Hey all,
I'm pretty new to Quantopian and was wondering if anyone could give me a hand with this implementation. I'm trying to create write code that will filter through all securities that are available and heapify them according to various metrics like mavg, My first thought was writing a for loop and going through 'data' and having a helper method sort through the securities but i keep getting compiler errors. If anyone has any tips it's greatly appreciated.
Hi Michael,
You could use set_universe (https://www.quantopian.com/posts/new-feature-set-universe-is-live) or a big list of securities like the one found here (https://www.quantopian.com/posts/list-of-nasdaq-100-sids-to-use-in-your-algo) to start off with
Could you post what you have now so I could take a look at your code?
Thanks,
Seong
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.
Here's another handy list. I did not develop it--full credit to the those who did. --Grant
context.stocks = [
sid(24), # AAPL, APPLE INC
sid(62), # ABT, ABBOTT LABORATORIES
sid(25555), # ACN, ACCENTURE PLC
sid(161), # AEP, AMERICAN ELECTRIC POWER INC
sid(239), # AIG, AMERICAN INTL GROUP INC
sid(24838), # ALL, ALLSTATE CORP (THE)
sid(368), # AMGN, AMGEN INC
sid(16841), # AMZN, AMAZON.COM INC
sid(448), # APA, APACHE CORP
sid(455), # APC, ANADARKO PETROLEUM CORP
sid(679), # AXP, AMERICAN EXPRESS COMPANY
sid(698), # BA, BOEING CO
sid(700), # BAC, BANK OF AMERICA CORP
sid(734), # BAX, BAXTER INTERNATIONAL INC
sid(903), # BK, BANK OF NEW YORK MELLON CORP/T
sid(980), # BMY, BRISTOL MYERS SQUIBB COMPANY
sid(11100), # BRK.B, BERKSHIRE HATHWY INC(HLDG CO) B
sid(1335), # C, CITIGROUP
sid(1267), # CAT, CATERPILLAR INC
sid(1582), # CL, COLGATE-PALMOLIVE CO
sid(12160), # COF, CAPITAL ONE FINANCIAL CORP
sid(23998), # COP, CONOCOPHILLIPS
sid(1787), # COST, COSTCO WHOLESALE CORP
sid(1900), # CSCO, CISCO SYSTEMS INC
sid(1971), # CTS, CTS CORP
sid(4799), # CVS, CVS CAREMARK CORP
sid(23112), # CVX, CHEVRON CORPORATION
sid(2119), # DD, DU PONT DE NEMOURS E I &CO
sid(25317), # DELL, DELL INC
sid(2190), # DIS, WALT DISNEY CO-DISNEY COMMON
sid(2263), # DOW, DOW CHEMICAL CO
sid(2368), # DVN, DEVON ENERGY CORP (NEW)
sid(24819), # EBAY, EBAY INC
sid(2518), # EMC, EMC CORPORATION
sid(2530), # EMR, EMERSON ELECTRIC CO
sid(22114), # EXC, EXELON CORPORATION
sid(2673), # F, FORD MOTOR CO(NEW)
sid(13197), # FCX, FREEPORT-MCMORAN COPPER&GOLD B
sid(2765), # FDX, FEDEX CORPORATION
sid(3136), # GD, GENERAL DYNAMICS CORP
sid(3149), # GE, GENERAL ELECTRIC CO
sid(3212), # GILD, GILEAD SCIENCES INC
sid(20088), # GS, GOLDMAN SACHS GROUP INC
sid(3443), # HAL, HALLIBURTON CO (HOLDING CO)
sid(3496), # HD, HOME DEPOT INC
sid(25090), # HON, HONEYWELL INTERNATIONAL INC
sid(3735), # HPQ, HEWLETT-PACKARD CO
sid(3766), # IBM, INTL BUSINESS MACHINES CORP
sid(3951), # INTC, INTEL CORP
sid(4151), # JNJ, JOHNSON AND JOHNSON
sid(25006), # JPM, JPMORGAN CHASE & CO COM STK
sid(4283), # KO, COCA-COLA CO
sid(4487), # LLY, LILLY ELI & CO
sid(12691), # LMT, LOCKHEED MARTIN CORP
sid(4521), # LOW, LOWES COMPANIES INC
sid(4707), # MCD, MCDONALDS CORP
sid(22802), # MDLZ, MONDELEZ INTERNATIONAL INC
sid(4758), # MDT, MEDTRONIC INC
sid(21418), # MET, METLIFE INC
sid(4922), # MMM, 3M COMPANY
sid(4954), # MO, ALTRIA GROUP INC.
sid(22140), # MON, MONSANTO COMPANY
sid(5029), # MRK, MERCK & CO INC
sid(17080), # MS, MORGAN STANLEY
sid(5061), # MSFT, MICROSOFT CORP
sid(5328), # NKE, NIKE INC CL-B
sid(24809), # NOV, NATIONAL OILWELL VARCO INC.
sid(5442), # NSC, NORFOLK SOUTHERN CORP
sid(12213), # NWSA, NEWS CP - CL A
sid(5692), # ORCL, ORACLE CORP
sid(5729), # OXY, OCCIDENTAL PETROLEUM CORP
sid(5885), # PEP, PEPSICO INC
sid(5923), # PFE, PFIZER INC
sid(5938), # PG, PROCTER & GAMBLE CO
sid(6295), # QCOM, QUALCOMM INC
sid(6583), # RTN, RAYTHEON CO. (NEW)
sid(6683), # SBUX, STARBUCKS CORPORATION
sid(6928), # SLB, SCHLUMBERGER LTD
sid(7011), # SO, SOUTHERN CO
sid(10528), # SPG, SIMON PROPERTIES GROUP INC
sid(6653), # T, AT&T INC. COM
sid(21090), # TGT, TARGET CORPORATION
sid(357), # TWX, TIME WARNER INC.
sid(7671), # TXN, TEXAS INSTRUMENTS INC
sid(7792), # UNH, UNITEDHEALTH GROUP INC
sid(7800), # UNP, UNION PACIFIC CORPORATION
sid(20940), # UPS, UNITED PARCEL SERVICE INC.CL B
sid(25010), # USB, U.S.BANCORP (NEW)
sid(7883), # UTX, UNITED TECHNOLOGIES CORP
sid(21839), # VZ, VERIZON COMMUNICATIONS
sid(8089), # WAG, WALGREEN COMPANY
sid(8151), # WFC, WELLS FARGO & CO(NEW)
sid(8214), # WMB, WILLIAMS COMPANIES
sid(8229), # WMT, WAL-MART STORES INC
sid(8347), # XOM, EXXON MOBIL CORPORATION
] Thanks guys! That helps a lot.
My code is pretty hacked up right now. But in a nutshell, it just contains a heap sort method and an awful attempt at iterating through stocks contained in 'data' using a for loop. I pretty much just googled a python heap implementation and just tweaked it.
I would like to add to this. How can I do sorting once I've implemented the set_universe call. I'll try to keep this as simple as possible. For my example only 2 stocks to be in the portfolio. Currently the implementation below will just buy the first 2 stock from the universe meeting the momentum conditions. How can I change it to chose the 2 that are highest?
#
# Complete Includes
#
import math
#
# Partial Includes
#
from pytz import timezone, utc
from datetime import datetime, timedelta
#
# Technical Library Initialize
#
movingAverage = ta.EMA(timeperiod=200)
momentum = ta.CMO(timeperiod=10)
#
# Algo Setup
#
def initialize(context):
# Algorithm configuration parameters
context.buyThreshold = 35 # %
context.sellThreshold = 10 # %
set_universe(universe.DollarVolumeUniverse(floor_percentile=99.8,ceiling_percentile=100.0))
# Account configuration parameters
context.allowableMargin = 0.0 # 0 %
context.availableMargin = context.portfolio.cash * context.allowableMargin
context.usedMargin = 0.0 # In Dollars
context.cash = context.portfolio.cash + context.availableMargin
context.cashUsed = 0
context.stocksInPortfolio = 0
context.portfolioSizeRequested = 2
# Simulation Parameters
set_commission(commission.PerTrade(cost=10.00))
context.lastTradingDay = datetime(2009,1,4)
#
# Process new stock data (runs about 1 time per min)
#
def handle_data(context, data):
# Metrics
record(cash=context.cash)
# Daily Clean Up
currentTime = get_datetime()
if currentTime.date != context.lastTradingDay.date:
context.lastTradeingDay = currentTime
cleanUpOldOrders(context,data)
# Compute technicals for all stocks
ema = movingAverage(data)
momentumOscillator = momentum(data)
# Loop over all stock to find candiates
for stock in data.keys():
# Long Conditions
if (momentumOscillator[stock] > context.buyThreshold
and data[stock].price > ema[stock]):
orderManager(context,data,stock,1)
# Exit long Conditions
if (momentumOscillator[stock] 
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.