HistoryWindowStartsBeforeData

[noobmaster29]

Im currently using trading_calendars with zipline.

When I run my backtest, I'm currently getting a HistoryWindowStartsBeforeData error.

I'm starting the backtesting on January 02, 1968. However, it returns:

HistoryWindowStartsBeforeData: History window extends before 1975-01-02. To use this history window, start the backtest on or after 1975-12-31. (I am loading in 1 year worth of data for averages)

From my understanding, the issue is that trading calendar for the NYSE begins on 1975-01-02. This can be seen by running the following code: from trading_calendars import get_calendar

us_calendar = get_calendar('XNYS')

for x in us_calendar.schedule.index: print(x, 0.0)

The first date would be Jan. 2nd 1975.

How can we modify trading calendars to move this date further back so we can backtest beyond 1975.

Thanks in advance.

[gerrymanoim]

There was some discussion of this in https://github.com/quantopian/trading_calendars/issues/147. The current best option to get a calendar at a particular start date is to create the calendar manually instead of using the get_calendar helper:

from trading_calendars.exchange_calendar_xnys import XNYSExchangeCalendar
start = pd.Timestamp(from_date, tz=pytz.UTC)
cal = XNYSExchangeCalendar(start=start)

@richafrank and I started working on getting get_calendar to accept kwargs in https://github.com/quantopian/trading_calendars/pull/176, but had some unresolved questions about the interface.

[noobmaster29]

Thank you very much for the quick response.

My current fix was to manually edit the start date in trading_calendar.py. Zipline works fine after this adjustment.

start_default = pd.Timestamp('1990-01-01', tz=UTC) #edit this date to desired start end_base = pd.Timestamp('today', tz=UTC)