Filter by ticker length of ≤ 4 characters

Hey Justin E 

I'm guessing you want to do that with an universe. For that you can simply check the length of the Symbol Value.

def CoarseSelectionFunction(self, coarse):
        # sort descending by daily dollar volume
        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)

        for ticker in sortedByDollarVolume[:20]:
            if ticker.Symbol not in self.ticker_list: 
                if len(ticker.Symbol.Value) <= 4:
                    self.ticker_list.append(ticker.Symbol)
                if len(ticker.Symbol.Value) > 4:
                    self.Debug(ticker.Symbol.Value)


        # return the symbol objects of the top entries from our sorted collection
        return self.ticker_list

This will put every Symbol with less or equal of 4 characters into a list.

Hi Nico-

I implemented this in the coarse filter as follows. It doesn't seem to work as I'm finding tickers of > 4 characters and it seems to be getting many of the ticker lengths wrong. I log the ticker followed by the count of the # of characters in the scheduled event that finds my symbol targets before the next trading day, as you can see in my screenshots below. 

Another oddity is the logs from OnSecuritiesChanged added securities don't match the same “Data” array later. For instance, HGMCY was never found in the OnSecuritiesChanged log but somehow was printed in the Scheduled Event “Scan Targets”. 

Any ideas about what's going wrong? 

    def CoarseSelectionFilter(self, coarse):

        sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
        symbols_by_price = [c.Symbol for c in sortedByDollarVolume if c.Price > 1 and c.Price < 50 and c.HasFundamentalData and c.Volume > 50000 and len(c.Symbol.Value) <= 4]
        self.filteredByPrice = symbols_by_price[:200]
        return self.filteredByPrice
        
    def ScanTargets(self):
        self.Targets = {}
        for symbol in self.Data.keys():
            symbolData = self.Data[symbol]
            self.Debug("Target Candidate: " + str(symbol) + " " + str(len(symbol.Value)))
            
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            if symbol not in self.Data: # and len(symbol.Value) <= 4
                self.Data[symbol] = SymbolData(self, symbol)
                self.Debug(str(len(symbol.Value)) + " " + str(symbol.Value))

Hey Justin E 

Thats weird, it worked when I tried  it with my example. Did u check the length of the self.Data.keys? Is it the same as the length in the returned symbols from the coarse filter?

Hi Nico Xenox 

I attached the backtest. 

Issue #1: Some tickers have wrong character lengths.

Issue #2: Tickers are mysteriously appearing or not appearing. ( “Added to universe” and “Symbols in Data dict:” should match tickers, but they don't)

Tickers appear or disappear when being added to arrays 

Wrong character count

Hey Justin E 

1. Symbol length is not the same as symbol value length (SRNG … is DNA as Value, which is 3 and not 4 characters which is right). You are comparing a Symbol “name” with the character count of the symbol value. This is not the same (very important!)
2. When printing a lot of values on Debug it might be that it doesnt print all of them. I did some rounds of debugging but I dont see any anomaly. The new values that are added to the universe can be found on self.Data.  
    
3. For more testing you might consider printing the values to your log. But dont forget to compare the values of the added securities with the one in self.Data.

Hi Nico Xenox 

You're right! That was my issue, I now see that len(symbol.Value) is correct when also logging symbol.Value.

Just so I understand, if I were going to search one of these tickers in Yahoo Finance, I would be searching for the symbol.Value and not the symbol, correct? In your example, DNA is the ticker I would search on Yahoo Finance and not SRNG, right? If so, why are they different whereas others are mostly identical/matching?

Yes that is correct. The ticker in the hash code symbol.symbol represents the first ticket name. So DNA was once named SRNG or it merged together. I don’t know the past of that company. Whereas other companies have not changed there ticker and still trade under the same name.
 

you can read more about this here.

Hope it helps ;)

Please consider liking and closing this thread if your happy with my answer.