Hi Kit,

Thanks for posting. Quantopian is moving on from using set_universe to narrow down a universe of equities; a much more efficient and flexible tool to do the same job is Pipeline. I would recommend reading through Pipeline's section of the help page for an introduction. Once you're through that, you'll be able to narrow down your trading universe as you suggested on this post by creating two filters, one using AverageDollarVolume and the other by comparing USEquityPricing.close.latest with two thresholds of your choice. After that, just use set_screen with the two filters anded together (& operator).

Please ask if you have any more questions.

Hi Nathan,

Thank you for the reply! I've been looking at the Pipeline documentation and played around with the coding for a bit but can't seem to get output I want. I'm confused as to how to use the USEquityPricing.close.latest and comparing to which 2 thresholds. Here is my code so far:

from quantopian.pipeline import Pipeline
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import AverageDollarVolume

def initialize(context):
pipe = Pipeline()
attach_pipeline(pipe, 'my_pipeline')

# Create a dollar volume factor.  
dollar_volume = AverageDollarVolume(window_length=1)  

# Pick the top 1% of stocks ranked by dollar volume.  
high_dollar_volume = dollar_volume.percentile_between(99, 100)  
pipe.add(high_dollar_volume, 'high_dollar_volume')  

# Construct a Filter.  
prices_under_5 = (high_dollar_volume < 5)  
pipe.set_screen(high_dollar_volume & prices_under_5)  

def before_trading_start(context, data):
output = pipeline_output('my_pipeline')
# These are the securities that we are interested in trading each day.
context.my_universe = output.sort('high_dollar_volume', ascending=False).iloc[:5]

# Define a universe with the results of a Pipeline.  
context.assets = context.my_universe.index

def handle_data(context, data):
log.info('\n'+str(context.my_universe.head()))

Please let me know what I've used wrongly and what correction I need to make. Or if there are video resources that are up to date that I can watch and further my learning. And again thank you for your help!!

i've written something that might work for you:

def my_pipeline(context):  
    print("pipe")  
    """  
    A function to create our dynamic stock selector (pipeline). Documentation on  
    pipeline can be found here: https://www.quantopian.com/help#pipeline-title  
    """  
    pipe = Pipeline()  
    # Create a dollar volume factor.  
    dollar_volume = AverageDollarVolume(window_length=1)  
    pipe.add(dollar_volume, 'dollar_volume')  
    high_dollar_volume = dollar_volume.percentile_between(60, 100)  
    price = Latest(inputs=[USEquityPricing.close])  
    #price = USEquityPricing.close(window_length=1)  
    lower_screen = (price>15.0)  
    upper_screen = (price<99.0)  
    pipe.add(price, "price")  
    pipe.set_screen(high_dollar_volume&upper_screen&lower_screen)  
    return pipe