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Get current date in pipeline

I want to create a filter which filters out any companies which have released filings in the last week.

I see the Fundamentals.file_date property, but I have no idea how to compare this to the current date in the pipeline.

3 responses

Try to add to your pipeline a screen criteria like this:

& (Fundamentals.file_date.latest < (get_datetime('US/Eastern').date() - pd.Timedelta('7 days'))

One can use the pipeline factor BusinessDaysSincePreviousEvent to get the number of business (not trading) days from a date factor to the current pipeline date. The zipline documentation and code can be found here. This will get the latest filing date and then create a filter for all securities where the filing date was more than 5 days ago.

    file_date = Fundamentals.file_date.latest  
    days_since_filing = BusinessDaysSincePreviousEvent(inputs=[file_date])  
    days_since_filing_over_5 = days_since_filing > 5

The attached notebook has an example.

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That's more than perfect thanks Dan