How to get TimeStamps for history in CustomFactor

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.

3 responses

Hi Ivory Ant, have you got the problem solved? I have just started using the Quantopian :)

Thanks~~

No sorry, if I remember correctly I abandoned the whole thing because of other problems with mixing futures and stocks. Maybe something with the pipeline, can't really remember.

Thanks Ivory, i am using the following approach:

from zipline.utils.calendars import get_calendar