Hi, I want to create a custom factor whose calculation is based on SPY price data.
For example: Asset = USEquityPricing.close.latest # the close price of the whole universe
Underlying = USEquityPricing.close[sid(8554)] #this can not be achieved which is also my question
Px = Underlying/Asset
Now I am trying to use customfilter to calculate spy's price as a factor, but when I try to use this factor to calculate "Underlying/Asset" the error appears. I think it's because these two factors have different dimension. The Asset has whole stocks price but Underlying only contain spy's price so they can't be matched to calculate.
So I wonder if there is a way to get the single stocks' price data in pipeline just like "USEquityPricing.close[sid(8554)] "