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How to get single stock price data in CustomFactor calculating
Michael
posted Apr 17, 2017

Hi, I want to create a custom factor whose calculation is based on SPY price data.
For example: Asset = USEquityPricing.close.latest # the close price of the whole universe
Underlying = USEquityPricing.close[sid(8554)] #this can not be achieved which is also my question
Px = Underlying/Asset

Now I am trying to use customfilter to calculate spy's price as a factor, but when I try to use this factor to calculate "Underlying/Asset" the error appears. I think it's because these two factors have different dimension. The Asset has whole stocks price but Underlying only contain spy's price so they can't be matched to calculate.

So I wonder if there is a way to get the single stocks' price data in pipeline just like "USEquityPricing.close[sid(8554)] "

2 responses
Dan Whitnable
Apr 17, 2017

"I wonder if there is a way to get the single stocks' price data in pipeline just like "USEquityPricing.close[sid(8554)]".

One can create a custom factor to do this. Something like...

import numpy as np


class SPY_Close_Price(CustomFactor):  
    '''  
    One can use any inputs from any assets and set any factor outputs based upon them.  
    In this case, simply return the close price of SPY for every asset.  
    '''  
    inputs = [USEquityPricing.close]  
    window_length = 1  
    def compute(self, today, assets, out, close):

        spy_index = np.where(assets == 8554)   # 8554 is the SID of SPY  
        # index -1 gets the latest price row. spy_index gets the SPY column.  
        out[:] = close[-1, spy_index]
Michael
Apr 18, 2017

Hi Dan Whitnable,

Great! Thanks so much for your help!

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