Back to Community
Evaluating inclusion in security_lists is deprecated. Use `sid in <security_list>.current_securities(dt)`

What does that cryptic message mean? It points me to Q2 migration page that has no mention of "current_securities" function or "security_lists" at all. What is "DT" mentioned at the error?

Context: In the past I could check that security is not in leveraged list by the following simple if, this is what triggered the error:

if asset not in security_lists.leveraged_etf_list:  

What is the correct form from now on?

4 responses

Just got the same warning today on my live algo for precisely the same line. Can someone shed light on this?

Here's the announcement of the change: https://www.quantopian.com/posts/new-asset-restrictions-api-deprecation-of-set-do-not-order-list

Pointing you to the Q2 migration page doesn't sound right, though. That sounds like a bug.

Disclaimer

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.

The equivalent to if asset not in security_lists.leveraged_etf_list: is now if asset not in security_lists.leveraged_etf_list.current_securities(dt): where dt is the current time get_datetime().

However, if the goal is to avoid trading leveraged ETFs, the better way to do this is to call set_asset_restrictions(security_lists.restrict_leveraged_etfs) in initialize and then replace the above code with if data.can_trade(asset):. For any asset that is restricted using set_asset_restrictions, can_trade will return False

Disclaimer

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.

and if we want to filter leveraged etfs out from a pipeline?

Some old code found here:

class ETFScreen(CustomFactor):
inputs = [] ; window_length = 1
def compute(self, today, asset_ids, out):
out[:] = asset_ids.isin(security_lists.leveraged_etf_list.current_securities(get_datetime()))