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ETF Pricing Pipeline

I would like to trade ETFs using the Pipeline, however I cannot find a dataset that has the pricing for ETFs. For example,

from import USEquityPricing  

will get me the OHLC of stock/securities, but not ETFs. What import should I use to get the same data, but for ETFs?


7 responses

Any security (stock, etf, etn, etc) that's traded on a major US exchange should be in that USEquityPricing data set. Are there any specific ETFs that you haven't been able to get pricing for?

Hi Dan,

I am trying to import 100 ETFs using the symbols() function and the StaticAssets filter, however when I use USEquityPricing.close.latest, for instance, or any CustomFactor that uses such data, I always get NaN for the values. This is not the case, however, when I run the algorithm on the default universe of tradable assets.

Hi Dan,

Never mind, I found out there was an implementation error in my end. Am I correct in concluding, however, that the morningstar.valuation.shares_outstanding library does not contain the number of outstanding shares for ETFs? Where can I pull this information, if possible? I would like to generate a CustomFactor for liquidity for ETFs, specifically Share Turnover, however it seems that without the number of outstanding shares, this would not be possible.

Hmm, not sure what the issue is. Are you sure that those ETFs have inception dates after the dates you are checking? I've never had any problem. Here is a notebook which uses the USEquityPricing data set and the '.latest' method as well as a custom factor. I picked 10 random ETFs. There's high, low, open, close, and volume data for all of them. See attached.

Loading notebook preview...
Notebook previews are currently unavailable.

Hi Dan,

Thanks for following up, turns out it was an error at my end! USEquityPricing does provide the OHLC data about the ETFs I am considering. I have not been able to get the number of outstanding shares, however, as that seems to be provided by morningstar. Am I incorrect in assuming that the number of outstanding shares is a relevant indicator for ETFs, or is it generally more helpful for evaluating securities?

The Morningstar corporate fundamental data covers companies, but does not include data on ETFs. I don't know of a source of that data offhand.

I don't have any insight as to whether outstanding shares is relevant for ETFs. They have a very different share creation mechanism than a regular company, though, so I'd expect it to be a different dynamic than a regular company.


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Hi Dan,

Thanks for following up, I did some light reading and figured that was the case as well.