order of values in compute method of Factor

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

posted

I am confused with the order of the values in the compute method of a Factor.

class TestF(CustomFactor):  
    inputs = [USEquityPricing.close]  
    def compute(self, today, assets, out, values):  
        ...

I understand values will be a M x N numpy array, where M is the window_length and N the number of securities.
However, what's the order?
If I have a windows_length of 5, what day is values[0]? Is it today or today -4?
So basically, to be visual, are my rows:

i=0 | today  
i=1 | today - 1  
i=2 | today - 2  
i=3 | today - 3  
i=4 | today - 4

i=0 | today - 4  
i=1 | today - 3  
i=2 | today - 2  
i=3 | today - 1  
i=4 | today

2 responses

Ernesto Perez

Hello Mike,

Your second example is close. The last value in the array (-1) corresponds to the latest known value (yesterday, since pipeline only knows values for previous days), and the first value in the array (0) corresponds to the first day in the window.

I hope this helps.

Disclaimer

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.

Mike P

Thanks :)

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

Careers

Events

Status

Twitter

YouTube