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creating new universe every day

Hello all,
I am new to Quantopian as well as trading. I am trying to code up and improvise my first algorithm here and have a question. Here is what I want to do. At the beginning of every trading day, I want to scan through a large number of stocks and check to see if they meet a certain criteria which are not part of fundamental data (say, opening price > $50). I want to consider the list of the stocks that pass this initial test as my universe (let's assume this list is < 200, since that's the size requirement for the universe). After that, my main algorithm will work on those stocks. Note that at the beginning of every trading day, I want the universe from the previous day to be cleared and new set of stocks (meeting the same criteria) to be added.

From what I have seen so far in the tutorials and examples on this site, the above scenario is possibly not very straightforward to implement. Is this even possible to do? If yes, how?

Thanks.

1 response

Hi Pinaki,

We provide before_trading_start() and the update_universe() function for dynamically screening your stocks on a daily basis -- i.e. selecting which stocks Quantopian looks for prices for during the trading day. Here's an example: https://www.quantopian.com/help#sample-fundamentals

Unfortunately, you're correct in that we make it hard to do this using stock price as a criteria. We do provide fundamental data (600+ metrics) for screening.

We're working to solve this. Check out this thread, started by Karen about our efforts in this particular area: https://www.quantopian.com/posts/how-to-build-a-stat-arb-strategy-on-quantopian

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