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fetch_csv - accessing previous day's fetched data

I am having trouble accessing fetched data for a previous day. I have a list of economic indicators imported through fetch_csv() that are then mapped onto the dataframes for each day. I can use history() to grab previous day's price, high, low, volume, etc. but I can't access the imported data from previous days. Does anyone know how to do that?

4 responses

One thing you can do is create a list in your initialize method, then append to that list the new data. Then you can access previous points in time with, for example, context.previous_data[-2] for the data two days ago.

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Yeah I thought about creating a list, dict, or some other data structure to hold the daily data for back-reference but that seems unnecessary when all of the data is already imported and stored during fetch_csv(). I understand not being able to look forward, because that would be impossible when running the algo live, but not being able to look at previous days imported data adds a lot of unnecessary difficulty.

That is my solution, essentially the same as Richard's, converting a rolling window of a column of the csv fetched into a csv-encoded column of historical values and column of historical dates. Then one can unpack this into "history" in handle_data or whatnot.

Edit: credit for this idea goes to Richard Diehl https://www.quantopian.com/posts/method-to-get-historic-values-from-fetcher-data

Edit: also I have since improved that logic a little bit but I cannot update the post above for a while! Hopefully the idea will be enough.