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I've written this class to parse UCITS ETF data from Yahoo Finance, but I get the following error trying to do a backtest, what's wrong?
class UcitsEtf(PythonData):
def __init__(self, start_date):
self.start_date = start_date
def GetSource(self, config, date, isLiveMode):
ticker = config.Symbol.Value
start = int(time.mktime(datetime.strptime(self.start_date, "%Y-%m-%d").timetuple()))
end = int(time.time())
url = f"https://query1.finance.yahoo.com/v7/finance/download/{ticker}?period1={start}&period2={end}&interval=1d&events=history&includeAdjustedClose=true"
return SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile)
def handle_nulls(self, df):
df.replace("null", np.nan, inplace=True)
df.fillna(df.rolling(2, min_periods=1).mean(), inplace=True)
return df
def Reader(self, config, line, date, isLiveMode):
index = UcitsEtf(self.start_date)
index.Symbol = config.Symbol
try:
data = line.split(',')
if data[0] == "Date":
return None
data = self.handle_nulls(pd.DataFrame(data[1:], columns=["open", "high", "low", "close", "adj_close", "volume"]))
index.Time = datetime.strptime(data[0], "%Y-%m-%d")
index.EndTime = index.Time + timedelta(days=1)
index.Value = decimal.Decimal(data["close"])
index["open"] = float(data["open"])
index["high"] = float(data["high"])
index["low"] = float(data["low"])
index["close"] = float(data["close"])
index["adj_close"] = float(data["adj_close"])
index["volume"] = int(data["volume"])
except Exception as e:
print(f"Error: {line}")
print(f"Exception: {e}")
return None
return indexself.TEST = self.AddData(UcitsEtf("01-01-2022"), "XS2L.MI", Resolution.Daily).SymbolError Message
During the algorithm initialization, the following exception has occurred: Index was outside the bounds of the array.
at Initialize
self.TEST = self.AddData(UcitsEtf("01-01-2022") in main.py: line 84
Index was outside the bounds of the array.
Mia Alissi
The error message "Index was outside the bounds of the array" typically occurs when you're trying to access an element at an index that doesn't exist in the array or list. In your case, it seems like the error is occurring when you're trying to split the line of data and assign it to different variables.
In your
Readermethod, you're splitting the line of data into a list withdata = line.split(','). Then, you're trying to convert this list into a DataFrame withdata = self.handle_nulls(pd.DataFrame(data[1:], columns=["open", "high", "low", "close", "adj_close", "volume"])).The problem here is that
line.split(',')returns a list, and you're trying to convert this list into a DataFrame, which expects a 2D array-like structure. This is likely causing the "Index was outside the bounds of the array" error.Instead of converting the list into a DataFrame, you should directly assign the elements of the list to the corresponding variables. Here's how you can do it:
Please note that the indices in
datamight need to be adjusted depending on the actual structure of your data.The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Lex Nox
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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