Before the start of each trading day, I would like to be able to look back the last 60 days at the high prices for each stock and count how often that price is above a target value. Then I want to update the universe so that it only includes stocks where the high price was over the target x number of times. I know how to do this one stock at a time within handle_data but I really think it makes more sense to just have the universe updated each day with this logic before trading starts. I can't think of how though.
How do I get a count of high prices over a target value for each stock in before_trading_start?
Take a look at the pipeline API. With this you can pretty easily get the last 60 days of prices and pull out a count of the number of times it is over a certain number. Then you can set a filter to only add those above a certain threshold to your universe.
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Karen, thanks for your response. The pipeline API documentation you shared seems incomplete to me. However, while I didn't find the information there directly, it did set me on the right path. I was able to figure out how to do what I wanted after browsing the forums using the pipeline API, but the documentation itself did not help. I really just needed to know how to access the pipeline data that is constructed in initialization in handle_data.
For anyone else that finds this thread with the same question you can grab anything added to your pipeline with the syntax
for stock in data.keys():
pipeVariable = context.my_universe.pipeVariable[stock]
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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.