point-in-time list, NASDAQ stocks by market cap?

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point-in-time list, NASDAQ stocks by market cap?

posted Sep 29, 2015

Seeking Help Using Data Research

In the Quantopian research platform, every trading day, I'd like the list of securities corresponding to the top N NASDAQ stocks, by market cap, with N an integer (e.g. N = 50). For example, on the first trading day of 2005, I'd like a list of the 50 largest cap NASDAQ stocks. On the second trading day of 2005, I'd like an updated list, etc. The list for each day should have a datetime stamp associated with it, corresponding to the day for which the list applies.

Does someone have an example notebook to share? Or an outline of how to do this?

Ideally, the list would be based on the market cap ranking using the prior trading day's data. However, this is probably not important. How often is the Quantopian fundamental data computed? And how is market cap calculated?

3 responses

Hi Grant,

To address your question on update frequency, market cap, from May 2014 onwards is updated daily. It is calculated and provided by Morningstar. Generally, since May 2014, we've received daily updates from Morningstar. So any metric that updates daily (like market cap, enterprise value, etc.) has a new value on a daily basis.

For data prior to May 2014, we have monthly updates from Morningstar. So you'll see market cap changing one a month in that data set for market cap. You can gain insight into the update frequency of the data by examining market_cap_asof_date in addition to simply market_cap.

Hope that helps.

Josh

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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.

Thanks Josh,

I sorted out how to do it (see attached). The notebook needs some cleaning up, but I think it is working. I should have a dictionary of the top 20 NASDAQ securities by market cap, keyed by trade day, going back to 2002-01-02. Not too shabby.

Grant

Here's a cleaned up notebook. --Grant

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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.

About Quantopian

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.