Hi, I am new to quantopian and just starting to learn how to build my first algo. I like to pick the top 3000 stocks by market cap. In addition, I like to add quite a number of (US+foreign) ETFs (whose market cap might not make to the top 3000) to that list before running a ranking of features. How could I do that? Thanks
First off, welcome!
To add fixed or static assets to your universe of potential stocks use the StaticAssets filter. (see the docs https://www.quantopian.com/help#built-in-filters ).
Something like this
# Base universe set to the QTradableStocksUS
# This is includes only stocks and is recommended as a base for most trading universes
base_universe = QTradableStocksUS()
# Select largest 3000 stocks by market cap from the initial base
# Use base_universe as a mask to begin with that subset of stocks
top_3000 = MarketCap(mask=base_universe).top(3000)
# Select some fixed ETFs
my_etfs = StaticAssets(symbols('SPY', 'VTI', 'GSIE'))
# my universe is the top 3000 plus my etfs
my_universe = top_3000 | my_etfs
Check out the attached algo to see it run. Good luck.
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