The historical data inputs in a CustomFactor are of type
np.ndarray, this makes it difficult to combine them with other timeseries data that was calculated outside the pipeline (essentially because of alignment).
Is there any way I can get timestamps for the historical data in the pipeline, e.g. via some clever calendar calculations using the
today input as a starting point? I'd like to create a
pd.Series or a
pd.DataFrame indexed by the timestamp.
An example use case is e.g. to combine futures data with equity data.