Comments (2)
ranaroussi
commented on May 18, 2024
I know what the problem is probably is. I'll release a fix tomorrow.
Thanks for catching that :)
On 9 Nov 2016, at 22:17, jkleint [email protected] wrote:
I modified the example strategy to use 1S resolution bars with AAPL, plus
print ticks. It runs for one minute printing ticks, then crashes trying to
handle a bar.
#!/usr/bin/env python
import sys
from qtpylib.algo import Algo
class DumbAlgo(Algo):
def on_start(self):
print('start!')
def on_tick(self, instrument):
print('tick!', instrument.get_tick())
def on_bar(self, instrument):
print('bar!', instrument.get_bar())
if name == "main":
# initialize the algo
strategy = DumbAlgo(
instruments = [ "AAPL" ],
resolution = "1S"
)
# run the algo
strategy.run()
$ python strategy.py
start!
tick! {'bid': 110.63, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:12.370000'), 'last': 110.63, 'lastsize': 2, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:12.620000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:13.372000'), 'last': 110.64, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:14.124000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 6, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:15.374000'), 'last': 110.61, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:16.375000'), 'last': 110.62, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:16.628000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:16.960000'), 'last': 110.62, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.62, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:17.126000'), 'last': 110.62, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.64, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:18.380000'), 'last': 110.62, 'lastsize': 2, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:19.379000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 11, 'datetime': Timestamp('2016-11-09
20:01:19.629000'), 'last': 110.63, 'lastsize': 5, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 11, 'datetime': Timestamp('2016-11-09
20:01:19.881000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:21.381000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:22.883000'), 'last': 110.65, 'lastsize': 3, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:23.133000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:23.884000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:01:24.387000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:26.138000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:26.638000'), 'last': 110.63, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.63, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:26.889000'), 'last': 110.65, 'lastsize': 5, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.65, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:29.642000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:29.893000'), 'last': 110.64, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:31.645000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:32.647000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:32.896000'), 'last': 110.64, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:33.647000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.64, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:34.648000'), 'last': 110.64, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 4, 'asset_class': 'STK', 'ask':
110.66, 'opt_price': nan}
tick! {'bid': 110.65, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:35.650000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.67, 'opt_price': nan}
tick! {'bid': 110.65, 'bidsize': 9, 'datetime': Timestamp('2016-11-09
20:01:36.651000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.67, 'opt_price': nan}
tick! {'bid': 110.65, 'bidsize': 9, 'datetime': Timestamp('2016-11-09
20:01:38.653000'), 'last': 110.65, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 5, 'asset_class': 'STK', 'ask':
110.67, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 2, 'datetime': Timestamp('2016-11-09
20:01:39.404000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 2, 'datetime': Timestamp('2016-11-09
20:01:39.655000'), 'last': 110.67, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 2, 'datetime': Timestamp('2016-11-09
20:01:41.157000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 2, 'datetime': Timestamp('2016-11-09
20:01:41.658000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.65, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:42.658000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 8, 'asset_class': 'STK', 'ask':
110.67, 'opt_price': nan}
tick! {'bid': 110.65, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:43.909000'), 'last': 110.69, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 8, 'asset_class': 'STK', 'ask':
110.67, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:45.411000'), 'last': 110.68, 'lastsize': 3, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:47.414000'), 'last': 110.68, 'lastsize': 2, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 1, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:48.416000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 12, 'datetime': Timestamp('2016-11-09
20:01:49.167000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.68, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:51.420000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.69, 'opt_price': nan}
tick! {'bid': 110.68, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:52.171000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 10, 'asset_class': 'STK', 'ask':
110.69, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 4, 'datetime': Timestamp('2016-11-09
20:01:54.422000'), 'last': 110.66, 'lastsize': 2, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.69, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 8, 'datetime': Timestamp('2016-11-09
20:01:57.927000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:58.427000'), 'last': 110.66, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 10, 'datetime': Timestamp('2016-11-09
20:01:59.428000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
tick! {'bid': 110.66, 'bidsize': 5, 'datetime': Timestamp('2016-11-09
20:02:02.183000'), 'last': 110.68, 'lastsize': 1, 'symbol': 'AAPL',
'symbol_group': 'AAPL', 'asksize': 2, 'asset_class': 'STK', 'ask':
110.68, 'opt_price': nan}
data asset_class close high low
open symbol
datetime
2016-11-09 20:01:00+00:00 STK 110.68 110.69 110.55 110.62 AAPL
symbol_group volume opt_price opt_underlying \
datetime
2016-11-09 20:01:00+00:00 AAPL 79.0 NaN NaN
opt_dividend opt_volume opt_iv opt_oi \
datetime
2016-11-09 20:01:00+00:00 NaN NaN NaN NaN
opt_delta opt_gamma opt_vega opt_theta
datetime
2016-11-09 20:01:00+00:00 NaN NaN NaN NaN
Traceback (most recent call last):
File "/python/lib/python3.4/site-packages/pandas/indexes/base.py",
line 2134, in get_loc
return self._engine.get_loc(key)
File "pandas/index.pyx", line 139, in
pandas.index.IndexEngine.get_loc (pandas/index.c:4443)
File "pandas/index.pyx", line 161, in
pandas.index.IndexEngine.get_loc (pandas/index.c:4289)
File "pandas/src/hashtable_class_helper.pxi", line 732, in
pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:13733)
File "pandas/src/hashtable_class_helper.pxi", line 740, in
pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:13687)
KeyError: 'last'
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
File "strategy.py", line 35, in
strategy.run()
File "/python/src/qtpylib/qtpylib/algo.py", line 222, in run
book_handler = self._book_handler
File "/python/src/qtpylib/qtpylib/blotter.py", line 943, in listen
bar_handler(df)
File "/python/src/qtpylib/qtpylib/algo.py", line 556, in _bar_handler
self.bars = self._update_window(self.bars, bar,
window=self.bar_window, resolution=self.resolution)
File "/python/src/qtpylib/qtpylib/algo.py", line 583, in _update_window
df = tools.resample(df, resolution=resolution, tz=tz)
File "/python/src/qtpylib/qtpylib/tools.py", line 305, in resample
ohlc = data[data['symbol']==sym]['last'].resample(resolution).ohlc()
File "/python/lib/python3.4/site-packages/pandas/core/frame.py",
line 2059, in getitem
return self._getitem_column(key)
File "/python/lib/python3.4/site-packages/pandas/core/frame.py",
line 2066, in _getitem_column
return self._get_item_cache(key)
File "/python/lib/python3.4/site-packages/pandas/core/generic.py",
line 1386, in _get_item_cache
values = self._data.get(item)
File "/python/lib/python3.4/site-packages/pandas/core/internals.py",
line 3541, in get
loc = self.items.get_loc(item)
File "/python/lib/python3.4/site-packages/pandas/indexes/base.py",
line 2136, in get_loc
return self._engine.get_loc(self._maybe_cast_indexer(key))
File "pandas/index.pyx", line 139, in
pandas.index.IndexEngine.get_loc (pandas/index.c:4443)
File "pandas/index.pyx", line 161, in
pandas.index.IndexEngine.get_loc (pandas/index.c:4289)
File "pandas/src/hashtable_class_helper.pxi", line 732, in
pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:13733)
File "pandas/src/hashtable_class_helper.pxi", line 740, in
pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:13687)
KeyError: 'last'
2016-11-09 12:02:02,546 [INFO]: Algo stopped...
2016-11-09 12:02:02,546 [INFO]: Disconnecting...
2016-11-09 12:02:02,546 [INFO]: Disconnecting from MySQL...
The crash seems to be in qtpylib/tools.py, trying to use a non-existent
'last' column of a dataframe.
ohlc = data[data['symbol']==sym]['last'].resample(resolution).ohlc()
(I modified tools.py to print data[data['symbol']==sym] before the crash)
Not sure about the missing minute of data.
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from qtpylib.
ranaroussi
commented on May 18, 2024
Fixed in 1.5.24
from qtpylib.
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from qtpylib.