Quantopian research platform question - filter on ETFs, then perform analysis?

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Quantopian research platform question - filter on ETFs, then perform analysis?

posted Mar 20, 2015

Using the Quantopian research platform, would it be possible to filter the universe of securities, to analyze only ETFs? For example, say I wanted a list of ETFs, screened by some criteria. First, I would need to identify the ETFs. Then, apply my screen. For now, it would be fine to just identify currently traded ETFs, and not worry about ones that have been de-listed (I realize the issue with surviorship bias, but I'd like to keep things simple, for now).

I'm guessing that I'd need to supply the list of ETFs, by ticker symbol, but where do I get it, how do I know that I've captured all of the ETFs in the Quantopian universe, and am I going to end up in data wrangling hell, or is there a straightforward way to do this?

Grant

3 responses

etfdb.com lets you screen for and download a list of ETFs which I believe is pretty comprehensive. Should be able to convert that to CSV and import I think?

Thanks Matt,

The website you provided has 1669 ETFs, so I'm wondering if the research environment can handle churning over this many securities, as they are filtered?

Grant

Hey Grant,
I have run into "out of memory" wall in research, but it does take quite a bit to get there. If you need to use minute data you will obviously run out of memory a lot faster. The best way to process minute data for a large set of stocks is to only load a few into memory at a time inside of a loop.

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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.