How can I ingest 1-minute E-mini S&P custom data?

ngterry · September 21, 2023, 2:06am

I am using Windows 10, Miniforge, conda-forge channel, conda environment to install Zipline-reloaded.

I got the following errors:

(env_zipline) D:\Users\Terence\ES_Trading\custom_bundles\minute>zipline ingest -b custom-csvdir-bundle
Traceback (most recent call last):
  File "D:\Users\Terence\miniforge3\envs\env_zipline\Scripts\zipline-script.py", line 10, in <module>
    sys.exit(main())
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\click\core.py", line 1157, in __call__
    return self.main(*args, **kwargs)
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\click\core.py", line 1078, in main
    rv = self.invoke(ctx)
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\click\core.py", line 1688, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\click\core.py", line 1434, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\click\core.py", line 783, in invoke
    return __callback(*args, **kwargs)
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\zipline\__main__.py", line 397, in ingest
    bundles_module.ingest(
  File "D:\Users\Terence\miniforge3\envs\env_zipline\lib\site-packages\zipline\data\bundles\core.py", line 380, in ingest
    if start_session is None or start_session < calendar.first_session:
  File "timestamps.pyx", line 388, in pandas._libs.tslibs.timestamps._Timestamp.__richcmp__
TypeError: Cannot compare tz-naive and tz-aware timestamps

My extension.py is saved in C:/Users/Terence/.zipline :

from zipline.data.bundles import register
from zipline.data.bundles.csvdir import csvdir_equities

start_session = pd.Timestamp('2021-08-03',).tz_localize('US/Eastern')
end_session = pd.Timestamp('2023-08-04',).tz_localize('US/Eastern')

register(
    'custom-csvdir-bundle',
    csvdir_equities(
        ['minute'],
        "D://Users//Terence//ES_Trading//custom_bundles//minute//e_mini_sp_data.csv",
        ),
        calendar_name='CMES',
        start_session=start_session,
        end_session=end_session
)

My data:

PS D:\Users\Terence\ES_Trading\custom_bundles\minute> Get-Content e_mini_sp_data.csv -TotalCount 10
ticker,date,time,open,high,low,close
@ES,2021-08-03,22:01:00,4513.75,4515.75,4513.75,4515.0
@ES,2021-08-03,22:02:00,4515.25,4515.5,4514.75,4515.0
@ES,2021-08-03,22:03:00,4515.0,4515.75,4515.0,4515.75
@ES,2021-08-03,22:04:00,4515.75,4516.0,4515.5,4515.75
@ES,2021-08-03,22:05:00,4516.0,4516.25,4515.75,4515.75
@ES,2021-08-03,22:06:00,4515.75,4516.0,4515.5,4516.0
@ES,2021-08-03,22:07:00,4515.75,4516.0,4515.25,4515.5

Regards,
Terence