Hi,
I am trying to query for top 200 stocks in NYSE by market cap but the query in before_trading only returns one stock. Could someone please tell me what is wrong with the implementation?
Here is the code.
def before_trading_start(context):
fundamental_df = get_fundamentals(
query(
fundamentals.valuation.market_cap,
)
.filter(fundamentals.company_reference.primary_exchange_id == 'NYSE')
.filter(fundamentals.valuation.market_cap != None)
.order_by(fundamentals.valuation.market_cap.desc()).limit(200))
update_universe(fundamental_df.columns.values)
context.stocks = [stock for stock in fundamental_df]
log.info(len(context.stocks))
Maybe set a breakpoint and examine it? I know when I first started using fundamental data, I was surprised that the fields were the rows and the sids were the columns, so I started transposing the matrix before using it.
The value for NYSE is "NYS" rather than "NASDAQ". Similarly the value for NASDAQ is "NAS".
Unfortunately the documentation we have doesn't specify possible values so I've learned this by examining the data, either in the debugger (setting a breakpoint by clicking on a line number in the gutter as Simon suggests or simply logging the values with log.info()
These things will be easier to solve once fundamentals is in the research environment (coming soon!)
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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.