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Does window_length include the current day 'N' ?

Does window_length=2 => N and N-1 or N-1 and N-2?

2 responses

The premise which pipeline is founded is that it presents the data an individual could know as of before market open. As an example, if a pipeline is run on Friday, it presents data which could have been known as of before market open on Friday which is Thursday's data. The latest data it will ever return is from the previous trading day. The window_length starts on the previous day. In the case of the example, a window_length = 2 would include Thursday and Wednesday. Additionally, the window_length only includes trading days. Weekends and holidays are not included. Therefore, if this pipeline is run on Tuesday with window_length = 2, it will present data which could have been known as of before market open on Tuesday which is Monday and Friday data.

Hope that helps.

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Thanks!