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Help understanding why pipeline index does not match pipeline output?
Brad G
edited
Seeking Help Research

I'm new to quantopian and only slightly more experienced with python, so please bear with me.

I am currently going through the tutorials and I'm getting stuck in lesson 2 of Alphalens where I'm supposed to get the open_price. I have created my pipeline and when I output the "factor_data" (called "result" in my notebook) of the pipeline over a period of time, I get a dataframe that contains 17 equities. When I try to get_pricing, as shown below in the tutorial:

symbols=factor_data.index.levels[1], # Finds all assets that appear at least once in "factor_data"

the level 1 index output is dtype='object', length=9929. I don't understand where these 9929 equities came from instead of seeing 17 entries. I could get around this problem by converting result into a list and then back into a data frame, but then I run into trouble again when I need the time zone info from the original dataframe to run get_clean_factor_and_forward_returns.

Does anyone know why the index of my dataframe does not match what I see in the output and how I can resolve this issue? I included my notebook where I commented the troubles I'm having in cells 4/5/6. Thanks and sorry if this is an easy beginner question!

1 response
Dan Whitnable

The simple answer to get just the 17 assets you are expecting is to use the pandas get_level_values instead levels. Like this

assets = result.index.get_level_values(level=1).unique()  
display(assets)

There is a more detailed explanation in this post. As you can see, you're not the only person that has questioned what's going on here.

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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.