raise ValueError(
--> [379](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:379)         f"Parameter `{param_name}` received with timezone defined as '{ts.tz.key}'"
    [380](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:380)         f" although a Date must be timezone naive."
    [381](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:381)     )
    [383](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:383) if not ts == ts.normalize():
    [384](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:384)     raise ValueError(
    [385](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:385)         f"Parameter `{param_name}` parsed as '{ts}' although a Date must have"
    [386](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:386)         f" a time component of 00:00."
    [387](https://vscode-remote+wsl-002bubuntu.vscode-resource.vscode-cdn.net/home/kurone02/FinRL/examples/~/miniconda3/envs/trading/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:387)     )

AttributeError: 'UTC' object has no attribute 'key'
zhumingpassional commented 6 months ago

thanks for your work in FinRL-Tutorials and this repo. good.