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Periodic universe update with fetch_csv
Preben Bruun-Nyzell
posted

I'm writing a statistical arbitrage algo but have run into a problem: to ensure the algo can run over a longer period of time, it is necessary to periodically update the universe of "unit portfolios" (combination of securities that make up the long/short positions) to remove security combinations that are no longer tradable and add new combinations.

At the moment, the event driven architecture in Quantopian is not suitable for a program that works through a large number of combinations of securities, looking for cointegrated, mean reverting and tradable unit portfolios, so I have an external program for that purpose. My idea is that I could have the Quantopian algo read a csv file from a dropbox on a weekly basis to update the universe.

However, it seems the fetch_csv method can only be called in the initialize method and other file read methods, for example pandas.read_csv, are not allowed at all.

Is there some way to update the security universe from an external source during algo execution?

1 response
Alisa Deychman

Preben, if your algorithm is live trading (with the broker or paper trading using Quantopian's free feed), and you want to update the security universe, you should use fetch_csv.

You can update the CSV file before midnight Eastern Time by appending the new securities to the bottom of your file. The algorithm will warm up for the trading day in the early morning hours, and pick up the new stocks to trade in the logic.

If you want to update your universe, you should use the "univese_func" paramter: https://www.quantopian.com/help#overview-fetcher

And here's an example: https://www.quantopian.com/posts/define-custom-universe-via-fetcher-using-the-new-universe-func-callback

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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.