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How to filter "USEquityPricing.close.latest" using QTradableStocksUS()

I've been working through the pipeline tutorial and am now onto building my first pipeline. I have this so far:

    # Base universe  
    base_universe = QTradableStocksUS()  
    # Dollar volume factor  
    dollar_volume = AverageDollarVolume(  
        window_length=20,  
        mask=base_universe)

    # High dollar volume filter  
    filter_dollar_volume = dollar_volume > 50000000  

I want to combine this filter with a $ threshold on the last closing price:

    latest_close = USEquityPricing.close.latest  
    filter_minClose = latest_close > 5  

How would I restrict the second filter to only selecting stocks from filter_dollar_volume?

4 responses

Filters can be logically combined using the & | and ~ operators for and or and not operations respectively. So, to restrict the second filter to only selecting stocks from 'filter_dollar_volume' one could do something like this.

    filter_minClose = (latest_close > 5 ) & filter_dollar_volume

    # alternately, all in one statement  
    filter_minClose = (latest_close > 5 ) & (dollar_volume > 50000000)


Good luck!

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Thanks Dan!

Just out of interest; how would I restrict USEquityPricing.close.latest to the stocks in QTradableStocksUS()?

The "mask=base_universe" within your AverageDollarVolume function filters for stocks in your "base-universe" which you have assigned QTradableStocksUS() to. So using Dan's code and your own will filter for stocks in QTradableStocksUS(). Another way to do it is to use the "screen" parameter in your pipleline function:

Pipeline(columns = {
'factor1':factorfunction, 'Sector':sector }, screen=QTradableStocksUS()
)

Thanks Niclas. Sorry - bad question phrasing from me. I'm working through Python tutorials in parallel as someone new to programming. I think I should have asked if there is a method within the .Latest class that can be used as a filter? From the Q docs I don't believe there is. That leaves me with a couple of options as you've pointed out; Dan's solution or screen at the end. Sound about right?