Retrieving the Opening Price on a Previously Detected Volume Spike

Summary

This BigQuant forum post describes a factor-research problem: detect a recent stock event, then later compare price with a level from the event day. The example defines an event using volume more than twice the prior value and a return above a stated threshold, then searches a 10-day window for the event date and attempts to retrieve that day's opening price. Both shown approaches fail because the shift operation expects a scalar offset, while the event-date calculation produces a series.

The post is a report of a platform limitation and a request for support, not a completed solution. It provides the attempted expressions and their error messages but no working alternative, backtest, or trading results. It is useful as an illustration of the challenge of applying per-row, time-varying offsets in vectorized factor systems; users would need another supported way to map each observation to its event-day price before building a strategy around it.

Key ideas

• The example flags an event using a large volume increase together with a positive return threshold.
• It searches a recent window for the event date and wants the opening price from that date.
• The attempted shift calls fail because the calculated offset is a series rather than a scalar.
• The post reports a platform limitation and does not provide a working retrieval method or trading evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.