Iterator operand 0 dtype could not be cast from dtype('<M8[us]') to dtype('<M8[D]') according to the rule 'safe'

[PeterSikuda]

Problem Description

I am trying to process factor, pricing data for alphalens analysis, but got this error.

TypeError: Iterator operand 0 dtype could not be cast from dtype('<M8[us]') to dtype('<M8[D]') according to the rule 'safe'

al.utils.get_clean_factor_and_forward_returns(
        factor=df['sentiment'],
        prices=pricing,
        periods=(1,3))

pricing.index

DatetimeIndex(['2018-05-31', '2018-06-01', '2018-06-02', '2018-06-03',
'2018-06-04', '2018-06-05', '2018-06-06', '2018-06-07',
'2018-06-08', '2018-06-09',
...
'2019-03-22', '2019-03-23', '2019-03-24', '2019-03-25',
'2019-03-26', '2019-03-27', '2019-03-28', '2019-03-29',
'2019-03-30', '2019-03-31'],
dtype='datetime64[ns]', length=305, freq=None)

df.index.levels[0]

DatetimeIndex(['2018-05-31', '2018-06-01', '2018-06-02', '2018-06-03',
'2018-06-04', '2018-06-05', '2018-06-06', '2018-06-07',
'2018-06-08', '2018-06-09',
...
'2019-03-22', '2019-03-23', '2019-03-24', '2019-03-25',
'2019-03-26', '2019-03-27', '2019-03-28', '2019-03-29',
'2019-03-30', '2019-03-31'],
dtype='datetime64[ns]', name='datetime', length=305, freq=None)

Also tried:

pricing.index = pricing.index.values.astype('datetime64[D]')
df.index.levels[0].values.astype('datetime64[D]')

but didn't help.

Versions

• Alphalens version: 0.3.2
• Python version: 3.6
• Pandas version: 0.24.1
• Matplotlib version: 2.1.0

[luca-s]

If you could upgrade Alphalens to version 0.3.6 that should fix the issue.

[luca-s]

Just to give more background information: we improved Alphalens compatibility with recent pandas versions (tested up to pandas 0.23.4) in one of the latest Alphalens releases. So it should worth upgrading Alphalens and see how it works.

[PeterSikuda]

thanks. upgrading to version 0.3.6 fixed the issue.