Dear Zipline Maintainers,

Environment

• Operating System: Linux 3d62a3c1924c 4.4.0-66-generic #87-Ubuntu SMP Fri Mar 3 15:29:05 UTC 2017 x86_64 x86_64 x86_64 GNU/Linux
• Python Version: Python 3.5.2 :: Anaconda 4.3.0 (64-bit)
• Python Bitness: 64
• How did you install Zipline: pip
• Python packages:

alabaster==0.7.9
alembic==0.9.2
anaconda-client==1.6.0
anaconda-navigator==1.4.3
appdirs==1.4.3
APScheduler==3.3.1
arctic==1.38.0
argcomplete==1.0.0
astroid==1.4.9
astropy==1.3
Babel==2.3.4
backports.shutil-get-terminal-size==1.0.0
bayesian-optimization==0.4.0
bcolz==0.12.1
beautifulsoup4==4.5.3
bitarray==0.8.1
blaze==0.10.1
bokeh==0.12.4
boto==2.45.0
Bottleneck==1.2.1
butils==0.2.13
cachetools==2.0.0
cffi==1.9.1
chardet==2.3.0
chest==0.2.3
click==6.7
cloudpickle==0.2.2
clyent==1.2.2
colorama==0.3.7
conda==4.3.9
conda-build==2.1.3
conda-verify==2.0.0
configobj==5.0.6
contextlib2==0.5.5
coverage==4.3.4
coveralls==1.1
cryptography==1.7.1
cycler==0.10.0
cyordereddict==1.0.0
Cython==0.25.2
cytoolz==0.8.2
dask==0.13.0
data==0.3.7
datashape==0.5.4
deap==1.1.0
decorator==4.0.11
dill==0.2.5
docopt==0.6.2
docutils==0.13.1
dynd==0.7.3.dev1
empyrical==0.2.2
enum34==1.1.6
et-xmlfile==1.0.1
fastcache==1.0.2
filelock==2.0.7
Flask==0.12
Flask-Cors==3.0.2
future==0.16.0
gevent==1.2.1
greenlet==0.4.11
h5py==2.6.0
HeapDict==1.0.0
hmmlearn==0.2.0
idna==2.2
imagesize==0.7.1
inspyred==1.0.1
intervaltree==2.1.0
ipykernel==4.5.2
ipython==5.1.0
ipython-genutils==0.1.0
ipywidgets==5.2.2
isort==4.2.5
itsdangerous==0.24
jdcal==1.3
jedi==0.9.0
Jinja2==2.9.4
jsonschema==2.5.1
jupyter==1.0.0
jupyter-client==4.4.0
jupyter-console==5.0.0
jupyter-core==4.2.1
jupyterhub==0.7.2
lazy-object-proxy==1.2.2
learning==0.4.19
llvmlite==0.15.0
locket==0.2.0
Logbook==1.0.0
lru-dict==1.1.6
lxml==3.7.2
lz4==0.8.2
Mako==1.0.6
MarkupSafe==1.0
matplotlib==2.0.0
minepy==1.2.0
mistune==0.7.3
mockextras==1.0.2
mpmath==0.19
multipledispatch==0.4.9
nb-anacondacloud==1.2.0
nb-conda==2.0.0
nb-conda-kernels==2.0.0
nbconvert==4.2.0
nbformat==4.2.0
nbpresent==3.0.2
networkx==1.11
nltk==3.2.2
nose==1.3.7
notebook==4.3.1
numba==0.30.1
numexpr==2.6.2
numpy==1.12.1
numpydoc==0.6.0
odo==0.5.0
openpyxl==2.4.1
packaging==16.8
pamela==0.3.0
pandas==0.18.1
pandas-datareader==0.4.0
partd==0.3.7
pathlib2==2.2.0
patsy==0.4.1
pep8==1.7.0
pexpect==4.2.1
pickleshare==0.7.4
Pillow==4.0.0
pkginfo==1.4.1
ply==3.9
prompt-toolkit==1.0.9
psutil==5.0.1
ptyprocess==0.5.1
py==1.4.32
pyasn1==0.1.9
PyBrain==0.3.3
pycosat==0.6.1
pycparser==2.17
pycrypto==2.6.1
pycurl==7.43.0
pyflakes==1.5.0
pyfolio==0.7.0
Pygments==2.1.3
pylint==1.6.4
pymongo==3.4.0
pyOpenSSL==16.2.0
pypandoc==1.3.3
pyparsing==2.2.0
pytest==3.0.5
python-dateutil==2.6.0
python-editor==1.0.3
pytz==2017.2
PyWavelets==0.5.2
PyYAML==3.12
pyyawt==0.1.1
pyzmq==16.0.2
QtAwesome==0.4.3
qtconsole==4.2.1
QtPy==1.2.1
redis==2.10.5
requests==2.14.2
requests-file==1.4.2
requests-ftp==0.3.1
rope-py3k==0.9.4.post1
rpy2==2.8.5
scikit-image==0.12.3
scikit-learn==0.18.1
scipy==0.19.0
seaborn==0.7.1
simplegeneric==0.8.1
singledispatch==3.4.0.3
six==1.10.0
snowballstemmer==1.2.1
sockjs-tornado==1.0.3
sortedcontainers==1.5.7
Sphinx==1.5.1
sphinx-rtd-theme==0.1.9
spyder==3.1.2
SQLAlchemy==1.1.10
statsmodels==0.8.0
sympy==1.0
TA-Lib==0.4.10
tables==3.4.2
terminado==0.6
toolz==0.8.2
tornado==4.4.2
TPOT==0.6.8
tqdm==4.11.2
traitlets==4.3.1
tsfresh==0.5.0
tzlocal==1.3
unicodecsv==0.14.1
update-checker==0.16
wcwidth==0.1.7
Werkzeug==0.11.15
widgetsnbextension==1.2.6
wrapt==1.10.8
xgboost==0.6a2
xlrd==1.0.0
XlsxWriter==0.9.6
xlwt==1.2.0
zipline==1.1.0

Error retrieving H15 interest rates - ValueError: ‘Time Period’ is not in list

• If I try to instantiate a TradingEnvironment, I get a ValueError. The code worked until yesterday and stopped some hours ago. I’m not sure whether on Th or Fr (CEST).

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)

...
env = TradingEnvironment(bm_symbol=self.benchmark, exchange_tz=self.exchange_tz,
--> 539                                  trading_calendar=cal)
...

/opt/conda/envs/develop/lib/python3.5/site-packages/zipline/finance/trading.py in __init__(self, load, bm_symbol, exchange_tz, trading_calendar, asset_db_path)
     94             trading_calendar.day,
     95             trading_calendar.schedule.index,
---> 96             self.bm_symbol,
     97         )
     98 

/opt/conda/envs/develop/lib/python3.5/site-packages/zipline/data/loader.py in load_market_data(trading_day, trading_days, bm_symbol)
    169         first_date,
    170         last_date,
--> 171         now,
    172     )
    173     benchmark_returns = br[br.index.slice_indexer(first_date, last_date)]

/opt/conda/envs/develop/lib/python3.5/site-packages/zipline/data/loader.py in ensure_treasury_data(bm_symbol, first_date, last_date, now)
    317 
    318     try:
--> 319         data = loader_module.get_treasury_data(first_date, last_date)
    320         data.to_csv(path)
    321     except (OSError, IOError, HTTPError):

/opt/conda/envs/develop/lib/python3.5/site-packages/zipline/data/treasuries.py in get_treasury_data(start_date, end_date)
     74         parse_dates=['Time Period'],
     75         na_values=['ND'],  # Presumably this stands for "No Data".
---> 76         index_col=0,
     77     ).loc[
     78         start_date:end_date

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in parser_f(filepath_or_buffer, sep, delimiter, header, names, index_col, usecols, squeeze, prefix, mangle_dupe_cols, dtype, engine, converters, true_values, false_values, skipinitialspace, skiprows, nrows, na_values, keep_default_na, na_filter, verbose, skip_blank_lines, parse_dates, infer_datetime_format, keep_date_col, date_parser, dayfirst, iterator, chunksize, compression, thousands, decimal, lineterminator, quotechar, quoting, escapechar, comment, encoding, dialect, tupleize_cols, error_bad_lines, warn_bad_lines, skipfooter, skip_footer, doublequote, delim_whitespace, as_recarray, compact_ints, use_unsigned, low_memory, buffer_lines, memory_map, float_precision)
    644                     skip_blank_lines=skip_blank_lines)
    645 
--> 646         return _read(filepath_or_buffer, kwds)
    647 
    648     parser_f.__name__ = name

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in _read(filepath_or_buffer, kwds)
    387 
    388     # Create the parser.
--> 389     parser = TextFileReader(filepath_or_buffer, **kwds)
    390 
    391     if (nrows is not None) and (chunksize is not None):

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in __init__(self, f, engine, **kwds)
    728             self.options['has_index_names'] = kwds['has_index_names']
    729 
--> 730         self._make_engine(self.engine)
    731 
    732     def close(self):

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in _make_engine(self, engine)
    921     def _make_engine(self, engine='c'):
    922         if engine == 'c':
--> 923             self._engine = CParserWrapper(self.f, **self.options)
    924         else:
    925             if engine == 'python':

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in __init__(self, src, **kwds)
   1434                 raise ValueError("Usecols do not match names.")
   1435 
-> 1436         self._set_noconvert_columns()
   1437 
   1438         self.orig_names = self.names

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in _set_noconvert_columns(self)
   1484                         _set(k)
   1485                 else:
-> 1486                     _set(val)
   1487 
   1488         elif isinstance(self.parse_dates, dict):

/opt/conda/envs/develop/lib/python3.5/site-packages/pandas/io/parsers.py in _set(x)
   1474 
   1475             if not is_integer(x):
-> 1476                 x = names.index(x)
   1477 
   1478             self._reader.set_noconvert(x)

ValueError: 'Time Period' is not in list

What steps have you taken to resolve this already?

• If I run the corresponding code manually, I get the same error. https://github.com/quantopian/zipline/blob/master/zipline/data/treasuries.py#L61

df = pd.read_csv(
        "http://www.federalreserve.gov/datadownload/Output.aspx"
        "?rel=H15"
        "&series=bf17364827e38702b42a58cf8eaa3f78"
        "&lastObs="
        "&from="  # An unbounded query is ~2x faster than specifying dates.
        "&to="
        "&filetype=csv"
        "&label=omit"
        "&layout=seriescolumn"
        "&type=package",
        skiprows=1,  # First row is a useless header.
        parse_dates=['Time Period'],
        na_values=['ND'],  # Presumably this stands for "No Data".
        index_col=0,
)

• The request to the hard encoded link (to obtain the H15 interest rates) fails: “Unable to find the output file. Please contact administrator for assistance.” http://www.federalreserve.gov/datadownload/Output.aspx?rel=H15&series=bf17364827e38702b42a58cf8eaa3f78&lastObs=&from=&to=&filetype=csv&label=omit&layout=seriescolumn&type=package

• I played around with the Data Download Program and compared the parameters of the generated request strings. https://www.federalreserve.gov/releases/h15/

• It seems as if label=omit is not accepted anymore. If I omit the label parameter or set it to include, it seems to work. http://www.federalreserve.gov/datadownload/Output.aspx?rel=H15&series=bf17364827e38702b42a58cf8eaa3f78&lastObs=&from=&to=&filetype=csv&label=include&layout=seriescolumn&type=package

• I am curious if I am the only one having this problem. If not, how can we fix this problem permanently?

Sincerely,

Rudi