I'm trying to filter the universe of stocks I want to test my algorithm with using the code below. I'm trying to filter for an initial subset of all available stocks in the bundle on 2015-12-31, for stocks with average market capitalization over 50M for past 10 days, and with a price under $10. I only want to do this once initially to get the set of stocks. Then run the algorithm with the same stocks. I think the code below is refiltering the stocks each period. so I'm wondering how I can do it in the initialize function, instead of the handle_data function. I'm running this in zipline. any tips greatly appreciated.

def initialize(context):  
    context.set_commission(commission.PerShare(cost=0.0, min_trade_cost=0))

    date_time_str = '2015-12-31'


    date_time_obj = datetime. strptime(date_time_str, '%Y-%m-%d')  
    bundle = load('quandl', os.environ, date_time_obj)


    asset_symbols = list(set(str(asset.symbol)  
              for asset in bundle.asset_finder.retrieve_all(  
                           bundle.asset_finder.equities_sids)))




    assets = bundle.asset_finder.lookup_symbols(asset_symbols, as_of_date=None)  


    sids = [sid(asset.sid) for asset in assets]  

    context.assets =sids  

    context.window = 252  
    context.rebalance_period = 1  
    context.time = 0  




 def handle_data(context, data):  
     cleaned_weights = []  
     if context.time == 0 or (context.time % context.rebalance_period == 0):  
         # extract prices  
         prices_df1 = data.history(context.assets, fields='price',  
                               bar_count=context.window + 1, frequency='1d')  
         market_cap_df=data.history(context.assets, fields='volume',  
                               bar_count=context.window + 1, frequency='1d')\  
        *data.history(context.assets, fields='price',  
                       bar_count=context.window + 1, frequency='1d')  
         indx_df=market_cap_df[:10].mean()  
 #         print(indx_df.shape)

         # filtering based on market capitalization  
         asset_symbols2=indx_df[indx_df>50000000].index.tolist()


         prices_df=prices_df1[asset_symbols2]  

         # filtering based on initial price less than capital base  
         # minimum of 20 stocks for diversification  
         asset_symbols3=prices_df[:1].T[prices_df[:1].T<10].dropna().index.tolist()  
         prices_df=prices_df[asset_symbols3]