I've got a question on how to get the time series output in the pipeline. Attached is my pipeline notebook which i hope to replicate in IDE. One fundamental difference I've found comparing pipeline in research mode and IDE mode is the pipeline output in production mode must be invoked through "initialize" --> "attach_pipeline" --> "pipeline_output". Since "initialize" only take "context" as an input, it won't be possible to use "data.history" in the subsequent "attach or pipeline output" definition. One way I think might solve this problem is by using Custom Factor but looking at definition of "out" as a single dimension array (i.e. out is an empty array of length N), following pseudo code won't work since there is a dimension mismatch. Anyone there might be able to help me. Appreciate it.
inputs = [USEquityPricing.close,Returns(window_length=2),Sector()]
window_length = 1
out[:] = [close,returns,sector]