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Get price using BusinessDays
Rohit Behl
posted

Hi

I have a CustomFactor which measures price change when Earnings was announced. I have the below:
This line causes an error
prices = close[dt] # this line causes errors!

Any ideas how to fix?

thanks
Rohit

class ReturnSinceAnnouncement(CustomFactor):  
    window_length = 100  
   window_safe = True  
    fq0_eps_act = fe.Actuals.slice('EPS', 'qf', 0)  
    # Factor for the asof_date  
    fq0_eps_asof_date = fq0_eps_act.asof_date.latest

    # Factor for business days since the asof_date  
    days_since_release = BusinessDaysSincePreviousEvent(inputs=[fq0_eps_act.asof_date])

    inputs = [USEquityPricing.close, fe_fundamentals.sales_qf_asof_date, days_since_release]

    def compute(self, today, assets, out, close, earning_date, dt):  
       prices = close[dt] # this line causes errors!  
        out[:] = dt[-1]
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