Why does this work in the "Python Shell" but when I execute it in a script it doesn't work?

day = time.strftime('%d', time.gmtime(time.time()))

When I execute this in a script i get this error:

Traceback(most recent call last):
File "Myfile.py"
day = time.strftime('%d', time.gmtime(time.time()))
AttributeError: strftime

Seems a bit unlogical for me. Can someone help me?