Hi
I am using ingest function to create a futures bundle, read from csv files that I extracted from my own DB (with simple format with columns like OHLC, expiration_date, symbol,etc) and get this below error
File “D:\dev\Anaconda3\envs\ziprl\Lib\site-packages\zipline\data\bundles\random_futures_data.py”, line 250, in
main()
File “D:\dev\Anaconda3\envs\ziprl\Lib\site-packages\zipline\data\bundles\random_futures_data.py”, line 248, in main
bundles.ingest(‘random_futures_data’)
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bundles\core.py”, line 445, in ingest
bundle.ingest(
File “D:\dev\Anaconda3\envs\ziprl\Lib\site-packages\zipline\data\bundles\random_futures_data.py”, line 70, in random_futures_data
daily_bar_writer.write(
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 209, in write
return self._write_internal(it, assets)
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 269, in _write_internal
for asset_id, table in iterator:
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 202, in
((sid, self.to_ctable(df, invalid_data_behavior)) for sid, df in data),
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 363, in to_ctable
# we already have a ctable so do nothing
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 366, in to_ctable
winsorise_uint32(raw_data, invalid_data_behavior, “volume”, *OHLC)
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 77, in winsorise_uint32
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\zipline\data\bcolz_daily_bars.py”, line 123, in winsorise_uint32
df[mask] = 0
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\pandas\core\frame.py”, line 3158, in setitem
self._setitem_frame(key, value)
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\pandas\core\frame.py”, line 3213, in _setitem_frame
self._check_inplace_setting(value)
File “D:\dev\Anaconda3\envs\ziprl\lib\site-packages\pandas\core\generic.py”, line 5580, in _check_inplace_setting
raise TypeError(
TypeError: Cannot do inplace boolean setting on mixed-types with a non np.nan value
==============
So, it’s clearly a Pandas (btw I’m using 1.2.3) error. I’m thinking of 2 approaches:
-
Either fixing pandas handling with TypeError. One possible idea is to apply stack/unstack (like this Stackoverflow suggestion, but I’m not quite sure where does this data handling is applied. Plus, I dont want to change pandas behavior as it might impact across the entire env
-
Another issue is with data itself (which I attach the raw csv here where it throw the error), which it looks clean to me with reasonable OHLC levels (no outliers/etc).
,open,high,low,close,volume,openinterest,expiration_date,root_symbol,symbol
2015-12-14,32.5238,32.5238,32.5238,32.5238,0.0,0.0,2018-01-12,BO,BOF18
2015-12-15,33.0995,33.0995,33.0995,33.0995,0.0,0.0,2018-01-12,BO,BOF18
2015-12-16,32.6493,32.6493,32.6493,32.6493,0.0,0.0,2018-01-12,BO,BOF18
2015-12-17,33.3056,33.3056,33.3056,33.3056,0.0,0.0,2018-01-12,BO,BOF18
Any ideas how I can fix this? Thanks