Does anyone know what is required to use a custom field in batch_transform function? Judging by documentation all one needs to do is add a field into the data[] structure and it would automatically be added to datapanel. Yet, if I un-comment the new_custom_field in the code example attached, the backtest crashes with run time error.
You seem to have uncovered a bug. Even the example from the documentation fails:
def initialize(context):
set_universe(universe.DollarVolumeUniverse(99.9, 100.0))
def handle_data(context, data):
for stock in data:
if data[stock].price > data[stock].vwap(30):
data[stock]['over_vwap'] = 1
else:
data[stock]['over_vwap'] = 0
print_signals(data)
@batch_transform(window_length=5)
def print_signals(datapanel):
signal = datapanel['over_vwap']
log.info('\n%s' % signal) Further testing of length 10 back population shows that the window gets lost at times, that is usually there would be 10 back ticks for price but not always. Seems that the window drops to 1 element at times.
I have asked this question before
The Universe is static. I am not sure why Vlatko's version doesn't work because Thomas did say it should work if you remove the Universe, maybe I misunderstood his reply. Anyways, I just use a deque whenever I need a rolling history of values. If there is a better way that would be good to know.
We do have a bug in custom fields on batch transforms. Hoping for a fix next week.
Dan
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.