'Time Period' is not in List

Hey there,

I was running yesterday a simulation algo on zipline, and today I'm trying to run the same algorithm, and I'm getting the following:

~\Anaconda3\lib\site-packages\zipline\utils\run_algo.py in run_algorithm(start, end, initialize, capital_base, handle_data, before_trading_start, analyze, data_frequency, data, bundle, bundle_timestamp, trading_calendar, metrics_set, default_extension, extensions, strict_extensions, environ, blotter) 428 local_namespace=False,
429 environ=environ,
--> 430 blotter=blotter,
431 )

~\Anaconda3\lib\site-packages\zipline\utils\run_algo.py in _run(handle_data, initialize, before_trading_start, analyze, algofile, algotext, defines, data_frequency, capital_base, data, bundle, bundle_timestamp, start, end, output, trading_calendar, print_algo, metrics_set, local_namespace, environ, blotter) 186 trading_calendar=trading_calendar,
187 trading_day=trading_calendar.day,
--> 188 trading_days=trading_calendar.schedule[start:end].index,
189 )
190 choose_loader = None

~\Anaconda3\lib\site-packages\zipline\finance\trading.py in init(self, load, bm_symbol, exchange_tz, trading_calendar, trading_day, trading_days, asset_db_path, future_chain_predicates, environ) 101 trading_day,
102 trading_days,
--> 103 self.bm_symbol,
104 )
105

~\Anaconda3\lib\site-packages\zipline\data\loader.py in load_market_data(trading_day, trading_days, bm_symbol, environ) 154 last_date,
155 now,
--> 156 environ,
157 )
158

~\Anaconda3\lib\site-packages\zipline\data\loader.py in ensure_treasury_data(symbol, first_date, last_date, now, environ) 278
279 try:
--> 280 data = loader_module.get_treasury_data(first_date, last_date)
281 data.to_csv(get_data_filepath(filename, environ))
282 except (OSError, IOError, HTTPError):

~\Anaconda3\lib\site-packages\zipline\data\treasuries.py in get_treasury_data(start_date, end_date) 74 parse_dates=['Time Period'],
75 na_values=['ND'], # Presumably this stands for "No Data".
---> 76 index_col=0,
77 ).loc[
78 start_date:end_date

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in parser_f(filepath_or_buffer, sep, delimiter, header, names, index_col, usecols, squeeze, prefix, mangle_dupe_cols, dtype, engine, converters, true_values, false_values, skipinitialspace, skiprows, nrows, na_values, keep_default_na, na_filter, verbose, skip_blank_lines, parse_dates, infer_datetime_format, keep_date_col, date_parser, dayfirst, iterator, chunksize, compression, thousands, decimal, lineterminator, quotechar, quoting, escapechar, comment, encoding, dialect, tupleize_cols, error_bad_lines, warn_bad_lines, skipfooter, skip_footer, doublequote, delim_whitespace, as_recarray, compact_ints, use_unsigned, low_memory, buffer_lines, memory_map, float_precision) 707 skip_blank_lines=skip_blank_lines)
708
--> 709 return read(filepath_or_buffer, kwds)
710
711 parser_f.name_ = name

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in _read(filepath_or_buffer, kwds) 447
448 # Create the parser.
--> 449 parser = TextFileReader(filepath_or_buffer, **kwds)
450
451 if chunksize or iterator:

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in init(self, f, engine, **kwds) 816 self.options['has_index_names'] = kwds['has_index_names']
817
--> 818 self._make_engine(self.engine)
819
820 def close(self):

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in _make_engine(self, engine) 1047 def _make_engine(self, engine='c'):
1048 if engine == 'c':
-> 1049 self._engine = CParserWrapper(self.f, **self.options)
1050 else:
1051 if engine == 'python':

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in init(self, src, **kwds) 1747 raise ValueError("Usecols do not match names.")
1748
-> 1749 self._set_noconvert_columns()
1750
1751 self.orig_names = self.names

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in _set_noconvert_columns(self) 1815 _set(k)
1816 else:
-> 1817 _set(val)
1818
1819 elif isinstance(self.parse_dates, dict):

~\Anaconda3\lib\site-packages\pandas\io\parsers.py in _set(x) 1805
1806 if not is_integer(x):
-> 1807 x = names.index(x)
1808
1809 self._reader.set_noconvert(x)

ValueError: 'Time Period' is not in list

How can we fix it ?
Many Thanks!