Screening for daily volume

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Screening for daily volume

Giovanni Politi

posted Mar 25, 2019

Goodmorning to everyone,

I am trying to create a screener which select stocks in certain price range and also according to the daily volume on that day. The problem is that dont understand how to create filter for the daily volume, for instance screening only for those stocks that had daily volume >= 10 000 000.

Thank you in advance

2 responses

It is just USEquityPricing.volume. I have this set to volume 1 000 000 for more examples, otherwise along with my price filter used, there were only two.

price  = USEquityPricing.close .latest  
volume = USEquityPricing.volume.latest

This also provides some visibility into it using log_data().

2019-03-21 5:45 log_data:59 INFO starting_cash $10,000,000   portfolio $10,000,000     0 positions ...  
2019-03-21 5:45 log_data:117 INFO Rows: 26  Columns: 2  
2019-03-21 5:45 out:79 INFO .  
               min           mean          max  
 price        10.0      14.084808        19.98  
volume     4383991     10534562.3     42166756  
2019-03-21 5:45 out:76 INFO .  
_ _ _   price   _ _ _  
price highs ...  
        price    volume  
   HPQ  19.98   9709474  
     X  19.78   9366696  
   HST  19.13   5997423  
   AES  17.93   6255835  
   HBI  17.61   4383991  
   MRO  17.60  10250929  
   KEY  16.51  15789772  
   HPE  15.88   9397711  
   NWL  15.75   7157892  
price lows  ...  
         price    volume  
   CTL  11.910   8565223  
  NYCB  11.590   7262591  
  CLDR  11.450   6041141  
  COTY  11.390   9195152  
   RRC  11.305   5368342  
  SNAP  10.950  17436449  
   NLY  10.275   9778333  
    GE  10.210  42166756  
  UNIT  10.000   4892077  
_ _ _   volume   _ _ _  
volume highs ...  
         price    volume  
    GE  10.210  42166756  
   FCX  12.825  19914612  
  SNAP  10.950  17436449  
  HBAN  12.970  16195128  
   KEY  16.510  15789772  
  GOLD  13.110  15045417  
    RF  14.950  10771721  
   MRO  17.600  10250929  
   NLY  10.275   9778333  
2019-03-21 5:45 out:79 INFO .  
volume lows  ...  
         price   volume  
   AES  17.930  6255835  
  CLDR  11.450  6041141  
   HST  19.130  5997423  
  FCAU  14.850  5794643  
   RRC  11.305  5368342  
   MIK  11.990  4978883  
  UNIT  10.000  4892077  
  NWSA  12.600  4470915  
   HBI  17.610  4383991

Giovanni Politi

Hi Blue Seahawk,

thank you for your your quick reply, btw I had already managed to do it. Now I am trying to understand how to screen to take only stocks and not ETFs, if you have some idea :)

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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.