AssertionError: not allocated in all_benchmark_returns. Calendar seems to mismatch with benchmark.

[Laur Läänemets]

I was successfully running zipline manually until it just stopped working for some reason. I have run out of ideas on why. Only thing I changed was updating Matplotlib, but can't see how that could affect it. I am getting an AssertionError: Date 2000-01-03 00:00:00+00:00 not allocated in  all_benchmark_returns. Calendar seems to mismatch with benchmark. Please help

Anyway, the code I'm running is the following:

import pytz

from datetime import datetime

from zipline.algorithm import TradingAlgorithm

from zipline.utils.factory import load_bars_from_yahoo

from zipline.api import order, record

# Load data manually from Yahoo! finance

start = datetime(2000, 1, 1, 0, 0, 0, 0, pytz.utc)

end = datetime(2012, 1, 1, 0, 0, 0, 0, pytz.utc)

data = load_bars_from_yahoo(stocks=['AAPL'], start=start,

                            end=end)

# Define algorithm

def initialize(context):

    pass

def handle_data(context, data):

    order(symbol('AAPL'), 10)

    record(AAPL=data[symbol('AAPL')].price)

# Create algorithm object passing in initialize and

# handle_data functions

algo_obj = TradingAlgorithm(initialize=initialize, 

                            handle_data=handle_data)

# Run algorithm

perf_manual = algo_obj.run(data)

And the console outputs an error as follows:

AAPL

Traceback (most recent call last):

  File "C:\Users\...\Zipline_Environment\Z_ManualTest.py", line 28, in <module>

    perf_manual = algo_obj.run(data)

  File "C:\Python27\lib\site-packages\zipline-0.8.0rc1-py2.7.egg\zipline\algorithm.py", line 483, in run

    for perf in self.gen:

  File "C:\Python27\lib\site-packages\zipline-0.8.0rc1-py2.7.egg\zipline\gens\tradesimulation.py", line 123, in transform

    self.algo.perf_tracker.process_event(event)

  File "C:\Python27\lib\site-packages\zipline-0.8.0rc1-py2.7.egg\zipline\finance\performance\tracker.py", line 325, in process_event

    % midnight))

AssertionError: Date 2000-01-03 00:00:00+00:00 not allocated in  all_benchmark_returns. Calendar seems to mismatch with benchmark.

[del...@quantopian.com]

Hey Laur,

I think you're seeing a known bug with python-dateutils. I recently ran into this myself so I might be able to help you. What version of pandas are you running? My guess is 0.15.x. If that's true, then an incompatible version of python-dateutils was installed as a dependency during the pandas installation. Try this fix:

uninstall python-dateutil

reinstall python-dateutil with version 2.3

Let me know if this works for you.

Thanks,
Delaney

Engineer at Quantopian

[Laur Läänemets]

Hey Delaney,

Thanks for the advice. It indeed kind of worked. At first I installed python-dateutil 2.4.0. That gave me errors and then went to 2.3 which you suggested.

Now I'm getting this:

[2015-02-25 14:25] WARNING: Loader: No benchmark data found for date range.

start_date=2015-02-25 00:00:00+00:00, end_date=2015-02-25 14:25:16.943000, url=http://ichart.finance.yahoo.com/table.csv?s=%5EGSPC&a=1&b=25&c=2015&d=1&e=25&f=2015&g=d

But the simulation runs nevertheless and I am getting results that I used to. When I print out a csv file of the results, alpha and benchmark are still given despite the previous warning:

	algo_volatility	algorithm_period_return	alpha	benchmark_period_return	benchmark_volatility	beta	capital_used	ending_cash	ending_value	excess_return	gross_leverage	information	long_exposure	long_mavg	longs_count	max_drawdown	net_leverage
03/01/2000 21:00	0	0	-0.0658	-0.00954909	0	0	0	10000	0	-0.0658	0		0		0	0	0
04/01/2000 21:00	0	0	-0.0649	-0.04752765	0.323230122	0	0	10000	0	-0.0649	0		0		0	0	0
05/01/2000 21:00	0	0	-0.0662	-0.045696784	0.329321497	0	0	10000	0	-0.0662	0		0		0	0	0
06/01/2000 21:00	0	0	-0.0657	-0.044784754	0.29832581	0	0	10000	0	-0.0657	0		0		0	0	0
07/01/2000 21:00	0	0	-0.0652	-0.018907606	0.375301623	0	0	10000	0	-0.0652	0		0		0	0	0
10/01/2000 21:00	0	0	-0.0657	-0.007929216	0.34906984	0	0	10000	0	-0.0657	0		0		0	0	0
11/01/2000 21:00	0	0	-0.0667	-0.020888208	0.326609451	0	0	10000	0	-0.0667	0		0		0	0	0
12/01/2000 21:00	0	0	-0.0672	-0.025182916	0.302508006	0	0	10000	0	-0.0672	0		0		0	0	0
13/01/2000 21:00	0	0	-0.0663	-0.013319721	0.294168539	0	0	10000	0	-0.0663	0		0		0	0	0
14/01/2000 21:00	0	0	-0.0669	-0.002790539	0.283818116	0	0	10000	0	-0.0669	0		0		0	0	0
18/01/2000 21:00	0	0	-0.0675	-0.009603539	0.271155195	0	0	10000	0	-0.0675	0		0		0	0	0
19/01/2000 21:00	0	0	-0.0673	-0.009086269	0.25860137	0	0	10000	0	-0.0673	0		0		0	0	0
20/01/2000 21:00	0	0	-0.0679	-0.016117067	0.249218988	0	0	10000	0	-0.0679	0		0		0	0	0
21/01/2000 21:00	0	0	-0.0679	-0.018982474	0.239560633	0	0	10000	0	-0.0679	0		0		0	0	0
24/01/2000 21:00	0	0	-0.0669	-0.046091543	0.254900541	0	0	10000	0	-0.0669	0		0		0	0	0
25/01/2000 21:00	0	0	-0.067	-0.040306279	0.248882432	0	0	10000	0	-0.067	0		0		0	0	0
26/01/2000 21:00	0	0	-0.0669	-0.044349158	0.241074722	0	0	10000	0	-0.0669	0		0		0	0	0
27/01/2000 21:00	0	0	-0.0668	-0.048112983	0.233934079	0	0	10000	0	-0.0668	0		0		0	0	0

Thanks again. Literally spent the day yesterday trying to figure it out.

Regards,

Laur

[Thomas Wiecki]

This might now be due to your cached data being out of date. Can you try:

rm ~/.zipline/cache/* ~/.zipline/data/*

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