How to use TaLib indicators in research.

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How to use TaLib indicators in research.

posted Jul 1, 2017

Hello,

I am trying to use Talib indicators in research but I keep getting an error. Below is my make_pipeline function.

def make_pipeline():  
    initial_screen = filter_universe()  
    pipe = Pipeline(  
        columns = {  
            'RSI9' : RSI(inputs=[USEquityPricing.close], window_length = 9),  
            'ADX': tb.ADX(USEquityPricing.high,USEquityPricing. low, USEquityPricing.close, timeperiod=14)

        },  
        screen = initial_screen)  
   return pipe

The quantopian RSI indicator works fine, but for the ta-lib ADX indicator I get the error: Argument 'high' has incorrect type (expected numpy.ndarray, got BoundColumn).

How do I make it work?

Thanks,
Rodrigo

4 responses

Did you ever figure this one out?

Yes the talib libraries work in the research notebooks. They just can't be used to define pipeline calculations and therefore require using a 'CustomFactor'.

The specific (initial) problem is with the statement

tb.ADX(USEquityPricing.high,USEquityPricing. low, USEquityPricing.close, timeperiod=14)

The talib function doesn't like that. The ADX talib function expects numpy arrays of prices as the parameters. The 'usequitypricing.high', 'usequitypricing.low' , and 'usequitypricing.close' objects are 'BoundColumn' objects (see https://www.quantopian.com/help#zipline_pipeline_data_dataset_BoundColumn ). These aren't the actual data but rather definitions for how the data is fetched and used in a pipeline.

Without getting into the specifics, if one wishes to use a talib calculation in defining a pipeline, first look at the built in factors to see if there is perhaps a built-in replacement (look under https://www.quantopian.com/help#built-in-factors). If there are no suitable built-in factors then one would need to define a CustomFactor. The talib functions can then be used inside this custom factor. It's not difficult but does require some code. Take a look at this post for how to create custom factors from talib functions https://www.quantopian.com/posts/using-ta-lib-functions-in-pipeline . There is an example notebook which one can cut and paste from.

There is also an excellent post which has pipeline optimized substitutes for many of the talib functions (https://www.quantopian.com/posts/ta-lib-for-pipeline). Check it out.

Hope that helps.

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Thank You Dan!
I found the following post for the ADX as a custom factor.
https://www.quantopian.com/posts/help-using-talib-in-a-custom-factors-in-pipelines-it-might-be-a-bug-exception-inputs-are-all-nan

Hopefully, between the example your provide me and the custom factor I can put it together

Since there are bound columns, there logically must also be unbound columns. Can someone show an example of an unbound column? Perhaps side-by-side with a bound column? Can it be reduced to analogy with a spreadsheet?

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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.