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Basically I only need coarse/fine universe selection, in fine selection I need to filter by market cap. Will this still work if I use IBKR as data source? If yes, would it use fundamental data from IBKR (somehow) or QuantConnect? If no, is there another way to filter by market cap that would work?
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Nico Xenox
Hey Yuri Lopukhov,
looking at the documentation I do think that this might be possible.
From this link: Universe selection is available with the IB data feed.
Also if we look at the TWS API there's a market scanner that sorts stocks with market cap.
Hope it helps ;)
Yuri Lopukhov
Hi, Nico Xenox thank you for the answer, does this line in the docs mean that I can only get 100 symbols in coarse/fine filters? It is located in the Universe Selection section. I know it certailny affects price data streams, but does it also affect universe selection as well? Or is it just to remind that we need to return no more than 100 symbols in fine filter?
Nico Xenox
Hey Yuri Lopukhov,
please take a look at this link under “Market data lines” and here. Maybe this will help.
I dont want to tell you something without being sure that it is the right answer. Maybe you could ask this question on discord, there you will probably receive a faster answer.
Yuri Lopukhov
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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