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custom pipeline factor with window_length > 1?
Grant Kiehne
edited Apr 9, 2016
Seeking Help Pipeline

Based on the example on the help page, I shouldn't be getting this error. The example is:

class MyFactor(CustomFactor):  
    def compute(self, today, asset_ids, out, values):  
       out[:] = do_something_with_values(values)

def initialize(context):  
    p = attach_pipeline(Pipeline(), 'my_pipeline')  
    my_factor = MyFactor(inputs=[USEquityPricing.close], window_length=5)  
    p.add(my_factor, 'my_factor')

Does out always need to be an array of length N, where N is the number of assets? Or can it be multi-dimensional? If it can be multi-dimensional, how can I modify my code so that it runs?

3 responses
Grant Kiehne
Apr 9, 2016

If I modify my code like this:

class ClosePrice(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 2  
    def compute(self, today, assets, out, close_price):  
        out = np.zeros_like(close_price)  
        out[:,:] = close_price

I can eliminate the error. However, then my custom factor returns all NaN's.

So, I guess it is correct that out needs to be uni-dimensional.

Alan Coppola
Apr 9, 2016

Grant,
I've had similar problems. Sometimes the documentation says there is support for some pipeline output, but there is not.
Ultimately, the CustomFactors for the pipeline assign a column of a designated type value to each asset.

If you check the thread:
https://www.quantopian.com/posts/my-first-pipeline-how-to-find-stocks-with-consecutive-higher-lows-low-4-low-3-low-2-low-1
You'll see two ways of assigning values to CustomFactors.
Right now, I think they support floats, ints, and booleans, but not strings yet...at least that is what
https://www.quantopian.com/posts/int-and-boolean-types-in-pipeline
seems to indicate.

And then there is what the is what the help sez today:
https://www.quantopian.com/help#fundamental-data

It is a bit confusing for sure, because you are applying the compute() function across all rows(assets), in a seemingly parallel manner.
Good Luck!
alan

Grant Kiehne
Apr 9, 2016

Yeah, I can't figure out from the documentation if there should be support for out[:,:] for example, or if it'll only accept out[:]. Is it a bug or not?

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