Can CustomFactor Pipelines Be Used with Minute Data?

[hectordanielc]

Hi,

Is it possible to use CustomFactor pipelines with minute-level data?

I'm currently encountering the following error when trying to attach a pipeline in the initialize function:

ValueError: At least one valid asset id is required.

Here's some context:

I was successfully testing one of my strategies using daily data from a custom bundle I created. Then I decided to switch to a 1-minute data bundle to test other ideas. However, with the same setup that worked for daily data, I now get the error mentioned above when I try to attach a pipeline.

Here's a minimal example of the pipeline I'm using:

def make_pipeline():
    pipe = Pipeline(
        columns={
            'close': USEquityPricing.close.latest,
        },
        screen=USEquityPricing.close.latest.notnull(),  # Replacing StaticAssets with a broader filter
    )
    return pipe

And this is my initialize function:

def initialize(context):
    # Define the stocks to trade
    context.asset = [symbol(ticker) for ticker in symbol_list]

    pipeline = make_pipeline()
    attach_pipeline(pipeline, 'pipeline')

This works perfectly with daily data. But with 1-minute data, I get the ValueError. Interestingly, if I comment out the attach_pipeline line like this:

def initialize(context):
    context.asset = [symbol(ticker) for ticker in symbol_list]

    pipeline = make_pipeline()
    # attach_pipeline(pipeline, 'pipeline')

…the error goes away and the code runs fine (excluding the pipeline, of course).

This leads me to believe that pipelines are not compatible with minute-level data. Could someone please confirm if this is the case? I want to avoid spending more time trying to debug something that might be unsupported.

Thanks in advance!