LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
Alpha League Competition: $1,000 Weekly Prize Pool
Qualifying Alpha Streams Reentered Weekly Learn
more
def CoarseSelectionFunction(self, coarse): '''Take the top self.coarse_university_size by dollar volume using coarse''' # sort descending by daily dollar volume sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
# we need to return only the symbol objects return [ x.Symbol for x in sortedByDollarVolume[:5] ]
To get the top 5 securities with the highest dollar volume.
What I get is
AAPL, EEM, FB, IWM, SPY
Which obviously includes several ETFs.
How can I filter out everything except for actual stocks?
How can I get a Universe that corresponds with the S&P500 ?
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.
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.
I believe you can filter out stocks that do not have fundamental data like EV/EBITDA and this will remove ETFs since they don't have that. For trying to get the S&P500 you could sort by market cap and take the top 500, that would probably be your best bet.
William is right regarding the filtering of fundamental data. The link below will be very helpful in trying to understand how the Universe selection will work. AddUniverse() can have a course selection function and a fine selection function that can be tailored to providing the S&P500 tickers. The universe will first go through the course selection and then the fine selection. The example code from Github is an example of what needs to be done. With regards to the documentation provided, click on the highlighted words/links to see the full scope of the selection as well - there is a lot of filtering data available.
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.
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp. You can
continue your Boot Camp training progress from the
terminal. We hope to see you in the community soon!
You do not have enough QC Credit to send this award, get a QC Credit Pack
here.
Award Sent Successfully
Thank you for giving back to the community.
Processing...
Choose a Credit Pack
Payment Confirmation
QuantConnect Credit (QCC) can be applied to your cloud-invoices or
gifted to others in the community with Community Awards in recognition of their contributions.
Community Awards highlight the awesome work your fellow community members are doing and inspires
high quality algorithm contributions to the community. Select an option below to add
QuantConnect Credit to your account:
$5
500 Credit Points
 
$10
1,000 Credit Points
 
$18
2,000 Credit Points
10% bonus
$45
5,000 Credit Points
10% bonus
03/23XXXX XXXX XXXX 0592
We will charge your default organization credit card on file, click
here to update.