I understand i can call this, data.history(context.assets, "price", 20, "1d"), to get the most recent 20 day's prices. I would like to be able to query for data in specific time range, data.history(context.assets, "price", 20, "1d", end_date) to get 20 day's prices previous to "end_date."
toan,
You could do something like this:
import datetime
def before_trade_start(context, data):
date = get_datetime('US/Eastern')
month = date.month
day = date.day
if month == x and day == y:
my_special_history = data.history(context.assets, "price", 20, "1d")
Then "my_special_history" will always hold the prices for the 20 days preceding your specific date.
Frank, I thought about this one, but i suspect it will not persist when the algo goes into paper trading or live trading.
Hi Toan,
Just load the data you need using
data.history and then select the dates of interest. You do raise an interesting point, though. If the all of the data won't fit in memory, then it won't be possible to select a subset. In the research platform, I think you can actually request data over a specific time frame. The paradigm for the trading platform is that you'll need a limited trailing window of data, versus pulling huge datasets. Then, the data can be analyzed on a rolling basis.
Grant
Grant, Indeed. I was able to load the correct dataframe last night and it did not invoke a memory error. I've tried to load something similar (a much smaller dataframe) in to past and got memory error--I think they have increased the limit by quite a bit since maybe last month.
Now I just need to think of how to chop my elephant algorithm into little gazelle algorithms so the finish in the 5 min/1 min allocations. =)
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.