Minute mode working for handledata but not returns or trades

[Derek Tishler]

Hey everyone. I am working to get third party, intraday bar data into my zipline sims locally. 

I have used the cache trick to get my minute mode bar data working just fine in handle_data() and it is firing every minute. However, orders are only being placed at end of day, as well as the recording for my returns. I read here in Groups that I probably needed to override the daily benchmark data like I did the yahoo cache, but nothing I do appears to work when overriding the benchmark cache and an online version is fetched.

I have posted my script here, which again is working in minute mode as far as handle data is concerned, but is not trading or recording results at the minute level.

I am working to make this a public solution as every thread on the topic has faded away with no answer since 2014:

https://github.com/DMTSource/load-minute-data-in-local-zipline

[Derek Tishler]

I am still having this problem where I cannot get zipline to work in minute mode on my local system. Any help would be much appreciated.

I noticed that I was accidently using 0.7.0 so I updated to 0.8.3, made some adjustments to set minute mode and emission_rate to minute using 'create_simulation_parameters'. I am still however seeing the same behavior where my handle_data functions is being called for every minute in my data, But the return array is still running in daily mode somehow. My work to swap out the Benchmark file in the same way I successfully trick the minute mode data to load in place of Yahoo does not seem to work. My example, with code and output, can be found here:

https://github.com/DMTSource/load-minute-data-in-local-zipline

[Jason Haury]

Hi Derek,

Are you still having problems with minut backtesting?  I'm starting up wtih 0.8.4 using minute data and may be looking forward to the same problems you're having.  If so, i'd like to help solve this.

[Derek Tishler]

I never found a solution before moving away from zipline/quantopian in order to implement deep learning systems at lower frequencies.

I was shocked that I was unable to get a simple answer on how to set up a dataframe to match what zipline requires. You need an item based dataframe of the kind they use, very simple to figure out but I ended up jumping ship for many other reasons before getting it to work.

I also deleted my example code as it used kibot which turned out to be a bad service. see: http://quant.caltech.edu/historical-stock-data.html

There needs to just be a simple example provided as its a trivial issue. Can anyone show us the few lines of pandas code this requires? This would make zipline much more accessible for people not using the built in daily data.

[Vishal Gandhi]

Hi,
This is a different issue, but I think its worth mentioning it here.  Hopefully, I'll get some advise.
I am experiencing problem with 'zipline ingest'. In my case, it does download quantopian-quandl , but it doesn't do anything with yahoo or at-least doesn't show any message on the screen.  I've added following code to my extension.py file:

symbols = (
        'AMD',
        'AEG',
        'ARC',
)
from zipline.data.bundles import yahoo_equities, register
register('my_yahoo_bundle', yahoo_equities(symbols,'2016-07-21','2016-07-29'))

I see progress-bar for quantopian-quandl only.  No errors or warnings.  After doing some troubel-shooting, I think ingest function for the yahoo bundle (yahoo.py) is not being called/executed.  Any thoughts?

[Nathan Wolfe]

Hi Vishal,

Running 'zipline ingest' itself downloads quantopian-quandl only by default. To download a specific bundle, specify the name using the -b flag. For instance:

zipline ingest -b my_yahoo_bundle

Best,

Nathan

[quant_hunt]

Hi Derek,

Be careful. The reviews at http://quant.caltech.edu/historical-stock-data.html are fake. The site is a scam piggybacking on CalTech's reputation. As reported on other forums, the founders of Quantquote also maintain the quant subdomain at Caltech. Can someone say conflict of interest?

Run a google search for both Quantquote and Caltech, and you will find two common denominators: Jason Stockman (CTO) and Andy Yen (Founder).

And the funny thing, according to Jason Stockman's old resume, he admits designing both web sites. http://newsalloy.com/jasonstockman/jasonstockman.com

On Saturday, June 18, 2016 at 9:00:58 AM UTC-4, Derek Tishler wrote: