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A 'Dynamic' Universe Via set_universe

The dollar universe provided by set_universe is updated quarterly but actually grows in size i.e. the 'old' securities are still present but not accumulating any new data. This code maintains a 'dynamic' universe of 'live' securities. I don't know if it's of any use. Also, the CSV of update dates would obviously need to be updated itself each quarter.

Another problem is that the universe usually changes size at the update which will probably cause a problem with algos that use matrix algebra for co-variance calculations etc.

P.

1 response

My understanding of 'fetch_csv' is not as complete as it could be and the above introduces a symbol called 'Universe' into the universe of symbols. I think this code works around that.

P.