Python：zipline交易日历/历史的问题 [英] Python: issue with zipline trading calendar/history

问题描述

我有一个不稳定/奇怪的结果与Zipline交易日历。在一台机器上使用Python 3.4.2x64和Zipline 0.7.42我可以运行以下代码：

I have an unstable/weird result with Zipline trading calendar. On one machine with Python 3.4.2x64 and Zipline 0.7.42 I can run the following code:

trading.environment = TradingEnvironment(bm_symbol='^FTSE', exchange_tz='Europe/London')
    Holidays = list(set(tradingcalendar_lse.non_trading_days)-set(data.index))
    trading.environment.trading_days = pd.date_range(start=trading.environment.trading_days[0],
                                             end=trading.environment.trading_days[-1],
                                             freq=pd.tseries.offsets.CDay(holidays=Holidays))
    freq = trading.environment.trading_days.freq
    trading.environment.trading_days =  trading.environment.trading_days + data.index
    trading.environment.trading_days.freq = freq
    trading.environment.open_and_closes = pd.DataFrame(index=trading.environment.trading_days +
                                                             data.index,columns=["market_open","market_close"])
    trading.environment.open_and_closes.market_open = (trading.environment.open_and_closes.index +
                                                       pd.to_timedelta(60*7,unit="T")).to_pydatetime()
    trading.environment.open_and_closes.market_close = (trading.environment.open_and_closes.index +
                                                        pd.to_timedelta(60*15+30,unit="T")).to_pydatetime()

它源自： zipline回测试使用非美国（欧洲）日历中的数据

这可能是一个多余的，但让我有一个历史与我的所有数据日期（在一台机器上）。

It is probably a little redundant but enables me to have an history with all my data dates (on one machine).

我试图在另一台计算机上运行相同的代码应该有相同的配置，并得到错误：

I am trying to run the same code on another computer which should have the same configuration and get the error:

AttributeError: can't set attribute

1）可能是我的配置中的区别，导致这个错误？

1) Would anyone have an idea of what could be the difference in my configs that leads to this error?

2）任何人都有一个更可靠的解决方案来调整日历，使所有我的日期在

2) Would anyone have a more robust solution to tweak the calendar so that all my dates are in the history at the end?

非常感谢。

推荐答案

多一点时间在这。 trading.environment.trading_days实际上是一个DatetimeIndex，应该是不可变的，所以试图设置freq不是一个好的方法。 DatetimeIndex有更适合做我想要的方法。这就是说，我不能用方法...

I have spent a little more time on this. trading.environment.trading_days is actually a DatetimeIndex which should be immutable so trying to set freq is not a nice approach. DatetimeIndex have methods that are more appropriate to do what I want. That being said I can't reproduce my initial output with the methods...

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