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creating new universe every day
Pinaki M
posted May 11, 2015

Hello all,
I am new to Quantopian as well as trading. I am trying to code up and improvise my first algorithm here and have a question. Here is what I want to do. At the beginning of every trading day, I want to scan through a large number of stocks and check to see if they meet a certain criteria which are not part of fundamental data (say, opening price > $50). I want to consider the list of the stocks that pass this initial test as my universe (let's assume this list is < 200, since that's the size requirement for the universe). After that, my main algorithm will work on those stocks. Note that at the beginning of every trading day, I want the universe from the previous day to be cleared and new set of stocks (meeting the same criteria) to be added.

From what I have seen so far in the tutorials and examples on this site, the above scenario is possibly not very straightforward to implement. Is this even possible to do? If yes, how?

Thanks.

1 response
Josh Payne
May 11, 2015

Hi Pinaki,

We provide before_trading_start() and the update_universe() function for dynamically screening your stocks on a daily basis -- i.e. selecting which stocks Quantopian looks for prices for during the trading day. Here's an example: https://www.quantopian.com/help#sample-fundamentals

Unfortunately, you're correct in that we make it hard to do this using stock price as a criteria. We do provide fundamental data (600+ metrics) for screening.

We're working to solve this. Check out this thread, started by Karen about our efforts in this particular area: https://www.quantopian.com/posts/how-to-build-a-stat-arb-strategy-on-quantopian

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.