I would like to filter out ADRs and GDRs and keep only primary shares:
I tried to do it in following way (like I did in case filtering sectors) :
class PrimaryShare(CustomFactor):
inputs = [morningstar.share_class_reference.is_primary_share]
window_length = 1
def compute(self, today, assets, out, is_primary_share):
out[:] = is_primary_share
class DepositaryReceipt(CustomFactor):
inputs = [morningstar.share_class_reference.is_depositary_receipt]
window_length = 1
def compute(self, today, assets, out, is_depositary_receipt):
out[:] = is_depositary_receipt
def initialize(context):
pipe = Pipeline()
attach_pipeline(pipe, 'my_pipe')
prim_share = PrimaryShare()
dep_receipt = DepositaryReceipt()
pipe.add(prim_share, 'prim_share')
pipe.add(dep_receipt, 'dep_receipt')
primary_share = (prim_share == True)
deposit_receipt = ( dep_receipt == False)
pipe.set_screen(primary_share&deposit_receipt)
It gives following error: "TypeError: Don't know how to construct AdjustedArray on data of type object."
Without the inclusion of these two "factors" into pipeline, everything runs ok, the moment I add em, e.g. pipe.add(prim_share, 'prim_share') it raises error.
Thx for help!
