If I run this query in research for the list of 61 continuous contracts which are still traded (72-11 not traded anymore) I can only get data up to '2017-07-01
but according to the graphs it should be possible to go back at least till 2010(according to the graphs here https://www.quantopian.com/posts/continuous-future-data-lifespans). In any case how can the error be avoided? I can use dropna to clean the data after the data is returned but at the moment the error prevents to do anything. Using dateI=2017-06-01 i get the error below:
dateI='2017-07-01'
dateF='2018-03-05'
dataFC= history(
symbol_list[0:61],
fields='close_price',
frequency='daily',
start=dateI,
end=dateF,
handle_missing ='ignore'
)
NoDataForSidTraceback (most recent call last)
in ()
22 frequency='daily',
23 start=dateI,
---> 24 end=dateF
25 )
26
/build/src/qexec_repo/qexec/research/api.py in history(symbols, fields, start, end, frequency, symbol_reference_date, handle_missing, start_offset)
537 findata_dir=findata_dir,
538 user_id=user_id,
--> 539 start_offset=start_offset,
540 )
541
/build/src/qexec_repo/qexec/research/_api.pyc in inner_history(symbols, fields, frequency, start, end, symbol_reference_date, handle_missing, asset_data_dir, findata_dir, user_id, start_offset)
691 findata_dir=findata_dir,
692 user_id=user_id,
--> 693 start_offset=start_offset,
694 )
695
/build/src/qexec_repo/qexec/research/_api.pyc in inner_get_pricing(symbols, start_date, end_date, symbol_reference_date, frequency, fields, handle_missing, asset_data_dir, findata_dir, user_id, start_offset)
555
556 asset_specific_data = _get_pricing_internal(
--> 557 data_portal, assets, pinched_start, pinched_end, frequency, fields,
558 )
559
/build/src/qexec_repo/qexec/research/trades.pyc in _get_pricing_internal(data_portal, assets, start_date, end_date, frequency, fields)
109 start_date=ensure_timestamp(start_date),
110 end_date=ensure_timestamp(end_date),
--> 111 data_frequency=frequency,
112 )
113
/build/src/qexec_repo/qexec/research/trades.pyc in ohlcv_panel_from_source(data_portal, sids, start_date, end_date, data_frequency, fields)
183 freq,
184 _field,
--> 185 data_frequency,
186 )
187 # For date_indexes which extend past the last available dt, reindex
/build/src/qexec_repo/zipline_repo/zipline/data/data_portal.pyc in get_history_window(self, assets, end_dt, bar_count, frequency, field, data_frequency, ffill)
958 else:
959 df = self._get_history_daily_window(assets, end_dt, bar_count,
--> 960 field, data_frequency)
961 elif frequency == "1m":
962 if field == "price":
/build/src/qexec_repo/zipline_repo/zipline/data/data_portal.pyc in _get_history_daily_window(self, assets, end_dt, bar_count, field_to_use, data_frequency)
802
803 data = self._get_history_daily_window_data(
--> 804 assets, days_for_window, end_dt, field_to_use, data_frequency
805 )
806 return pd.DataFrame(
/build/src/qexec_repo/zipline_repo/zipline/data/data_portal.pyc in _get_history_daily_window_data(self, assets, days_for_window, end_dt, field_to_use, data_frequency)
825 field_to_use,
826 days_for_window,
--> 827 extra_slot=False
828 )
829 else:
/build/src/qexec_repo/zipline_repo/zipline/data/data_portal.pyc in _get_daily_window_data(self, assets, field, days_in_window, extra_slot)
1108 days_in_window,
1109 field,
-> 1110 extra_slot)
1111 if extra_slot:
1112 return_array[:len(return_array) - 1, :] = data
/build/src/qexec_repo/zipline_repo/zipline/data/history_loader.pyc in history(self, assets, dts, field, is_perspective_after)
548 dts,
549 field,
--> 550 is_perspective_after)
551 end_ix = self._calendar.searchsorted(dts[-1])
552
/build/src/qexec_repo/zipline_repo/zipline/data/history_loader.pyc in _ensure_sliding_windows(self, assets, dts, field, is_perspective_after)
430 adj_dts = prefetch_dts
431 prefetch_len = len(prefetch_dts)
--> 432 array = self._array(prefetch_dts, needed_assets, field)
433
434 if field == 'sid':
/build/src/qexec_repo/zipline_repo/zipline/data/history_loader.pyc in _array(self, dts, assets, field)
572 dts[0],
573 dts[-1],
--> 574 assets,
575 )[0]
576
/build/src/qexec_repo/zipline_repo/zipline/data/dispatch_bar_reader.pyc in load_raw_arrays(self, fields, start_dt, end_dt, sids)
118 end_dt,
119 sid_groups[t])
--> 120 for t in asset_types if sid_groups[t]}
121
122 results = []
/build/src/qexec_repo/zipline_repo/zipline/data/dispatch_bar_reader.pyc in ((t,))
118 end_dt,
119 sid_groups[t])
--> 120 for t in asset_types if sid_groups[t]}
121
122 results = []
/build/src/qexec_repo/zipline_repo/zipline/data/continuous_future_reader.pyc in load_raw_arrays(self, columns, start_date, end_date, assets)
37 start_date,
38 end_date,
---> 39 asset.offset
40 )
41
/build/src/qexec_repo/zipline_repo/zipline/assets/roll_finder.pyc in get_rolls(self, root_symbol, start, end, offset)
124 if prev < prev_c.contract.auto_close_date:
125 break
--> 126 if back != self._active_contract(oc, front, back, prev):
127 # TODO: Instead of listing each contract with its roll date
128 # as tuples, create a series which maps every day to the
/build/src/qexec_repo/zipline_repo/zipline/assets/roll_finder.pyc in _active_contract(self, oc, front, back, dt)
214 return front
215
--> 216 front_vol = get_value(front, prev, 'volume')
217 back_vol = get_value(back, prev, 'volume')
218 if back_vol > front_vol:
/build/src/qexec_repo/zipline_repo/zipline/data/resample.pyc in get_value(self, sid, session, colname)
626 # This was developed to complete interface, but has not been tuned
627 # for real world use.
--> 628 return self._get_resampled([colname], session, session, [sid])[0][0][0]
629
630 @lazyval
/build/src/qexec_repo/zipline_repo/zipline/data/resample.pyc in _get_resampled(self, columns, start_session, end_session, assets)
577 range_open,
578 range_close,
--> 579 assets,
580 )
581
/build/src/qexec_repo/zipline_repo/zipline/data/minute_bars.pyc in load_raw_arrays(self, fields, start_dt, end_dt, sids)
1272
1273 for i, sid in enumerate(sids):
-> 1274 carray = self._open_minute_file(field, sid)
1275 values = carray[start_idx:end_idx + 1]
1276 if indices_to_exclude is not None:
/build/src/qexec_repo/zipline_repo/zipline/data/minute_bars.pyc in _open_minute_file(self, field, sid)
1080 )
1081 except IOError:
-> 1082 raise NoDataForSid('No minute data for sid {}.'.format(sid))
1083
1084 return carray
NoDataForSid: No minute data for sid 1072201706.
