tkp-archive / pyex-zipline Goto Github PK

The library works fine with day level trading but it doesn't work with minute level trading. I tried modifying the time granularity from '5y' to '1d' and here is the error when executing your ipynb:

KeyError Traceback (most recent call last)
in ()
1 start = datetime(2014, 12, 1, 0, 0, 0, 0, pytz.utc)
2 end = datetime(2017, 6, 1, 0, 0, 0, 0, pytz.utc)
----> 3 data = load_from_iex(['aapl'], start, end)

~/workspace/pyEX-zipline/pyEXzipline/ingest.py in load_from_iex(symbols, start, end)
18 data = {}
19 for symbol in symbols:
---> 20 data[symbol] = _get_data(symbol, start, end)
21
22 panel = pd.Panel(data)

~/workspace/pyEX-zipline/pyEXzipline/ingest.py in _get_data(symbol, start, end)
5 def _get_data(symbol, start, end):
6 df = chartDF(symbol, '1d')
----> 7 df = df[['open', 'close', 'high', 'low', 'volume']].set_index(df['date'])
8 df.index = pd.to_datetime(df.index)
9 if start:

/usr/local/lib/python3.6/site-packages/pandas/core/frame.py in getitem(self, key)
1989 if isinstance(key, (Series, np.ndarray, Index, list)):
1990 # either boolean or fancy integer index
-> 1991 return self._getitem_array(key)
1992 elif isinstance(key, DataFrame):
1993 return self._getitem_frame(key)

/usr/local/lib/python3.6/site-packages/pandas/core/frame.py in _getitem_array(self, key)
2033 return self.take(indexer, axis=0, convert=False)
2034 else:
-> 2035 indexer = self.ix._convert_to_indexer(key, axis=1)
2036 return self.take(indexer, axis=1, convert=True)
2037

/usr/local/lib/python3.6/site-packages/pandas/core/indexing.py in _convert_to_indexer(self, obj, axis, is_setter)
1212 mask = check == -1
1213 if mask.any():
-> 1214 raise KeyError('%s not in index' % objarr[mask])
1215
1216 return _values_from_object(indexer)

KeyError: "['open' 'close'] not in index"