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Get Today's Top gainers

Hello Everyone,

I want to do either

  1. Run pipeline filtering on the same day where the algorithm will be called "not the previous day" -> Get the Top Gainers and run my algorithm minute by minute on those Top Gainers

  2. Run universe selection continuously during the day, "with handle method" so I can detect stocks that are raising during the trading session "Similar to what you can do with InteractiveBrokers MarketScanner API"? As far as I know, this option is not available?

Are any of those two options doable with Quantopian?

2 responses

Yes, one can backtest intraday price changes. Pipeline though, won't work for this. By definition, pipeline only fetches daily data. The data is as of before trading on each backtest date. Pipeline cannot be used to fetch the current day's data.

However, the data.current and data.history methods will fetch current, intra-day, data. Actually, the best approach is to run pipeline before the market opens each day to get the list, or universe, of stocks one wants to check. Then, use this list to fetch prices using data.history.

Check out the attached algo for one approach. Specifically, look at the logs where the days top 5 gainers and losers are listed every minute.

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Great, that will do the trick

Thank you!