Problem: Using history function with alternating universe

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

Back to Community

Problem: Using history function with alternating universe

Erik Asbjørn Arvid

posted Apr 16, 2015

Hi

We are currently trying to utilize the history function to get previous trading day's close price. However, our universe of SID's changes daily from a load using fetcher, and hence the same SID will NOT be in the universe two days in a row, which seems to make the history function fail miserably.

With a simple handle_data function doing nothing but

history(2,'1d','price')

our algorithm fails if we do not have a fixed universe, e.g. by loading SID's using context.appl = sid(24) in our initialization.

How can we solve the problem?

1 response

If the fetcher has been properly setup then the stocks will have been loaded into your universe. You can then access it as:

    price_history = history(bar_count=2, frequency='1d', field='price', ffill=True)  
    for st in data:  
        prev_bar = price_history[st][-2]  
        curr_bar = price_history[st][-1]

If you can't get it to work, check so that the stocks have been properly loaded into your universe, i.e:
for st in data: print st or something like that.

EDIT: Another really common mistake is to try to access data that doesn't exist. That will cause an error. Every stock doesn't trade every minute, that means that for some bars there's no price data. If you've only tried large stocks like appl manually and then import obscure companies you're bound to encounter such errors. Always check that the price data you try to grab actually exists. Example:
if 'price' in data[stock]: # Ok, it exists... Call history. That's not really related to the history function but perhaps you are comparing your historic values to the current value. What do I know.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.