BUG: Getting continuous future current contract failed on None

2026-07-18 12:20:12 +08:00 · 2017-03-30 12:09:55 -04:00
parent 164838cf74
commit 99dfe5961d
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)