I'm still having problems getting Zipline to work for a trivial JPX pipeline. Here's how I created the bundle:
$ quantrocket zipline create-bundle-from-db xjpx-eod-bundle --from-db xjpx-eod --calendar TSEJ --start-date 2007-01-01 -u xjpx
$ quantrocket zipline ingest xjpx-eod-bundle
Here's what config says about the bundle:
calendar: TSEJ
data_frequency: daily
end_date: null
exclude_sids: null
exclude_universes: null
fields:
Close: close
High: high
Low: low
Open: open
Volume: volume
from_db: xjpx-eod
ingest_type: from_db
sids: null
start_date: '2007-01-04'
universes:
- xjpx
Here's how I'm trying to load and use it in Jupyter:
from quantrocket.zipline import set_default_bundle
set_default_bundle('xjpx-eod-bundle')
from zipline.pipeline import Pipeline
from zipline.pipeline.domain import JP_EQUITIES
from zipline.pipeline.factors import Returns
pipeline = Pipeline(
columns={
"1y_returns": Returns(window_length=252),
},
domain=JP_EQUITIES,
)
from zipline.research import run_pipeline
factors = run_pipeline(pipeline, start_date="2017-01-01", end_date="2019-01-01")
factors.head()
Your note on my previous post about this problem said "domain" should not be necessary, but without domain=JP_EQUITIES
I get this error:
ValueError: Unable to determine domain for Pipeline.
Pass domain=<desired domain> to your Pipeline to set a domain.
If I do set the domain, then this happens:
ValueError: No PipelineLoader registered for column EquityPricing.close::float64.