Hi all,
I'm new to quatopain and need a little help forming my pipeline. I'm calculating the beta of Canadian securities in relation to the "XIU" - Canadian version of the SPY. When I enter XIU into the SimpleBeta function the error i receive is: "failed to find securities matching ['XIU'].
Here is what i got:
from quantopian.pipeline import Pipeline, CustomFactor
from quantopian.pipeline.data import EquityPricing, factset
from quantopian.pipeline.factors import Returns, SimpleBeta
from quantopian.pipeline.domain import CA_EQUITIES
from quantopian.research import run_pipeline
class MinVolume(CustomFactor):
inputs=[EquityPricing.volume]
window_length=10
def compute(self, today, asset_ids, out, values):
out[:] = np.min(values, axis=0)
volume_min = MinVolume()
volume_filter = (volume_min.percentile_between(50, 100, mask=(volume_min > 0)))
def beta_pipline():
XIU = symbols('XIU')
beta = SimpleBeta(XIU, 252, allowed_missing_percentage=0.00)
return Pipeline(columns={'beta': beta}, screen = volume_filter, domain = CA_EQUITIES)
factor_data = run_pipeline(pipeline = beta_pipline(),start_date='2016-01-01', end_date='2019-09-30')
factor_data.head()
How can i fix this?
Please let me know if you need anymore info!
