I've read that the proper way of defining global variables is to define them in
context
. Is there a way to pass the context class to a custom factor? The obvious trick of passing context as an argument of the
compute
function yields
Key error: 'window_safe'
.
Also, I have seen algorithms defining variables (typically parameters) outside the scope of any function. This may solve my problem. Is that discouraged, and why?
It turns out there is an easy and in retrospect obvious solution. Just create the variables you need in the CustomFactor class, refer to them as self.xxx in the compute function, and set them to the desired values after you create the factor when building the pipeline using factor.xxx = context.yyy.
I don't remember getting a window_safe error in this case. But anyway, you can fix it by adding
window_safe = True
in the custom factor. You have to make sure that your factor is invariant under stock splits. But anyway if it's not, it probably means that you cannot compare it across different equities and that it should be properly normalized .
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