Is there a way to use get_fundamentals (or something else) to screen for all ETFs that exist at that moment? In other words, I want to set my stock universe up before trading starts to be only ETFs that exist at that moment in time.
The problem comes in that as far as I can tell, only 200 securities per trading day can be added to an algo's universe. Per http://etfdb.com/screener/ you'd be loading up to 1669 securities, which could cause performance problems (the nastiest is that if the algo takes more than 50 seconds to execute per bar, it'll crash). The backtester/trading engine isn't well-suited for global screening/optimization problems; it's set up to handle a relatively small portfolio with a computationally efficient trading algorithm.
You might consider if you could first develop the strategy in the Quantopian research API, and then port it over to the backtester/trading engine.
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