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Passing Factor data from pipeline into TradingAlogrithm?

In a separate thread @Mathew Lee mentioned:

we don't yet support Pipeline for zipline algos in the research
environment. So - any algorithm that attaches a pipeline to a
TradingAlgorithm won't work in research. You should stick to
backtesting in the IDE for this one.

I have a pipeline which consistently times out on long runs in the backtester however it works in the notebook. So I'd like to use zipline in the research environment to generate my backtest. Unfortunately it doesn't appear that attaching a pipeline is supported in the notebook environment. But I assume I should be able to merge my pipeline output with price data and pass that to my TradingAlgorithm. I'm a bit confused on how one would go about that though.

The pricing data fed to the TradingAlgorithm looks like:

'                         ', 'Equity(2 [ARNC])', 'Equity(24 [AAPL])', 'etc...'
'2016-03-07 00:00:00+00:00',           '28.587',           '100.270', 'etc...'
'2016-03-08 00:00:00+00:00',           '28.912',            '98.694', 'etc...'

However the factor data from the pipeline output is in the form:

'                         ', '                      ', 'Factor_1', 'Factor_2', 'etc...'
'2016-03-07 00:00:00+00:00',       'Equity(2 [ARNC])',       '12',       '0.5, 'etc...'
                                  'Equity(24 [AAPL])',       '10',       '0.2, 'etc...'  
'2016-03-08 00:00:00+00:00',       'Equity(2 [ARNC])',        '5',       '0.7, 'etc...'
                                  'Equity(24 [AAPL])',       '10',       '0.2, 'etc...'

What is the recommend method to incorporate factors generated with pipeline into TradingAlgorithm?

How do I combine these two datasets so that they will work with the TradingAlgorithm class? Or is there, currently, a way to attach a pipeline and have it processed by TradingAlgorithm?

5 responses

Does your pipeline use fundamentals data? We recently launched a faster version of Pipeline fundamental data and I'm wondering if that will solve your problem.

I don't yet know the answer to your direct question of formatting pipeline output data to use as input to TradingAlgorithm. If the faster fundamentals don't help, let me know and I can try to get you an answer.


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I'm not sure if I understand what you're referring to regarding fundamentals data. I'm using the modules:  

Is this what you mean?

Sorry, I forgot to paste the link. This is what I mean:

We just launched a new implementation of fundamental data in Pipeline which is faster than the old system. The old version was accessed with while the new way is accessed via The details are in the linked post. Let me know if this helps.

That may have sped the backtest up a bit for me but, unfortunately, perhaps due to the other data sources, the pipeline still times out. I think I still need to figure out a way to use the factors generated from pipeline within TradingAlgorithm.

Just for anyone following this or having similar issues, this is what I received from Q support...

Unfortunately, cannot take data extracted from a
pipeline. As noted in your community post, attaching a pipeline to a
zipline algorithm is also not supported by the Research environment.

I hope, in the future, we'll be able to attach pipeline and work with TradingAlgorithm in the notebook to better replicate what happens in the IDE.