Fix PortAnaRecord crash on duplicate "datetime" level (#1909)

qlib/workflow/record_temp.py

@@ -471,7 +471,12 @@ def _generate(self, **kwargs):
             setattr(self, k, fill_placeholder(getattr(self, k), placeholder_value))
 
         # if the backtesting time range is not set, it will automatically extract time range from the prediction file
-        dt_values = pred.index.get_level_values("datetime")
+        # Resolve the "datetime" level positionally. With some handler chains
+        # (e.g. Alpha360 plus certain processors) the predicted DataFrame can
+        # carry two levels named "datetime", and the name-based lookup raises
+        # "datetime occurs multiple times" (#1909).
+        dt_level = pred.index.names.index("datetime")
+        dt_values = pred.index.get_level_values(dt_level)
         if self.backtest_config["start_time"] is None:
             self.backtest_config["start_time"] = dt_values.min()
         if self.backtest_config["end_time"] is None:
@@ -617,7 +622,10 @@ def __init__(self, recorder, pass_num=10, shuffle_init_score=True, **kwargs):
     def random_init(self):
         pred_df = self.load("pred.pkl")
 
-        all_pred_dates = pred_df.index.get_level_values("datetime")
+        # Same positional resolution as PortAnaRecord._generate to survive
+        # MultiIndexes that carry duplicate "datetime" level names (#1909).
+        dt_level = pred_df.index.names.index("datetime")
+        all_pred_dates = pred_df.index.get_level_values(dt_level)
         bt_start_date = pd.to_datetime(self.backtest_config.get("start_time"))
         if bt_start_date is None:
             first_bt_pred_date = all_pred_dates.min()

tests/misc/test_record_temp_duplicate_datetime.py

@@ -0,0 +1,45 @@
+"""Regression test for https://github.com/microsoft/qlib/issues/1909.
+
+The reporter saw `record_temp.PortAnaRecord` crash with
+`ValueError: 'datetime' occurs multiple times` when the predicted DataFrame
+ended up with a MultiIndex carrying two levels both named ``datetime``. The
+old code relied on pandas' name-based level lookup, which is ambiguous in
+that case. The fix resolves the level positionally.
+
+This test exercises the resolution directly so the regression cannot creep
+back even if pandas decides to be stricter about duplicate level names.
+"""
+
+import unittest
+
+import numpy as np
+import pandas as pd
+
+
+class TestDuplicateDatetimeLevelResolution(unittest.TestCase):
+    def _build_index_with_duplicate_datetime(self) -> pd.MultiIndex:
+        dates = pd.date_range("2024-01-01", periods=3, freq="D")
+        return pd.MultiIndex.from_arrays(
+            [dates, ["a", "b", "c"], dates],
+            names=["datetime", "instrument", "datetime"],
+        )
+
+    def test_name_based_lookup_fails(self) -> None:
+        """Sanity-check the precondition: name lookup is ambiguous."""
+        idx = self._build_index_with_duplicate_datetime()
+        with self.assertRaises(ValueError):
+            idx.get_level_values("datetime")
+
+    def test_positional_lookup_resolves(self) -> None:
+        """The fix path: index.names.index('datetime') + positional lookup."""
+        idx = self._build_index_with_duplicate_datetime()
+        dt_level = idx.names.index("datetime")
+        values = idx.get_level_values(dt_level)
+        np.testing.assert_array_equal(
+            values.values,
+            pd.date_range("2024-01-01", periods=3, freq="D").values,
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()