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Pipeline with Datasets that Contain Weekend Data

I mentioned this issue at QuantCon this past weekend. I just wanted to document the issue on the forum. Basically, Pipeline is not able to fetch data on weekends for datasets that have observations on weekends. The Stocktwits dataset from psychsignal is an example. see the attached notebook for details and an example.

I'm not really sure of the best way to deal with this issue, since I don't know enough about how Pipeline works on the back-end, but I figured I'd post it in case others had ideas.

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9 responses

This is very interesting, thanks.

Curious, if you wrote a CustomFactor with only stocktwits inputs and a window_length = 3, would its *inputs array of data also skip non-market days. I believe the answer here too would be it skips, but if not you could compare the current date in the CustomFactor with the market calendar to decide which of the three items in each array to output.

Hmm, that’s a real bummer. Do you know if the Q engineering team is aware of this? I wonder if there can be some sort of creative data manipulation or cleaning on the backend to allow this data to be accessible via Pipeline? I would think weekend data would be quite important when it comes to sentiment data... :(

Thanks for highlighting it and sharing the notebook.

@Doug, That's an interesting idea, but it doesn't look like it works. The numpy array in the custom factor still skips the Friday and Saturday values.

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I believe Quantopian stages pipeline data for performance efficiency, and would guess trading days to be a strict architectural limitation. You might suggest Quantopian consider creating a new data series containing the Mon-Fri data only, skipping weekend data. Then you could subscribe to both series to access most all the data, some of which would be duplicated across both series.

Thanks for noting this issue. We'll add it to our backlog. Providing different options for the treatment of weekends in lookback windows for pipeline and factor creation is a reasonable improvement request. Some data sets like sentiment could definitely use this feature (where Sunday's sentiment definitely influences Monday) whereas other data sets (pricing data) should only consider market calendar days.

Thanks
Josh

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Hi @Q Team,

Could someone provide an update on this issue please? I just ran Michael's notebook again, and the issue doesn't appear to have been fixed (see attached). For sentiment data, wouldn't weekend data possibly be even more important? As it is, this 'Featured' data-set is only about 70% complete, right? Or is the Friday and Saturday sentiment data included in the Sunday and Monday sets? Thanks.

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Any news on this issue? Best option for sentiment-based strategies is not trading on Mondays

I'm also eager to hear. My observation with sentiment strategies is that they experience significant alpha degradation on Mondays. I'd be curious to know whether that is due to this "bug".