Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Columns in pipeline: today's open, s&p open and close yesterday
Arun
posted

I'm trying to figure out how to add certain fields. I can get yesterdays open and close using this pipeline: 


    yesterday_close = USEquityPricing.close.latest  
    yesterday_open = USEquityPricing.open.latest  
    pipe = Pipeline(  
        screen = ...  
        columns = {  
            'close': yesterday_close,  
            'open': yesterday_close  
        }  
    )

I'm trying to add these
1. today's open
2. yesterdays s&p500 open and close.

I didn't find anything from a search on the forums, tutorial or api. Any ideas anyone?

2 responses
Dan Whitnable

The best way to add columns to the pipeline output (which is a pandas dataframe) is to use the 'assign' method. See http://pandas.pydata.org/pandas-docs/version/0.18/generated/pandas.DataFrame.assign.html . So to add the open prices to the pipeline output, one could do something like this.

    # Get open prices for all the securities in the pipeline output  
    open_prices = data.current(context.output.index.tolist(), 'open')  


    # Add the open prices as a new column using the assign method  
    context.output = context.output.assign(todays_open = open_prices)

There isn't a good way to get the actual S&P500 index data, however it's very common to use the ETF SPY as a proxy. So one can get yesterdays open and close values for SPY just like getting the values for any security in the pipeline output. Just make sure SPY is not filtered out in the pipeline.

    context.sp500 = symbol('SPY')


    sp500_yesterday_open = context.output.at[context.sp500, 'yesterday_open']  
    sp500_yesterday_close = context.output.at[context.sp500, 'yesterday_close']

See attached algo. Good luck.

Arun

Thanks Dan! Thats very helpful

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.