MichaelJMath
9/16/2018 - 4:21 PM

Custom get_pricing (Quantopian)

symbol_list = ['CLF', 'PLAY']

start_date = pd.datetime(2016,1,1)
end_date = pd.datetime(2018,9,14)

def custom_get_pricing(symbol_list, start_date, end_date, panel=False):
    prices = get_pricing(symbol_list, start_date, end_date)
    prices.minor_axis = map(lambda x: x.symbol, prices.minor_axis)
    if panel:
        prices = prices.swapaxes(0,2 )
    else:
        prices = prices.to_frame()
        prices.index.names = ['date', 'asset']
    return prices