stefan-jansen / machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.
https://ml4trading.io
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Chapter 02 : 'UnImplemented' object has no attribute 'description' #322

Closed EarltShirt closed 2 months ago

EarltShirt commented 4 months ago

Describe the bug Everytime I'm trying to access store['P'] I get the same error :

---------------------------------------------------------------------------
AttributeError                            Traceback (most recent call last)
<ipython-input-48-7ec50b54eb29> in <module>
      6     # The append() method is deprecated on new versions of Pandas and no longer works. Use the _append() method.
      7     # The concat method cannot be used because it changes the format of Q, from "table" to "fixed"
----> 8     trades = store['P']._append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
      9     trades = pd.concat([store['P'], store['Q']]).merge(stocks)
     10 

/opt/miniconda3/envs/ml4t/lib/python3.8/site-packages/pandas/io/pytables.py in __getitem__(self, key)
    576 
    577     def __getitem__(self, key: str):
--> 578         return self.get(key)
    579 
    580     def __setitem__(self, key: str, value):

/opt/miniconda3/envs/ml4t/lib/python3.8/site-packages/pandas/io/pytables.py in get(self, key)
    768             if group is None:
    769                 raise KeyError(f"No object named {key} in the file")
--> 770             return self._read_group(group)
    771 
    772     def select(

/opt/miniconda3/envs/ml4t/lib/python3.8/site-packages/pandas/io/pytables.py in _read_group(self, group)
   1761     def _read_group(self, group: "Node"):
...
-> 3352         return self.table.description
   3353 
   3354     @property

AttributeError: 'UnImplemented' object has no attribute 'description'

To Reproduce I'm running the 'newer' versions with the Impesud Notes, for example this cell :

with pd.HDFStore(itch_store) as store:
    stocks = store['R'].loc[:, ['stock_locate', 'stock']]
    # trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
    # Impesud Note:
    # The append() method is deprecated on new versions of Pandas and no longer works. Use the _append() method.
    # The concat method cannot be used because it changes the format of Q, from "table" to "fixed"
    trades = store['P']._append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
    trades = pd.concat([store['P'], store['Q']]).merge(stocks)

trades['value'] = trades.shares.mul(trades.price)
trades['value_share'] = trades.value.div(trades.value.sum())

trade_summary = trades.groupby('stock').value_share.sum().sort_values(ascending=False)
trade_summary.iloc[:50].plot.bar(figsize=(14, 6), color='darkblue', title='Share of Traded Value')

plt.gca().yaxis.set_major_formatter(FuncFormatter(lambda y, _: '{:.0%}'.format(y)))
sns.despine()
plt.tight_layout()

Steps to reproduce the behavior: As seen in the picture, this behavior is systematic when executing some of the first cells of the second chapter of the repo. P is indeed a key to the data frame, but the type isn't recognized because it 'doesn't have a description' ...

Capture d’écran 2024-07-18 à 14 18 48

And I systematically get this error :

Expected behavior A clear and concise description of what you expected to happen.

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Environment If you are not using the latest version of the Docker imag:

stefan-jansen commented 2 months ago

Please do not use _append() but rather follow the pandas documentation and use pd.concat instead.