If not using https://www.quantopian.com/posts/the-q500us-and-q1500us, this is another example for screening out the contest-prohibited leveraged ETF's
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data import morningstar as mstar
from quantopian.pipeline.factors import CustomFactor, AverageDollarVolume
from quantopian.pipeline.filters.morningstar import IsPrimaryShare
def initialize(context):
tradable = (
IsPrimaryShare()
& (ETFScreen() != 1) # No leveraged ETF's
& mstar.balance_sheet.limited_partnership.latest.isnull()
& mstar.share_class_reference.security_type.latest.eq('ST00000001')
& ~mstar.share_class_reference.is_depositary_receipt.latest # ~ means 'not'
& ~mstar.share_class_reference.exchange_id.latest.startswith('OTC')
& ~mstar.share_class_reference.symbol.latest.endswith('.WI')
& ~mstar.company_reference.standard_name.latest.matches('.* L[. ]?P.?$')
)
pipe = attach_pipeline(Pipeline(), name='zoo')
dollar_volume = AverageDollarVolume(window_length=20) # Tossed in, for '&' next line
pipe.set_screen( (dollar_volume > 10**7) & tradable )
class ETFScreen(CustomFactor):
inputs = [] ; window_length = 1
def compute(self, today, asset_ids, out):
out[:] = asset_ids.isin(security_lists.leveraged_etf_list.current_securities(get_datetime())) 
