jb33k commented 3 years ago

Environment

* Operating System: Linux Ubuntu-1604-xenial-64-minimal 4.15.0-142-generic #146~16.04.1-Ubuntu SMP Tue Apr 13 09:27:15 UTC 2021 x86_64 x86_64 x86_64 GNU/Linux * Python Version: 3.8.8 * Python Bitness: 64 * How did you install Zipline: conda * Python packages: ``` _libgcc_mutex 0.1 conda_forge conda-forge _openmp_mutex 4.5 1_llvm conda-forge _py-xgboost-mutex 2.0 cpu_0 conda-forge _sysroot_linux-64_curr_repodata_hack 3 ha9d2b57_10 conda-forge _tflow_select 2.3.0 mkl abseil-cpp 20210324.0 h9c3ff4c_0 conda-forge absl-py 0.12.0 pyhd8ed1ab_0 conda-forge aiohttp 3.7.4 py38h497a2fe_0 conda-forge alembic 1.5.8 pyhd8ed1ab_0 conda-forge alphalens-reloaded 0.4.1.post1 py38_0 ml4t alsa-lib 1.2.3 h516909a_0 conda-forge anyio 2.2.0 py38h578d9bd_0 conda-forge appdirs 1.4.4 pyh9f0ad1d_0 conda-forge arch 4.19 pypi_0 pypi argon2-cffi 20.1.0 py38h497a2fe_2 conda-forge arrow-cpp 3.0.0 py38hd6878d3_11_cpu conda-forge arviz 0.11.2 pyhd8ed1ab_1 conda-forge astunparse 1.6.3 pyhd8ed1ab_0 conda-forge async-timeout 3.0.1 py_1000 conda-forge async_generator 1.10 py_0 conda-forge atk-1.0 2.36.0 h3371d22_4 conda-forge attrs 20.3.0 pyhd3deb0d_0 conda-forge automat 20.2.0 py_0 conda-forge autopep8 1.5.7 pypi_0 pypi aws-c-cal 0.4.5 h76129ab_8 conda-forge aws-c-common 0.5.2 h7f98852_0 conda-forge aws-c-event-stream 0.2.7 h6bac3ce_1 conda-forge aws-c-io 0.9.1 ha5b09cb_1 conda-forge aws-checksums 0.1.11 h99e32c3_3 conda-forge aws-sdk-cpp 1.8.151 hceb1b1e_1 conda-forge babel 2.9.1 pypi_0 pypi backcall 0.2.0 pyh9f0ad1d_0 conda-forge backports 1.0 py_2 conda-forge backports.functools_lru_cache 1.6.4 pyhd8ed1ab_0 conda-forge backtrader 1.9.76.123 pypi_0 pypi bcolz-zipline 1.2.3.post2 pypi_0 pypi bcrypt 3.2.0 py38h497a2fe_1 conda-forge beautifulsoup4 4.9.3 pyhb0f4dca_0 conda-forge binutils 2.35.1 hdd6e379_2 conda-forge binutils_impl_linux-64 2.35.1 h193b22a_2 conda-forge binutils_linux-64 2.35 h67ddf6f_30 conda-forge bleach 3.3.0 pyh44b312d_0 conda-forge blinker 1.4 py_1 conda-forge blosc 1.21.0 h9c3ff4c_0 conda-forge bokeh 2.3.1 py38h578d9bd_0 conda-forge boto 2.49.0 py_0 conda-forge boto3 1.17.57 pyhd8ed1ab_0 conda-forge botocore 1.20.57 pyhd8ed1ab_0 conda-forge bottleneck 1.3.2 py38h5c078b8_3 conda-forge box2d 2.3.10 pypi_0 pypi box2d-py 2.3.8 py38h709712a_3 conda-forge bqplot 0.12.26 pyhd8ed1ab_0 conda-forge brotli 1.0.9 h9c3ff4c_4 conda-forge brotlipy 0.7.0 py38h497a2fe_1001 conda-forge brunsli 0.1 he1b5a44_0 conda-forge bz2file 0.98 py_0 conda-forge bzip2 1.0.8 h7f98852_4 conda-forge c-ares 1.17.1 h7f98852_1 conda-forge c-compiler 1.2.0 h7f98852_0 conda-forge ca-certificates 2021.5.30 ha878542_0 conda-forge cachetools 4.2.2 pypi_0 pypi cairo 1.16.0 h6cf1ce9_1008 conda-forge catalogue 2.0.4 pypi_0 pypi catboost 0.25.1 py38h578d9bd_0 conda-forge certifi 2020.12.5 pypi_0 pypi cffi 1.14.5 py38ha65f79e_0 conda-forge cftime 1.4.1 py38h5c078b8_0 conda-forge chardet 4.0.0 py38h578d9bd_1 conda-forge charls 2.2.0 h9c3ff4c_0 conda-forge click 7.1.2 pyh9f0ad1d_0 conda-forge cloudpickle 1.6.0 py_0 conda-forge colorama 0.4.4 pyh9f0ad1d_0 conda-forge colorlover 0.3.0 py_0 conda-forge conda 4.10.1 py38h578d9bd_0 conda-forge conda-package-handling 1.7.3 py38h497a2fe_0 conda-forge constantly 15.1.0 py_0 conda-forge cryptography 3.4.7 py38ha5dfef3_0 conda-forge cssselect 1.1.0 py_0 conda-forge cudatoolkit 10.2.89 hfd86e86_1 anaconda cudnn 8.1.0.77 h469e712_0 conda-forge curl 7.76.1 h979ede3_1 conda-forge cvxpy 1.1.12 py38h578d9bd_0 conda-forge cvxpy-base 1.1.12 py38h1abd341_0 conda-forge cxx-compiler 1.2.0 h4bd325d_0 conda-forge cycler 0.10.0 py_2 conda-forge cymem 2.0.5 py38h709712a_1 conda-forge cypari 2.4.1 pypi_0 pypi cython 0.29.23 py38h709712a_1 conda-forge cython-blis 0.7.4 py38h5c078b8_0 conda-forge cytoolz 0.11.0 py38h497a2fe_3 conda-forge dask-core 2021.4.1 pyhd8ed1ab_0 conda-forge dataclasses 0.8 pyhc8e2a94_1 conda-forge dbus 1.13.18 hb2f20db_0 decorator 4.4.2 py_0 conda-forge defusedxml 0.7.1 pyhd8ed1ab_0 conda-forge deprecation 2.1.0 pyh9f0ad1d_0 conda-forge dill 0.3.3 pyhd8ed1ab_0 conda-forge ecos 2.0.7.post1 pypi_0 pypi empyrical 0.5.5 pyh9f0ad1d_0 conda-forge empyrical-reloaded 0.5.7 py38_0 ml4t entrypoints 0.3 py38h32f6830_1002 conda-forge expat 2.3.0 h9c3ff4c_0 conda-forge fastprogress 1.0.0 pyh39e3cac_0 fastai ffmpeg 1.4 pypi_0 pypi filelock 3.0.12 pyh9f0ad1d_0 conda-forge font-ttf-dejavu-sans-mono 2.37 hab24e00_0 conda-forge font-ttf-inconsolata 2.001 hab24e00_0 conda-forge font-ttf-source-code-pro 2.030 hab24e00_0 conda-forge font-ttf-ubuntu 0.83 hab24e00_0 conda-forge fontconfig 2.13.1 hba837de_1005 conda-forge fonts-conda-ecosystem 1 0 conda-forge fonts-conda-forge 1 0 conda-forge freetype 2.10.4 h0708190_1 conda-forge fribidi 1.0.10 h516909a_0 conda-forge fsspec 2021.4.0 pyhd8ed1ab_0 conda-forge funcy 1.15 pyh9f0ad1d_0 conda-forge future 0.18.2 py38h578d9bd_3 conda-forge fxrays 1.3.5 pypi_0 pypi gast 0.3.3 pypi_0 pypi gcc_impl_linux-64 9.3.0 h70c0ae5_19 conda-forge gcc_linux-64 9.3.0 hf25ea35_30 conda-forge gdk-pixbuf 2.42.6 h04a7f16_0 conda-forge gensim 4.0.1 py38h709712a_0 conda-forge gettext 0.21.0 hf68c758_0 gflags 2.2.2 he1b5a44_1004 conda-forge giflib 5.2.1 h516909a_2 conda-forge glib 2.68.1 h9c3ff4c_0 conda-forge glib-tools 2.68.1 h9c3ff4c_0 conda-forge glog 0.4.0 h49b9bf7_3 conda-forge gmp 6.2.1 h58526e2_0 conda-forge gmpy2 2.1.0b1 py38hd744826_1 conda-forge gnutls 3.6.15 he1e5248_0 google-api-core 1.26.2 pyhd8ed1ab_0 conda-forge google-auth 1.30.0 pypi_0 pypi google-auth-oauthlib 0.4.4 pypi_0 pypi google-cloud-core 1.6.0 pyh44b312d_0 conda-forge google-cloud-storage 1.31.2 pyh9f0ad1d_0 conda-forge google-crc32c 1.1.2 py38h8838a9a_0 conda-forge google-pasta 0.2.0 pyh8c360ce_0 conda-forge google-resumable-media 1.2.0 pyhd3deb0d_0 conda-forge googleapis-common-protos 1.53.0 py38h578d9bd_0 conda-forge graphite2 1.3.14 h23475e2_0 graphviz 2.47.1 hebd9034_0 conda-forge greenlet 1.0.0 py38h709712a_0 conda-forge grpc-cpp 1.37.0 h36de60a_1 conda-forge grpcio 1.37.1 pypi_0 pypi gst-plugins-base 1.18.4 hf529b03_2 conda-forge gstreamer 1.18.4 h76c114f_2 conda-forge gtk2 2.24.33 hab0c2f8_0 conda-forge gts 0.7.6 h64030ff_2 conda-forge gxx_impl_linux-64 9.3.0 hd87eabc_19 conda-forge gxx_linux-64 9.3.0 h3fbe746_30 conda-forge gym 0.18.0 py38hd0cf306_1 conda-forge gym-box2d 0.18.0 py38h578d9bd_1 conda-forge h2 3.2.0 py38h32f6830_1 conda-forge h5py 2.10.0 nompi_py38h9915d05_106 conda-forge harfbuzz 2.8.0 h83ec7ef_1 conda-forge hdbscan 0.8.27 py38h5c078b8_0 conda-forge hdf4 4.2.13 h10796ff_1005 conda-forge hdf5 1.10.6 nompi_h6a2412b_1114 conda-forge hpack 3.0.0 py_0 conda-forge html5lib 1.1 pyh9f0ad1d_0 conda-forge hyperframe 5.2.0 py_0 conda-forge hyperlink 21.0.0 pyhd3deb0d_0 conda-forge icu 68.1 h58526e2_0 conda-forge idna 2.10 pyh9f0ad1d_0 conda-forge imagecodecs 2021.3.31 py38h1455ab2_0 conda-forge imageio 2.9.0 py_0 conda-forge importlib-metadata 4.0.1 py38h578d9bd_0 conda-forge importlib-resources 5.1.2 pypi_0 pypi importlib_metadata 4.0.1 hd8ed1ab_0 conda-forge incremental 21.3.0 pypi_0 pypi inflection 0.5.1 pyh9f0ad1d_0 conda-forge intervaltree 3.1.0 py_0 ipydatawidgets 4.2.0 pyhd3deb0d_0 conda-forge ipykernel 5.5.3 py38hd0cf306_0 conda-forge ipython 7.23.0 pypi_0 pypi ipython_genutils 0.2.0 py_1 conda-forge ipyvolume 0.5.2 pypi_0 pypi ipywebrtc 0.6.0 pyhd8ed1ab_0 conda-forge ipywidgets 7.6.3 pyhd3deb0d_0 conda-forge iso3166 1.0.1 pyh9f0ad1d_0 conda-forge iso4217 1.6.20180829 py_0 conda-forge itemadapter 0.2.0 pyhd8ed1ab_0 conda-forge itemloaders 1.0.4 pyhd8ed1ab_0 conda-forge jax 0.2.12 pyhd8ed1ab_0 conda-forge jaxlib 0.1.65 py38h578d9bd_0 conda-forge jedi 0.18.0 py38h578d9bd_2 conda-forge jellyfish 0.8.2 py38h497a2fe_1 conda-forge jinja2 2.11.3 pyh44b312d_0 conda-forge jmespath 0.10.0 pyh9f0ad1d_0 conda-forge joblib 1.0.1 pyhd8ed1ab_0 conda-forge jpeg 9d h516909a_0 conda-forge json5 0.9.5 pyh9f0ad1d_0 conda-forge jsonschema 3.2.0 py38h32f6830_1 conda-forge jupyter 1.0.0 py38h578d9bd_6 conda-forge jupyter-packaging 0.9.2 pyhd8ed1ab_0 conda-forge jupyter_client 6.1.12 pyhd8ed1ab_0 conda-forge jupyter_console 6.4.0 pyhd8ed1ab_0 conda-forge jupyter_contrib_core 0.3.3 py_2 conda-forge jupyter_contrib_nbextensions 0.5.1 py38h32f6830_1 conda-forge jupyter_core 4.7.1 py38h578d9bd_0 conda-forge jupyter_highlight_selected_word 0.2.0 py38h578d9bd_1002 conda-forge jupyter_latex_envs 1.4.6 py38h578d9bd_1001 conda-forge jupyter_nbextensions_configurator 0.4.1 py38h578d9bd_2 conda-forge jupyter_server 1.6.4 py38h578d9bd_0 conda-forge jupyterlab 3.0.14 pyhd8ed1ab_0 conda-forge jupyterlab-server 2.5.0 pypi_0 pypi jupyterlab_pygments 0.1.2 pyh9f0ad1d_0 conda-forge jupyterlab_widgets 1.0.0 pyhd8ed1ab_1 conda-forge jxrlib 1.1 h516909a_2 conda-forge keras-preprocessing 1.1.2 pyhd8ed1ab_0 conda-forge kernel-headers_linux-64 3.10.0 h77966d4_10 conda-forge kiwisolver 1.3.1 py38h1fd1430_1 conda-forge knot-floer-homology 1.0.2 pypi_0 pypi krb5 1.17.2 h926e7f8_0 conda-forge lame 3.100 h14c3975_1001 conda-forge lcms2 2.12 hddcbb42_0 conda-forge ld_impl_linux-64 2.35.1 hea4e1c9_2 conda-forge lerc 2.2.1 h9c3ff4c_0 conda-forge libaec 1.0.4 he1b5a44_1 conda-forge libblas 3.9.0 8_mkl conda-forge libcblas 3.9.0 8_mkl conda-forge libclang 11.1.0 default_ha53f305_1 conda-forge libcrc32c 1.1.1 he1b5a44_2 conda-forge libcurl 7.76.1 hc4aaa36_1 conda-forge libdeflate 1.7 h7f98852_5 conda-forge libedit 3.1.20210216 h27cfd23_1 libev 4.33 h516909a_1 conda-forge libevent 2.1.10 hcdb4288_3 conda-forge libffi 3.3 h58526e2_2 conda-forge libgcc-devel_linux-64 9.3.0 h7864c58_19 conda-forge libgcc-ng 9.3.0 h2828fa1_19 conda-forge libgd 2.3.2 h78a0170_0 conda-forge libgfortran-ng 9.3.0 hff62375_19 conda-forge libgfortran5 9.3.0 hff62375_19 conda-forge libglib 2.68.1 h3e27bee_0 conda-forge libgomp 9.3.0 h2828fa1_19 conda-forge libgpuarray 0.7.6 h14c3975_1003 conda-forge libiconv 1.16 h516909a_0 conda-forge libidn2 2.3.0 h516909a_0 conda-forge liblapack 3.9.0 8_mkl conda-forge libllvm10 10.0.1 he513fc3_3 conda-forge libllvm11 11.1.0 hf817b99_2 conda-forge libnetcdf 4.8.0 nompi_hfa85936_101 conda-forge libnghttp2 1.43.0 h812cca2_0 conda-forge libogg 1.3.5 h27cfd23_1 libopus 1.3.1 h7f98852_1 conda-forge libpng 1.6.37 hed695b0_2 conda-forge libpq 13.2 hfd2b0eb_2 conda-forge libprotobuf 3.15.8 h780b84a_0 conda-forge librsvg 2.50.3 hfa39831_1 conda-forge libsodium 1.0.18 h516909a_1 conda-forge libssh2 1.9.0 ha56f1ee_6 conda-forge libstdcxx-devel_linux-64 9.3.0 hb016644_19 conda-forge libstdcxx-ng 9.3.0 h6de172a_19 conda-forge libtasn1 4.16.0 h27cfd23_0 libthrift 0.14.1 he6d91bd_2 conda-forge libtiff 4.2.0 hbd63e13_2 conda-forge libtool 2.4.6 h58526e2_1007 conda-forge libunistring 0.9.10 h14c3975_0 conda-forge libutf8proc 2.6.1 h7f98852_0 conda-forge libuuid 2.32.1 h14c3975_1000 conda-forge libvorbis 1.3.7 he1b5a44_0 conda-forge libwebp 1.2.0 h3452ae3_0 conda-forge libwebp-base 1.2.0 h7f98852_2 conda-forge libxcb 1.14 h7b6447c_0 libxgboost 1.3.3 h9c3ff4c_2 conda-forge libxkbcommon 1.0.3 he3ba5ed_0 conda-forge libxml2 2.9.10 h72842e0_4 conda-forge libxslt 1.1.33 h15afd5d_2 conda-forge libzip 1.7.3 he9f05b3_0 conda-forge libzopfli 1.0.3 he1b5a44_0 conda-forge lightgbm 3.2.1 py38h709712a_0 conda-forge linearmodels 4.24 py38h709712a_1 conda-forge livelossplot 0.5.4 pypi_0 pypi llvm-openmp 11.1.0 h4bd325d_1 conda-forge llvmlite 0.36.0 py38h4630a5e_0 conda-forge locket 0.2.1 py38h06a4308_1 logbook 1.5.3 py38_0 ml4t lru-dict 1.1.7 pypi_0 pypi lxml 4.6.3 py38hf1fe3a4_0 conda-forge lz4-c 1.9.3 h9c3ff4c_0 conda-forge lzo 2.10 h516909a_1000 conda-forge magma 2.5.4 h5da55e3_2 conda-forge mako 1.1.4 pyh44b312d_0 conda-forge markdown 3.3.4 pyhd8ed1ab_0 conda-forge markupsafe 1.1.1 py38h497a2fe_3 conda-forge matplotlib 3.4.1 py38h578d9bd_0 conda-forge matplotlib-base 3.4.1 py38hcc49a3a_0 conda-forge matplotlib-inline 0.1.2 pypi_0 pypi mistune 0.8.4 py38h497a2fe_1003 conda-forge mkl 2020.4 h726a3e6_304 conda-forge mkl-service 2.3.0 py38h1e0a361_2 conda-forge mock 4.0.3 py38h578d9bd_1 conda-forge more-itertools 8.7.0 pyhd8ed1ab_1 conda-forge mpc 1.1.0 h04dde30_1009 conda-forge mpfr 4.0.2 he80fd80_1 conda-forge mplfinance 0.12.7a17 pyhd8ed1ab_0 conda-forge mpmath 1.2.1 pyhd8ed1ab_0 conda-forge multidict 5.1.0 py38h497a2fe_1 conda-forge multipledispatch 0.6.0 py_0 conda-forge multitasking 0.0.9 py_0 ranaroussi murmurhash 1.0.5 py38h709712a_0 conda-forge mypy_extensions 0.4.3 py38h578d9bd_3 conda-forge mysql-common 8.0.23 ha770c72_2 conda-forge mysql-libs 8.0.23 h935591d_2 conda-forge nb_conda 2.2.1 py38h578d9bd_4 conda-forge nb_conda_kernels 2.3.1 py38h578d9bd_0 conda-forge nbclassic 0.2.7 pyhd8ed1ab_0 conda-forge nbclient 0.5.3 pyhd8ed1ab_0 conda-forge nbconvert 5.6.1 pypi_0 pypi nbformat 5.1.3 pyhd8ed1ab_0 conda-forge nccl 2.9.6.1 h1a5f58c_0 conda-forge ncurses 6.2 h58526e2_4 conda-forge nest-asyncio 1.5.1 pyhd8ed1ab_0 conda-forge netcdf4 1.5.6 nompi_py38h5e9db54_103 conda-forge nettle 3.7.2 hbbd107a_1 networkx 2.5.1 pyhd8ed1ab_0 conda-forge ninja 1.10.2 h4bd325d_0 conda-forge nltk 3.6.2 pyhd8ed1ab_0 conda-forge notebook 6.3.0 py38h578d9bd_0 conda-forge nspr 4.30 h9c3ff4c_0 conda-forge nss 3.64 hb5efdd6_0 conda-forge numba 0.53.1 py38h8b71fd7_1 conda-forge numexpr 2.7.3 py38h51da96c_0 conda-forge numpy 1.20.2 py38h9894fe3_0 conda-forge oauthlib 3.1.0 pyhd8ed1ab_0 conda-forge olefile 0.46 pyh9f0ad1d_1 conda-forge opencv-python 4.5.1.48 pypi_0 pypi opencv-python-headless 4.5.1.48 py38_0 fastai openh264 2.1.1 h780b84a_0 conda-forge openjpeg 2.4.0 hb52868f_1 conda-forge openssl 1.1.1k h7f98852_0 conda-forge opt_einsum 3.3.0 pyhd8ed1ab_1 conda-forge orc 1.6.7 heec2584_1 conda-forge osqp 0.6.2.post0 pypi_0 pypi packaging 20.9 pyh44b312d_0 conda-forge pandas 1.2.4 py38h1abd341_0 conda-forge pandas-datareader 0.9.0 pyh44b312d_0 conda-forge pandoc 2.12 h7f98852_0 conda-forge pandocfilters 1.4.3 py38h06a4308_1 pango 1.42.4 h80147aa_5 conda-forge parquet-cpp 1.5.1 1 conda-forge parsel 1.6.0 py_0 conda-forge parso 0.8.2 pyhd8ed1ab_0 conda-forge partd 1.2.0 pyhd8ed1ab_0 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Description of Issue

I'm trying to follow single alpha factor example (https://github.com/stefan-jansen/machine-learning-for-trading/blob/master/04_alpha_factor_research/04_single_factor_zipline.ipynb) using Binance 1m OHCLV data with always open calendar, but I'm getting ValueError: Unable to determine domain for Pipeline. error even if I pass GENERIC domain.

What did you expect to happen? Things to run like with quandl data.
What happened instead? I got ValueError: Unable to determine domain for Pipeline. error.

Here is how you can reproduce this issue on your machine:

Reproduction Steps

Download Binance 1m data and ingest
Copy 04_single_factor_zipline example with modifications in the run_algorithm (below)
Try to run run_algorithm

result = run_algorithm(start=start,
                       end=end,
                       initialize=initialize,
                       before_trading_start=before_trading_start,
                       capital_base=1e7,
                       bundle='binance',
                       data_frequency='minute',
                       trading_calendar=get_calendar('24/7')
                      )

What steps have you taken to resolve this already?

I tried to import GENERIC domain and add it manually to Pipeline but didn't work. I'm a total newbie with Zipline, so I have no idea how to debug this further.

from zipline.pipeline.domain import GENERIC
...
def compute_factors():
    mean_reversion = MeanReversion()
    dollar_volume = AverageDollarVolume(window_length=MONTH)

    return Pipeline(columns={'longs': mean_reversion.bottom(N_LONGS),
                             'shorts': mean_reversion.top(N_SHORTS),
                             'ranking': mean_reversion.rank(ascending=False)},
                    screen=dollar_volume.top(VOL_SCREEN), domain=GENERIC)

hbtholen commented 11 months ago

How did you solve this problem? I have the same problem right now.

yuanxing-z commented 10 months ago

from zipline.pipeline.domain import EquityCalendarDomain and change domain=EquityCalendarDomain("??", "24/7") in Pipeline()

In my case, ?? is from checking the assets-7.sqlite file in the ingested data

replace ?? with the country_code in the exchanges table in assets-7.sqlite and 24/7 with desired calendar_name I believe there is a way to specify the country_code during ingest somehow, but I haven't figure our how..

quantopian / zipline

ValueError: Unable to determine domain for Pipeline #2823

Environment

Description of Issue

Reproduction Steps

What steps have you taken to resolve this already?