Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
help dealing with missing bars
Grant Kiehne
posted

I'd like to be able to drop all missing bars (for which no trade data exists) for a set of stocks. I've attached be beginnings of an algorithm, using the batch transform to return minutely data:

@batch_transform(refresh_period=R_P, window_length=W_L, clean_nans=False) # set globals R_P & W_L above  
def get_data(datapanel,sids):  
    p = datapanel['price']  
    v = datapanel['volume']  
    return [p,v]

I want to effectively create price and volume vectors for each security, with no NaNs in the vectors. The vectors could be of unequal length.

Any ideas on how to best handle this? I could write a bunch of code to manage it, but perhaps there is an elegant solution with pandas.

Grant

1 response
Grant Kiehne

Here's what I came up with (see attached). The core of it is:

    prices_dict = {}  
    volumes_dict = {}  
    for stock in context.stocks:  
        prices_dict[stock] = prices[stock].dropna().values  
        volumes_dict[stock] = volumes[stock].dropna().values

I haven't checked for NaNs yet, but presumably .dropna() does the trick. Python to the rescue!

If you have a better approach, please share it.

Grant

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.