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Change universe to all stocks on the NYSE and NASDAQ
Sean O'Keeffe
posted

Hello,

I would like to scan and create a small list of stocks like this algorithm has done (https://www.quantopian.com/posts/can-someone-check-my-logic-trying-to-calculate-top-gainers-and-losers-by-percentage-each-day-1). The only difference is that I would like to scan all stocks that are traded on the NYSE and NASDAQ, not just QTradableStocksUS. What can I put in the place of 'QTradableStocksUS' in this algorithm to instead have it scan all stocks that are traded on the NYSE and NASDAQ? I thought substituting in 'US_EQUITIES' would do the trick. But that doesn't do the trick and I'm not understanding why.

Thank you!
Sean

3 responses
Tentor Testivis

You can use Morningstar Fundamentals to get the exchange where the securities are listed and the security type to filter for stocks only. Then you simply create a filter out of them.
I noticed that before some date in 2015 there are no securities listed on NYSE, I have no idea why...

Tentor Testivis

Alternatively you can use FactSet EquityMetadata

from quantopian.pipeline.data.factset import EquityMetadata

and replace the filters in the pipeline function like this:

    exchange = EquityMetadata.listing_exchange.latest  
    exch_filter = exchange.element_of(['NAS', 'NYS'])  
    asset_type = EquityMetadata.security_type.latest  
    stock_filter = asset_type.eq('SHARE')

Then you'll have also stocks listed on NYSE before 2015. However, FactSet data has a 1-year holdout period, so your latest end date for any backtest is one year before the current date.

Sean O'Keeffe

Thank you so much Tentor! That seems to have done the trick! I really appreciate your help and the time you put into this for me

Sean

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