Does the data set USEquityPricing.open include open prices from the previous day?

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Does the data set USEquityPricing.open include open prices from the previous day?

Vaughn McGill-Adami

posted Nov 18, 2016

Using Data Tools and Tips Value Statistics Pipeline

In the USEquityPricing data set are the open values reset daily or do values in the USEquityPricing.open data set include the previous day's values?

Thanks, Vaughn

2 responses

The USEquityPricing dataset includes data from 01 Jan 2002 - Ongoing. (See https://www.quantopian.com/data/quantopian/us_equity_pricing for the specifics). You have access to any data in that range.

One can use the built in "latest" method to easily retrieve the previous days data (eg the open price). This will create a factor which can then be added to a pipeline. Create a custom factor to get data further back. Attached is a notebook showing examples of this. The same custom factor can be used in an algorithm.

Good luck

Vaughn McGill-Adami

Thanks Dan!
Is there a way I can exclude the previous day's open values and only look at the current day, because my algo looks at the last 120 open values and performs calculations. If it is on minute one of the trading day then that means my algo is going to be assuming that yesterdays last 119 values just happened

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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.