How to get TimeStamps for history in CustomFactor

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posted Oct 3, 2017

The historical data inputs in a CustomFactor are of type np.ndarray, this makes it difficult to combine them with other timeseries data that was calculated outside the pipeline (essentially because of alignment).

Is there any way I can get timestamps for the historical data in the pipeline, e.g. via some clever calendar calculations using the today input as a starting point? I'd like to create a pd.Series or a pd.DataFrame indexed by the timestamp.

An example use case is e.g. to combine futures data with equity data.

3 responses

Boris Wu

Aug 19, 2018

Hi Ivory Ant, have you got the problem solved? I have just started using the Quantopian :)

Thanks~~

Ivory Ant

Aug 19, 2018

No sorry, if I remember correctly I abandoned the whole thing because of other problems with mixing futures and stocks. Maybe something with the pipeline, can't really remember.

Boris Wu

Aug 20, 2018

Thanks Ivory, i am using the following approach:

from zipline.utils.calendars import get_calendar

def get_trading_index(today, num_days):  
    up2today = get_calendar('NYSE').schedule[:today]  
    return up2today.iloc[len(up2today)-num_days:len(up2today)].index

The returned index is well-aligned as checked in the reseach environment :)

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