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Migrating from Quantopian: easy way to replicate Q500US and Q1500US universes?

First of all thanks to QuantConnet team for their support in the migration process, that helps a lot in making the step quicker and easier. 

I was wondering if there is a way to easily replicate Quantopians's Q500US and Q1500US universes:

Q500US/Q1500US A universe containing approximately 500/1500 US equities each day whose constituents are chosen by selecting the top 500/1500 "tradeable" stocks by 200-day average dollar volume, capped at 30% of equities allocated to any single sector. 

Especially useful would also be default_us_equity_universe_mask

default_us_equity_universe_mask A function returning the default filter used to eliminate undesirable equities from a security universes:

  1. The stock must be the primary share class for its company.
  2. The company issuing the stock must have a minimum market capitalization of 'minimum_market_cap', defaulting to 500 Million.
  3. The stock must not be a depository receipt.
  4. The stock must not be traded over the counter (OTC).
  5. The stock must not be for a limited partnership.
  6. The stock must have a known previous-day close price.
  7. The stock must have had nonzero volume on the previous trading day.
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Any hint? I  need a workaround for this as the algorithms I currently run live (on Quantopian) use these features and I am trying to reimplement them here.

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Hi Luca,

Did you succeed?

J.

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Unfortunately no 

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Anything addressing any of 1 through 7 would be a useful step.

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We made these recently as a temporary work around; and are looking at ways to formally support pre-made stock indexes.

QC500 C# -- 

https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/ConstituentsQC500GeneratorAlgorithm.cs

QC500 Python --
 

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/ConstituentsQC500GeneratorAlgorithm.py

For now you can copy those universe selection pieces to achieve a similar (not identical) universe.

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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.


  Hi

There is any build-in filters like QTradableStocksUS() and ConstituentsQC500GeneratorAlgorithm does not mention about OTC and primary share. I am a newbie to it

Jared Broad 

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https://www.quantconnect.com/docs/data-library/fundamentals#Fundamentals-Morningstar-US-Equity-Data

do you mean morning star ?

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Michael Manus   

 yaa I mean that.
Thanks

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Thank you Jared, this is very useful!

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Update Backtest





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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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