I am having trouble accessing fetched data for a previous day. I have a list of economic indicators imported through fetch_csv() that are then mapped onto the dataframes for each day. I can use history() to grab previous day's price, high, low, volume, etc. but I can't access the imported data from previous days. Does anyone know how to do that?
One thing you can do is create a list in your initialize method, then append to that list the new data. Then you can access previous points in time with, for example,
context.previous_data[-2]
for the data two days ago.
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Yeah I thought about creating a list, dict, or some other data structure to hold the daily data for back-reference but that seems unnecessary when all of the data is already imported and stored during fetch_csv(). I understand not being able to look forward, because that would be impossible when running the algo live, but not being able to look at previous days imported data adds a lot of unnecessary difficulty.
That is my solution, essentially the same as Richard's, converting a rolling window of a column of the csv fetched into a csv-encoded column of historical values and column of historical dates. Then one can unpack this into "history" in handle_data or whatnot.
Edit: credit for this idea goes to Richard Diehl https://www.quantopian.com/posts/method-to-get-historic-values-from-fetcher-data
Edit: also I have since improved that logic a little bit but I cannot update the post above for a while! Hopefully the idea will be enough.
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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.