quantlab.factor.predefined.start_clipped#
Start-clipped factor: another factor read from its store’s first bar on.
A factor whose inputs start late has a store that starts late: the daily
factors of the one-minute bars start on 2016-10-11, the first session of
the minute store. A model training from 2000 asks every factor for its
panel from 2000, and the store refuses a read it does not cover.
StartClippedFactor wraps any factor and moves a read’s start to the
store’s first bar; the model merges the factor panels on the union of
their bars, so the bars before it are NaN, which is what they are: there
is no value to read there. The outputs keep the wrapped factor’s names, so
the wrapper replaces the factor in a model’s config without anything else
changing.
Only the start is clipped. A read past the store’s end is still refused: a store that has not reached the bar asked for is stale, and a live day must not read it as a missing value.
The wrapper is a factor view (quantlab.factor.view): it reads the
wrapped factor’s store, and only the factor owning every variable of that
store writes it (ADR 0029).
Classes
The outputs of |