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:
- The stock must be the primary share class for its company.
- The company issuing the stock must have a minimum market capitalization of 'minimum_market_cap', defaulting to 500 Million.
- The stock must not be a depository receipt.
- The stock must not be traded over the counter (OTC).
- The stock must not be for a limited partnership.
- The stock must have a known previous-day close price.
- The stock must have had nonzero volume on the previous trading day.