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Pipeline with current price
Ondrej
edited
Seeking Help Pipeline

Nooby questions, new to Q. Trying to implement an algo with rebalancing at EOD (~10 min before market close). Indicators used to rebalance are based on daily closing prices, but the latest possible price (i.e. when rebalancing is in progress) should also be taken into account.

However from what I understand, Pipeline uses precomputed indicators which work only with close prices from previous days and thus can't be used in my usecase. Is this correct? Can you suggest how to properly structure such algorithm in Q?

2 responses
Grant Kiehne

Yes, with pipeline, you are only accessing a trailing window of daily OHLCV bars. However, the data.history API provides access to a trailing window of minutely OHLCV bars, updated minutely intra-day (you can also use data.current if you are only interested in the most recent data, without the trailing window).

Dan Dunn

You should create your rebalance function as Grant describes, using data.history or data.current

Then, call your rebalance function once a day using schedule_function().

Have you done the getting started tutorial? It will help frame these concepts for you.

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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.