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Calendar hardcoded to US stock market #2434

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willianpaixao opened this issue Feb 27, 2019 · 5 comments · May be fixed by #2674
Open

Calendar hardcoded to US stock market #2434

willianpaixao opened this issue Feb 27, 2019 · 5 comments · May be fixed by #2674

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@willianpaixao
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Hi fellow maintainers,

I've been trying to ingest non-USA CSV bundles with Zipline, but it proved much harder than I calculated.
Turns out that there are some hardcoded variables that bind the process to only NYSE and UTC data.
Follow some lines I had to change in order to have a successful (without crashes) bundle ingestion:

zipline/zipline/data/bundles/csvdir.py

Line 161 in 05a6080

metadata['exchange'] = "CSVDIR"

zipline/zipline/data/bundles/csvdir.py

Line 227 in 05a6080

register_calendar_alias("CSVDIR", "NYSE")

When I tried to fix the values, I've got an error here:

File "zipline/data/bundles/csvdir.py", line 161, in csvdir_bundle      
    metadata['exchange'] = calendar_name                                                                                 

NameError: name 'calendar_name' is not defined

It looked weird but I didn't have time to follow up and debug it.

My current state is simply change the hardcoded values from 'NYSE' to 'BVMF' and it works.
Any suggestions on how to fix it for the long term?
@willianpaixao
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@ssanderson @freddiev4 any feedback?

@billmoling
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what you have made to get it work? @willianpaixao

@llllllllll
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Instead of setting an exchange of CSVDIR, we should have an environment variable that can be set at ingest time where users can set the calendar. Maybe something like CSVDIR_EXCHANGE=XNYS or something. The string would need to be a name that trading_calendars can parse. We can preserve the default calendar of XNYS (which NYSE is an alias of) if a user doesn't provide a value.

I think the code changes needed to make this work are:

  1. Change line 161 to: metadata['exchange'] = os.environ.get('CSVDIR_EXCHANGE', 'XNYS')
  2. Remove line 227

@billmoling
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@llllllllll Thanks very much. It works.

@billmoling billmoling mentioned this issue Mar 20, 2020
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willianpaixao added a commit to willianpaixao/zipline that referenced this issue Mar 25, 2020
@willianpaixao
ENH: [WIP] Allow non US assets to be ingested
e7a5656 
Fix quantopian#2434

Pending testing. Still work in progress.
@willianpaixao willianpaixao linked a pull request Mar 25, 2020 that will close this issue
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@willianpaixao
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@llllllllll I've followed your suggestion then tested #2674 locally and it works.

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ENH: Allow non US assets to be ingested willianpaixao/zipline
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@willianpaixao @billmoling @llllllllll