How to pass inputs into a custom factor together with the corresponding datetime index?

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How to pass inputs into a custom factor together with the corresponding datetime index?

edited Aug 17, 2018

In the following example:

class PriceRange(CustomFactor):  
    """  
    Computes the difference between the highest high and the lowest  
    low of each over an arbitrary input range.  
    """  
    inputs = [USEquityPricing.high, USEquityPricing.low]  
    window_length = 252

    def compute(self, today, assets, out, highs, lows):  
        out[:] = np.nanmax(highs, axis=0) - np.nanmin(lows, axis=0)

The inputs are ndarray objects, without the corresponding datetime index. How can we pass in the corresponding datetime index at the same time? Or is there a way to reconstruct the correct datetime index inside the compute method?

I would like to reconstruct the dataframe inside the compute method so as to do weekday resampling.

Thanks a lot for helping!

1 response

I am now 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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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.