pipeline tutorial?

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pipeline tutorial?

edited Apr 8, 2016

Seeking Help Pipeline

I'm lazy and don't want to read the extensive pipeline documentation. So I am posting this in the hope that someone will explain how pipeline works. Here's an example (modified from one provided by Delaney Granizo-Mackenzie). What does each line do? It seems like an awful lot of code just to pull prices (e.g. get_pricing() is one line), but I figure it's all there for a good reason.

I'm not so familiar with Python objects (and object-oriented programming in general), so don't assume I have a clue about all that jazz.

Also, keep in mind that I'm lazy, so links to tutorials and such will be ignored, by definition.

5 responses

If I change to window_length = 2 in the code above, I get an error:

could not broadcast input array from shape (2,8537) into shape (8537)

How do I use a window length greater than 1?

Here's a computation of the overnight price gap, if I'm following how this all works.

class OvernightGap(CustomFactor):  
    inputs = [USEquityPricing.open,USEquityPricing.close]  
    window_length = 2  
    def compute(self, today, assets, out, open, close):  
        out[:] = open[-1,:] - close[0,:]  
def make_pipeline():  
    pipe = Pipeline()  
    gap = OvernightGap()  
    pipe.add(gap, "gap")  
    return pipe

I'm trying to plot a heatmap with the attached notebook, but I get the error:

The kernel appears to have died. It will restart automatically.

Note that if I set the start and end dates to cover 1 year, the heatmap works.

I am surprised no one replied to this post

Jamie McCorriston

Grant,

We just published a Pipeline tutorial, check it out!

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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.