How do I create Filters from comparing dates (not usual factor with numerical values)??

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How do I create Filters from comparing dates (not usual factor with numerical values)??

posted Nov 12, 2017

I had an issue in pipeline algorithm that I would like to get the latest asof_date can do come comparison with a fixed date (e.g. today the simulation date) to create a filter. However I do not know a good way to do it.

For example:

from quantopian.pipeline.data.zacks import EarningsSurprises

def make_pipeline(context):  
          earn_date = EarningsSurprises.asof_date.latest  
          sim_date = get_datetime().date()  
          # create a filter to see if earning date is the same as sim_date  
          date_filter = earn_date.eq(sim_date)  
....

This will result in error like:

BadBinaryOperator: Can't compute Latest == date
There was a runtime error on line xxx.

My question is: since the asof_date is not a simple float, the earn_date (which comes from .latest attribute) is not a factor either?
and how could I build a filter from comparing the asof_date.latest with some datetime objects?

Appreciate the help. Thanks much.

3 responses

can somebody help? I'd think this is quite a common caseto handle, i must be missing something obvious.

Hello Marise,

Pipeline factors cannot be directly compared to datetime objects. However, you can pass asof_date factors to BusinessDaysSincePreviousEvent to determine the window length between the current day in the simulation and the asof_date factor. In code, that would look like this:

    earn_date = BusinessDaysSincePreviousEvent(  
        inputs=[EarningsSurprises.asof_date]  
    )  
    date_filter = earn_date <= 1

You can find a full example that uses fundamentals data in our sample algorithms library.

I hope this helps.

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Thanks Ernesto, this is very helpful!

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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.

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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.