I just noticed this was changed in the security object, and the change was not backwards compatible. I noticed this in Research, but I presume it changed in the backtester/live-trader as well. This could have broken algos!
Hi Simon,
I can reproduce this...but don't know how to fix it. There was a change to zipline a few weeks ago to enable futures, that introduced the asset types. I thought it was backwards compatible, but clearly there is some issue. I'm not sure why it just started to break now since the code was merged a couple of weeks ago.
We'll figure out what needs to change in the code and post the update....unfortunately it might not be until after the holiday weekend.
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
It's not a deal breaker for me, just a heads up. Thanks for looking into it! Out of curiosity, if algos had been using this method, would they wake up one morning and throw an exception, or do they keep running in a sandbox of the system version they were started with?
Hey Simon - we've found the bug. The root of the issue was that, in Research, symbols() calls are returning Asset objects, rather than the subclass Equity as desired. Equity objects have properties for security_name, security_start_date, and security_end_date, and are, therefore, compatible with old code.
This issue only affects Research, as the Equity objects are being rendered properly in backtests. Live trading algos are unaffected, as the Zipline changes are backwards compatible.
We will have a fix out ASAP. Thank you for bringing this to our attention!
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
This issue should be resolved, but may require you to make changes to your code.
The issue happened because the Research environment was updated to use the newest version of the Zipline backtesting engine. This included a few changes.
- The Zipline order methods now require Asset/Equity/Future objects to be passed as arguments, rather than simply an integer SID. This change is in preparation for futures trading support and performance.
If your algo is failing and raising a "Passing non-Asset argument to 'order()' is not supported." error, try wrapping your argument with the sid() method. An example of this can be found in the 'Tutorial (Advanced) - Markowitz Portfolio Optimization' notebook.
E.g.:
from zipline.api import (order, sid)
def handle_data(context, data):
order(24, 100) --> order(sid(24), 100)
- History DataFrames are no longer indexed on the full Asset/Equity/Future objects but are, instead, indexed on only the integer sid of the Asset. This improves backtest performance, as DataFrames perform better when indexed on integers. However, this does make the history() results a bit harder to read. We are working to make this easier.
If you have issues with an algo in research, please reach out to us at [email protected] so that we can help get it working again.
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.