Hi, I'm new to quantopian and have spent a few hours going through the documentation to try and figure out how I could do a backtest of buying a stock during the first minute of trading after an ipo. I understand if you're using the "universal" method for selecting your stock universe it doesn't include the stock until after the first day of the IPO. Any ideas of how I could do it?
Hi Eric - the set_universe() command updates the universe every 3 months, so you're pretty much never going to capture an IPO that way.
We don't track new IPOs in our database (at least not yet). What I suggest you do is find a list of IPOs - SEC filings or whatever - and put them in a CSV. You can then import that data using Fetcher and test it that way.
If you get close to live-trading this strategy, let me know. We have an open issue where you can't easily trade stocks on the first day of the IPO. It should be fixed fairly soon, but just in case. . .
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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.