Error in the last line of code 01_parse_itch_order_flow_messages.ipynb

[adanog]

Describe the bug

KeyError Traceback (most recent call last)
Cell In[32], line 3
1 with pd.HDFStore(itch_store) as store:
2 stocks = store['R'].loc[:, ['stock_locate', 'stock']]
----> 3 trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
5 trades['value'] = trades.shares.mul(trades.price)
6 trades['value_share'] = trades.value.div(trades.value.sum())

File /opt/anaconda3/envs/stocks-env/lib/python3.12/site-packages/pandas/io/pytables.py:602, in HDFStore.getitem(self, key)
601 def getitem(self, key: str):
--> 602 return self.get(key)

File /opt/anaconda3/envs/stocks-env/lib/python3.12/site-packages/pandas/io/pytables.py:812, in HDFStore.get(self, key)
810 group = self.get_node(key)
811 if group is None:
--> 812 raise KeyError(f"No object named {key} in the file")
813 return self._read_group(group)

KeyError: 'No object named P in the file'

To Reproduce

• In case you are not running the current version of the notebook/script as found on GitHub.

Steps to reproduce the behavior:

1. Go to 01_parse_itch_order_flow_messages.ipynb'
2. Scroll down to '6.2. Top Equities by Traded Value'
3. Run the code bellow
4. See error

Expected behavior

Must plot

Add any other context about the problem here.

The error message “No object named ‘P’ in the file” indicates that the key 'P' is not present in the HDF5 file. This key represents a dataset or a group in the file that is expected by your script but does not exist in the file structure.

[k1t3-fly3r]

Is this the code you're running? I ran the notebook with barely any edits. I ran it with different itch files and it worked just fine as of last week,

with pd.HDFStore(itch_store) as store:
    stocks = store['R'].loc[:, ['stock_locate', 'stock']]
    # trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
    trades = pd.concat([store['P'], store['Q'].rename(columns={'cross_price': 'price'})], ignore_index=True, sort=False).merge(stocks)

trades['value'] = trades.shares.mul(trades.price)
trades['value_share'] = trades.value.div(trades.value.sum())

trade_summary = trades.groupby('stock').value_share.sum().sort_values(ascending=False)
trade_summary.iloc[:50].plot.bar(figsize=(14, 6), color='darkblue', title='Share of Traded Value')

plt.gca().yaxis.set_major_formatter(FuncFormatter(lambda y, _: '{:.0%}'.format(y)))
sns.despine()
plt.tight_layout()

Fix:
Replace

trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)

With:

trades = pd.concat([store['P'], store['Q'].rename(columns={'cross_price': 'price'})], ignore_index=True, sort=False).merge(stocks)

***Pandas updates deprecated .append() , you will run into this a lot in the notebooks and the fix will be to refactor your code to use pd.concat().
Output:

[elsdes3]

I think this is a duplicate of a previously opened issue. The error message posted here is identical to the error message shown in a screenshot of the that issue. A candidate solution to this error was also posted in this reply to the issue - the solution involved (a) specifying a version for both numpy and pandas during creation of the Python environment and (b) using Python 3.8, which is also specified in the installation instructions for this repo.

I recommend merging this issue with that one (number 310) or closing this one.

[Seniorveiga]

Is this the code you're running? I ran the notebook with barely any edits. I ran it with different itch files and it worked just fine as of last week,

with pd.HDFStore(itch_store) as store:
    stocks = store['R'].loc[:, ['stock_locate', 'stock']]
    # trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
    trades = pd.concat([store['P'], store['Q'].rename(columns={'cross_price': 'price'})], ignore_index=True, sort=False).merge(stocks)

trades['value'] = trades.shares.mul(trades.price)
trades['value_share'] = trades.value.div(trades.value.sum())

trade_summary = trades.groupby('stock').value_share.sum().sort_values(ascending=False)
trade_summary.iloc[:50].plot.bar(figsize=(14, 6), color='darkblue', title='Share of Traded Value')

plt.gca().yaxis.set_major_formatter(FuncFormatter(lambda y, _: '{:.0%}'.format(y)))
sns.despine()
plt.tight_layout()

Fix: Replace

trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)

With:

trades = pd.concat([store['P'], store['Q'].rename(columns={'cross_price': 'price'})], ignore_index=True, sort=False).merge(stocks)

***Pandas updates deprecated .append() , you will run into this a lot in the notebooks and the fix will be to refactor your code to use pd.concat(). Output:

I have tried to do this, but by checking:

with pd.HDFStore("data/itch.h5") as store:
print(store.keys()) # ¿aparece '/R'?
print('/P' in store)

it does not return any file with that value, so how have you been able to generate it?