jingmouren
commented
5 years ago 为啥 这个版本的 时间一天只排了三个 [dt for dt, action in self.clock] [Timestamp('2017-01-03 00:00:00+0000', tz='UTC'), Timestamp('2017-01-03 07:00:00+0000', tz='UTC'), Timestamp('2017-01-03 07:00:00+0000', tz='UTC'), 而kanghua309的版本 时间却排了四个 [dt for dt, action in self.clock] [Timestamp('2017-01-03 00:00:00+0000', tz='UTC'), Timestamp('2017-01-03 00:45:00+0000', tz='UTC'), Timestamp('2017-01-03 07:00:00+0000', tz='UTC'), Timestamp('2017-01-03 07:00:00+0000', tz='UTC'),
使用tdx数据bundle 回测示例的buy hold策略 买入 000001 起始日为2012-1-1
报如下错误
AttributeError: 'NoneType' object has no attribute 'index'
Debug跟了下，好像是1-16日的交易日历时间为 1-16 0.0 Nat NaT 这是数据导入出了问题，还是这个版本的交易日历有问题，还是那天停牌而系统处理失当，还是其他问题？ buy1.zip 附件为完整代码
跟踪时 到 tradesimulation.py 这个文件时 查看 [dt for dt,action in self.clock] 的结果为 [Timestamp('2012-01-04 00:00:00+0000', tz='UTC'), Timestamp('2012-01-04 13:45:00+0000', tz='UTC'), Timestamp('2012-01-04 21:00:00+0000', tz='UTC'), Timestamp('2012-01-04 21:00:00+0000', tz='UTC'), Timestamp('2012-01-05 00:00:00+0000', tz='UTC')。。。Timestamp('2012-01-16 00:00:00+0000', tz='UTC'), NaT, Timestamp('2012-01-16 13:45:00+0000', tz='UTC'), NaT, Timestamp('2012-01-17 00:00:00+0000', tz='UTC'), Timestamp('2012-01-17 13:45:00+0000', tz='UTC'), Timestamp('2012-01-17 21:00:00+0000', tz='UTC'), Timestamp('2012-01-17 21:00:00+0000', tz='UTC'),
又跟踪了下 在 zipline/algorithm.py(531)_create_clock() 529 """ 530 trading_o_and_c = self.trading_calendar.schedule.ix[ 531 self.sim_params.sessions] --> 532 market_closes = trading_o_and_c['market_close']
这传出的close时间就已经有NAT值了，这个值是何用意？ 2012-01-13 00:00:00+00:00 2012-01-13 21:00:00 2012-01-16 00:00:00+00:00 NaT 2012-01-17 00:00:00+00:00 2012-01-17 21:00:00
2012-02-17 00:00:00+00:00 2012-02-17 21:00:00 2012-02-20 00:00:00+00:00 NaT 2012-02-21 00:00:00+00:00 2012-02-21 21:00:00