Span and Timestamp Error

[cl7805]

Hi, marvellous explanation above. The example given in the book is intraday. I'm doing swing trading amd I'm stuck on the distinction between Timedelta and span. What does span=100 mean?
2nd, I have a KeyError on Timestamp using yahoo finance, does it mean I should discard it as I assume it means it is missing data?

[PanPip]

Hi @cl7805,

Thank you for reaching out. Could you please describe to which MlFinLab module/function are you referring?

Or is the question only related to the "Advances in Financial Machine Learning" book?

[cl7805]

https://towardsdatascience.com/financial-machine-learning-part-1-labels-7eeed050f32e

[cl7805]

def get_horizons(prices, delta=pd.Timedelta(days=1)):
t1 = prices.index.searchsorted(prices.index + delta)
t1 = t1[t1 < prices.shape[0]]
t1 = prices.index[t1]
t1 = pd.Series(t1, index=prices.index[:t1.shape[0]])
return t1

data_ohlc = data
data_ohlc =
data_ohlc.assign(threshold=get_vol(data_ohlc.Close)).dropna()
t1=get_horizons(data_ohlc)
data_ohlc = data_ohlc.assign(t1=get_horizons(data_ohlc)).dropna()
events = data_ohlc[['t1', 'threshold']]
events = events.assign(side=pd.Series(1, events.index)) # long only <---where the problem is highlighted
touches = get_touches(data_ohlc.Close, events, [1,1])
touches = get_labels(touches)
data_ohlc = data_ohlc.assign(label=touches.label)

---

KeyError Traceback (most recent call last)

/usr/local/lib/python3.7/dist-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
2897 try:
-> 2898 return self._engine.get_loc(casted_key)
2899 except KeyError as err:

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()

KeyError: Timestamp('2018-04-18 00:00:00')

The above exception was the direct cause of the following exception:

KeyError Traceback (most recent call last)

3 frames

/usr/local/lib/python3.7/dist-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
2898 return self._engine.get_loc(casted_key)
2899 except KeyError as err:
-> 2900 raise KeyError(key) from err
2901
2902 if tolerance is not None:

KeyError: Timestamp('2018-04-18 00:00:00')