Zipline Backtest Error with Futures

Technical Help
#1

I'm receiving the following error when executing a zipline backtest against futures data:

Exception ignored in: 'zipline.assets.continuous_futures.OrderedContracts.contract_before_auto_close'
        quantrocket_zipline_1|AttributeError: 'NoneType' object has no attribute 'next'

I've defined the universe of symbols as continuations with:

markets = ['CL', 'GC', 'HG', 'HO', 'NG', 'PA', 'PL', 'RB', 'SI']
context.universe = [continuous_future(market, roll = 'calendar') for market in markets]

Is there something I need to do with the order of the contracts prior to ingesting?

David

#2

You haven't provided much detail or a full traceback so it's hard to say. Providing more detail is usually better than providing less. The phrase "exception ignored" might mean Zipline caught the exception and it's nothing to worry about, but again there's not enough information or context to say.

Note that we don't usually offer algo debugging unless it's through paid support. Bugs encountered in backtests usually originate in the algo code but can cause confusing error messages in Zipline. My advice is to simplify the code until the error goes away then add parts back until you determine what's causing it. At that point, if you suspect a bug in the software rather than in your algo, you can post back with enough sample code to reproduce the issue.