BUG: Getting continuous future current contract failed on None

2026-07-13 17:42:42 +08:00 · 2017-03-29 16:48:20 -04:00
parent 0bcdb640ca
commit 69a0e5c31b
3 changed files with 23 additions and 6 deletions
@@ -1,4 +1,5 @@
 import numpy as np
+import pandas as pd
 from zipline.data.session_bars import SessionBarReader


@@ -162,6 +163,8 @@ class ContinuousFutureSessionBarReader(SessionBarReader):
        sid = (rf.get_contract_center(asset.root_symbol,
                                      dt,
                                      asset.offset))
+        if sid is None:
+            return pd.NaT
        contract = rf.asset_finder.retrieve_asset(sid)
        return self._bar_reader.get_last_traded_dt(contract, dt)

@@ -346,6 +349,8 @@ class ContinuousFutureMinuteBarReader(SessionBarReader):
        sid = (rf.get_contract_center(asset.root_symbol,
                                      dt,
                                      asset.offset))
+        if sid is None:
+            return pd.NaT
        contract = rf.asset_finder.retrieve_asset(sid)
        return self._bar_reader.get_last_traded_dt(contract, dt)