Hi,
I'm getting "TimeoutException: Call to before_trading_start timed out" error regularly for my algo and I know why. The algo uses Pipeline and it times out because it tries to calculate all my custom factors for huge amount of securities. However, I only need my factors to be calculated for predefined list of sids. Can anybody suggest how to do it?
I'm using Pipeline API only for one reason: it's the only way I know to get dividend-adjusted data.
Regards,
Ed