Some important securities missing in Q1500US

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Some important securities missing in Q1500US

posted Dec 15, 2018

Hi,
I found many important securities from China are not in the filters Q1500US or Q3000US, e.g. "BABA", "NTES". But some Chinese are there, e.g. "SINA".
Is it for data missing?

 My research code:

from quantopian.pipeline.filters import QTradableStocksUS, make_us_equity_universe, Q1500US, StaticAssets, default_us_equity_universe_mask, Q3000US  
from quantopian.pipeline import Pipeline, CustomFactor  
from quantopian.research import run_pipeline  
from quantopian.pipeline.classifiers.morningstar import Sector  
from quantopian.pipeline.factors import AverageDollarVolume, Latest, SimpleMovingAverage  
from quantopian.pipeline.data import USEquityPricing  
import pandas as pd  
import talib  
from quantopian.pipeline.factors.fundamentals import MarketCap  
from quantopian.pipeline.data import Fundamentals

universe = default_us_equity_universe_mask()  
universe = Q3000US()  
# universe = StaticAssets(symbols(['BABA', 'CSCO', 'AAPL']))  
p = Pipeline()  
cap = MarketCap()  
p.add(cap, 'cap')  
p.add(USEquityPricing.close.latest, 'close')  
p.add(Latest([USEquityPricing.close]), 'close2')  
p.add(Latest([Fundamentals.shares_outstanding]), 'shares')  
p.add(Fundamentals.country_id.latest, 'country')  
p.set_screen(universe)

d = ('2018-12-11', '2018-12-17')  
df = run_pipeline(p,d[0], d[1])  
df2 = df.loc['2018-12-14']  
print(df2[df2.country=='CYM'])  
print(df.loc['2018-12-14', symbols('SINA')])  
print(df.loc['2018-12-14', symbols('BABA')])

Thanks.
Best Regards
Ben

2 responses

The QTradableStocksUS filter excludes stocks registered as American Depository Receipts ( see the docs https://www.quantopian.com/help#built-in-filters ). The general rationale I suppose is these stocks can be greatly influenced by currency fluctuations. In any case that's Quantopians decision. "BABA" and "NTES" are both American Depository Receipts (ADRs) and therefore excluded from all the pre-defined universes. "SINA" chose not to register as an ADR but simply trades as a "foreign private issuer” (FPI) and therefore it IS NOT excluded.

Great.
Thanks Dan to let me get knowledge about this.

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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.