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Filtering by IPO Date

Hi there,

I had a look on the forums but could not find an answer that could help me out (I am still getting up to speed with Python + Quantopian API).

I am trying to create a boolean filter for the pipeline, by IPO date:

#filter by IPO date  
ipo_date = Fundamentals.ipo_date.latest > datetime.strptime('2015-01-01', '%Y-%m-%d')  

Clearly the issue is with the "Fundamentals.ipo_date.latest", but I am not sure how to convert it into a format that can be compared.

Any help on the issue is greatly appreciated!

2 responses

Hi Zigzag,

Pipeline factors cannot be directly compared to datetime objects. The best way to accomplish what you are trying to do would be to include the ipo_date factor in your pipeline's output, and then filter the resulting DataFrame in before_trading_start using the datetime object.

Attached you will find an example. I hope this helps.

Clone Algorithm
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from import Fundamentals
from datetime import datetime as dt

def initialize(context):
    context.ipo_threshold = dt.strptime('2015-01-01', '%Y-%m-%d')
    attach_pipeline(make_pipeline(), 'my_pipeline')
def make_pipeline():
    ipo_date = Fundamentals.ipo_date.latest
    return Pipeline(
        columns = {
            'ipo_date': ipo_date,
def before_trading_start(context, data):
    context.output = pipeline_output('my_pipeline')['ipo_date'][context.output > context.ipo_threshold])
There was a runtime error.

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Thanks Ernesto, much appreciated!