Markowitz-blog notebook doesn't work with latest zipline

[QuentinLew]

Operating System: Windows 8.1 64-bit Python Version: 2.7.12 zipline Version: 1.0.2

https://github.com/quantopian/research_public/blob/master/research/Markowitz-blog.ipynb

from zipline.utils.factory import load_bars_from_yahoo
end = pd.Timestamp.utcnow()
start = end - 2500 * pd.tseries.offsets.BDay()

data = load_bars_from_yahoo(stocks=['IBM', 'GLD', 'XOM', 'AAPL', 
                                    'MSFT', 'TLT', 'SHY'],
                            start=start, end=end)

import zipline
from zipline.api import (add_history, 
                         history, 
                         set_slippage, 
                         slippage,
                         set_commission, 
                         commission, 
                         order_target_percent)

from zipline import TradingAlgorithm

def initialize(context):
    '''
    Called once at the very beginning of a backtest (and live trading). 
    Use this method to set up any bookkeeping variables.

    The context object is passed to all the other methods in your algorithm.

    Parameters

    context: An initialized and empty Python dictionary that has been 
             augmented so that properties can be accessed using dot 
             notation as well as the traditional bracket notation.

    Returns None
    '''
    # Register history container to keep a window of the last 100 prices.
     add_history(100, '1d', 'price')
    # Turn off the slippage model
    set_slippage(slippage.FixedSlippage(spread=0.0))
    # Set the commission model (Interactive Brokers Commission)
    set_commission(commission.PerShare(cost=0.01, min_trade_cost=1.0))
    context.tick = 0

def handle_data(context, data):
    '''
    Called when a market event occurs for any of the algorithm's 
    securities. 

    Parameters

    data: A dictionary keyed by security id containing the current 
          state of the securities in the algo's universe.

    context: The same context object from the initialize function.
             Stores the up to date portfolio as well as any state 
             variables defined.

    Returns None
    '''
    # Allow history to accumulate 100 days of prices before trading
    # and rebalance every day thereafter.
    context.tick += 1
    if context.tick < 100:
        return
    # Get rolling window of past prices and compute returns
    prices = history(100, '1d', 'price').dropna()
    returns = prices.pct_change().dropna()
    try:
        # Perform Markowitz-style portfolio optimization
        weights, _, _ = optimal_portfolio(returns.T)
        # Rebalance portfolio accordingly
        for stock, weight in zip(prices.columns, weights):
            order_target_percent(stock, weight)
    except ValueError as e:
        # Sometimes this error is thrown
        # ValueError: Rank(A) < p or Rank([P; A; G]) < n
        pass

# Instantinate algorithm        
algo = TradingAlgorithm(initialize=initialize, 
                        handle_data=handle_data)
# Run algorithm
results = algo.run(data)
results.portfolio_value.plot()
# algo.current_sids()

1. "cannot import name add_history" 1286 So I removed add_history.
2. TradingAlgorithm got KeyError

   
   ---------------------------------------------------------------------------
   KeyError                                  Traceback (most recent call last)
   <ipython-input-41-221039edce67> in <module>()
    72                         handle_data=handle_data)
    73 # Run algorithm
   ---> 74 results = algo.run(data)
    75 results.portfolio_value.plot()
    76 # algo.current_sids()

C:\Python27\lib\site-packages\zipline\algorithm.pyc in run(self, data, overwrite_sim_params) 686 try: 687 perfs = [] --> 688 for perf in self.get_generator(): 689 perfs.append(perf) 690

C:\Python27\lib\site-packages\zipline\gens\tradesimulation.pyc in transform(self) 218 for dt, action in self.clock: 219 if action == BAR: --> 220 for capital_change_packet in every_bar(dt): 221 yield capital_change_packet 222 elif action == SESSION_START:

C:\Python27\lib\site-packages\zipline\gens\tradesimulation.pyc in every_bar(dt_to_use, current_data, handle_data) 131 perf_tracker.process_commission(commission) 132 --> 133 handle_data(algo, current_data, dt_to_use) 134 135 # grab any new orders from the blotter, then clear the list.

C:\Python27\lib\site-packages\zipline\utils\events.pyc in handle_data(self, context, data, dt) 182 context, 183 data, --> 184 dt, 185 ) 186

C:\Python27\lib\site-packages\zipline\utils\events.pyc in handle_data(self, context, data, dt) 201 """ 202 if self.rule.should_trigger(dt): --> 203 self.callback(context, data) 204 205

C:\Python27\lib\site-packages\zipline\algorithm.pyc in handle_data(self, data) 457 def handle_data(self, data): 458 if self._handle_data: --> 459 self._handle_data(self, data) 460 461 # Unlike trading controls which remain constant unless placing an

in handle_data(context, data) 55 return 56 # Get rolling window of past prices and compute returns ---> 57 prices = history(100, '1d', 'price').dropna() 58 returns = prices.pct_change().dropna() 59 try: C:\Python27\lib\site-packages\zipline\utils\api_support.pyc in wrapped(*args, **kwargs) 49 def wrapped(*args, **kwargs): 50 # Get the instance and call the method ---> 51 return getattr(get_algo_instance(), f.__name__)(*args, **kwargs) 52 # Add functor to zipline.api 53 setattr(zipline.api, f.__name__, wrapped) C:\Python27\lib\site-packages\zipline\utils\api_support.pyc in wrapped_method(self, *args, **kwargs) 96 if not self.initialized: 97 raise exception ---> 98 return method(self, *args, **kwargs) 99 return wrapped_method 100 return decorator C:\Python27\lib\site-packages\zipline\algorithm.pyc in history(self, bar_count, frequency, field, ffill) 2063 self._calculate_universe(), 2064 field, -> 2065 ffill 2066 ) 2067 C:\Python27\lib\site-packages\zipline\algorithm.pyc in get_history_window(self, bar_count, frequency, assets, field, ffill) 2074 frequency, 2075 field, -> 2076 ffill, 2077 ) 2078 else: C:\Python27\lib\site-packages\zipline\data\data_portal.pyc in get_history_window(self, assets, end_dt, bar_count, frequency, field, ffill) 772 if field == "price": 773 df = self._get_history_daily_window(assets, end_dt, bar_count, --> 774 "close") 775 else: 776 df = self._get_history_daily_window(assets, end_dt, bar_count, C:\Python27\lib\site-packages\zipline\data\data_portal.pyc in _get_history_daily_window(self, assets, end_dt, bar_count, field_to_use) 644 645 data = self._get_history_daily_window_data( --> 646 assets, days_for_window, end_dt, field_to_use 647 ) 648 return pd.DataFrame( C:\Python27\lib\site-packages\zipline\data\data_portal.pyc in _get_history_daily_window_data(self, assets, days_for_window, end_dt, field_to_use) 686 elif field_to_use == 'close': 687 minute_value = self._daily_aggregator.closes( --> 688 assets, end_dt) 689 elif field_to_use == 'volume': 690 minute_value = self._daily_aggregator.volumes( C:\Python27\lib\site-packages\zipline\data\resample.pyc in closes(self, assets, dt) 383 except KeyError: 384 val = self._minute_reader.get_value( --> 385 asset, dt, 'close') 386 if pd.isnull(val): 387 val = self.closes([asset], C:\Python27\lib\site-packages\zipline\data\dispatch_bar_reader.pyc in get_value(self, sid, dt, field) 81 def get_value(self, sid, dt, field): 82 asset = self._asset_finder.retrieve_asset(sid) ---> 83 r = self._readers[type(asset)] 84 return r.get_value(sid, dt, field) 85 KeyError: ``` [959](https://github.com/quantopian/zipline/pull/959) So I tried algo.current_sids() 3. ``` --------------------------------------------------------------------------- AttributeError Traceback (most recent call last) in () 74 # results = algo.run(data) 75 # results.portfolio_value.plot() ---> 76 algo.current_sids() AttributeError: 'TradingAlgorithm' object has no attribute 'current_sids' ```

[freddiev4]

x-ref https://github.com/quantopian/zipline/issues/1621

[mmargenot]

Closed with https://github.com/quantopian/research_public/pull/137