I have been trying to get the minute returns for tech stocks and I'm almost there. As you can see in the notebook, I was able to get all stocks ids from Morning Star filtering with the respective sector. In order to get the daily returns, I needed to assign the stocks ids to a variable and then the returns class reads that variable (which is the list of the stocks ids from the tech sector) and retrieves the minute returns for those stocks ids. However, some stocks ids from Morning Star aren't in the returns class. So:
- Why the returns class doesn't have those stocks ids? Bankruptcy?
- How do I retrieve all the stocks available in the returns class in order to filter accordingly? Or maybe just the current trading stocks?
The objective of all of this is simply to do an analysis answering: (1) In which interval of time are concentrated the returns? (e.g. weekly returns are concentrated on Mondays, daily returns are concentrated before midday, etc.), and (2) Is there any specific concentration by any classification? (industry, exchange, country, etc.). At the end, It's just a way to get used with Quantopian.
And by the way, any interesting suggestions/questions/papers to read for this topic research?