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Filter Pipeline initially - Optimise the Pipeline to work on a subset of the universe optimally?


Is there a way to optimise the pipeline to work on a subset of data:

  • a subset of sids
  • a specific sector or exchange
  • or constituents of an index

Would be nice to be able to say trade my synthetic index or folio of possible stocks and then filter them alone using the pipeline.

Is this possible and does someone have a nice solid example?

3 responses

Hi Michael,
The pipeline was built with the following algo structure in mind, "Start with all securities in the universe, filter down to some subset (like the Russell 2000) and then calculate factors for that subset." You always start with everything, but by using set_screen and mask you should be able to get down to calculating for just the more narrow universe you are interested in. You can read more about masking and filtering here.

To address your specific examples,

  • a subset of sids - here is an example where we run a pipeline, but only want the results for a handful of ETFs in a static list.
  • a specific sector or exchange - I would use the morningstar industry codes create a filter of the specific industries you are interested in. I'm working on an example and share when it's ready.
  • constituents of an index - here is an example which filters down the universe to the Russell 2000 by using a mask and setting a screen.

Let me know if you have questions.


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Having had a look at it, that example to filter down to X specific SIDS is just what we need. Thank you.

Thanks Karen