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
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