phelps-sg
commented
9 months ago The start and end dates use the time-zone of the trading_calendar that you pass in to run_algorithm(). In your example you don't specify the trading_calendar parameter so it defaults to the XNYS calendar which is New York time, but you can pass in a different trading_calendar e.g. XMAD. To use 24/7 which is UTC:
from zipline.utils.calendar_utils import get_calendar
run_algorithm(
...
trading_calendar=get_calendar("24/7")
)
alex9434
neillbyrne
Dear Zipline Maintainers,
Before I tell you about my issue, let me describe my environment:
Environment
Description of Issue
I am trying to run a simple backtest based on the book "Trading Evolved" by Andreas Clenow. It is a slighty modified version of the BuyApple program from the tutorial:
What did you expect to happen? Backtesting results.
What happened instead? Error message
File /opt/conda3/envs/zipline/lib/python3.10/site-packages/zipline/utils/run_algo.py:397, in run_algorithm(start, end, initialize, capital_base, handle_data, before_trading_start, analyze, data_frequency, bundle, bundle_timestamp, trading_calendar, metrics_set, benchmark_returns, default_extension, extensions, strict_extensions, environ, custom_loader, blotter) 393 load_extensions(default_extension, extensions, strict_extensions, environ) 395 benchmark_spec = BenchmarkSpec.from_returns(benchmark_returns) --> 397 return _run( 398 handle_data=handle_data, 399 initialize=initialize, 400 before_trading_start=before_trading_start, 401 analyze=analyze, 402 algofile=None, 403 algotext=None, 404 defines=(), 405 data_frequency=data_frequency, 406 capital_base=capital_base, 407 bundle=bundle, 408 bundle_timestamp=bundle_timestamp, 409 start=start, 410 end=end, 411 output=os.devnull, 412 trading_calendar=trading_calendar, 413 print_algo=False, 414 metrics_set=metrics_set, 415 local_namespace=False, 416 environ=environ, 417 blotter=blotter, 418 custom_loader=custom_loader, 419 benchmark_spec=benchmark_spec, 420 )
File /opt/conda3/envs/zipline/lib/python3.10/site-packages/zipline/utils/run_algo.py:103, in _run(handle_data, initialize, before_trading_start, analyze, algofile, algotext, defines, data_frequency, capital_base, bundle, bundle_timestamp, start, end, output, trading_calendar, print_algo, metrics_set, local_namespace, environ, blotter, custom_loader, benchmark_spec) 100 trading_calendar = get_calendar("XNYS") 102 # date parameter validation --> 103 if trading_calendar.sessions_distance(start, end) < 1: 104 raise _RunAlgoError( 105 "There are no trading days between %s and %s" 106 % ( (...) 109 ), 110 ) 112 benchmark_sid, benchmark_returns = benchmark_spec.resolve( 113 asset_finder=bundle_data.asset_finder, 114 start_date=start, 115 end_date=end, 116 )
File /opt/conda3/envs/zipline/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2275, in ExchangeCalendar.sessions_distance(self, start, end, _parse) 2258 def sessions_distance(self, start: Date, end: Date, _parse: bool = True) -> int: 2259 """Return the number of sessions in a range. 2260 2261 Parameters (...) 2273
endthen return will be negated. 2274 """ -> 2275 start, end = self._parse_start_end_dates(start, end, _parse) 2276 negate = end < start 2277 if negate:File /opt/conda3/envs/zipline/lib/python3.10/site-packages/exchange_calendars/exchange_calendar.py:2172, in ExchangeCalendar._parse_start_end_dates(self, start, end, _parse) 2170 if not _parse: 2171 return start, end -> 2172 return parse_date(start, "start", self), parse_date(end, "end", self)
File /opt/conda3/envs/zipline/lib/python3.10/site-packages/exchange_calendars/calendar_helpers.py:378, in parse_date(date, param_name, calendar, raise_oob) 375 ts = parse_timestamp(date, param_name, raise_oob=False, side="left", utc=False) 377 if ts.tz is not None: --> 378 raise ValueError( 379 f"Parameter
{param_name}received with timezone defined as '{ts.tz.zone}'" 380 f" although a Date must be timezone naive." 381 ) 383 if not ts == ts.normalize(): 384 raise ValueError( 385 f"Parameter{param_name}parsed as '{ts}' although a Date must have" 386 f" a time component of 00:00." 387 )ValueError: Parameter
startreceived with timezone defined as 'UTC' although a Date must be timezone naive.