I'm using Coarse and Fine universe selection, but I don't want OTC or other listed stocks.
There doesn't appear to be a way I can see to know which exchange a symbol is listed on. I tried CoarseFundamental.Market but it just returns "usa." I expected "NASDAQ" or "NYSE." I also noticed that the SecuritiesExchange class has no Name property which is also a bummer.
Any idea on how I can find out the name of the exchange a stock is listed on?
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Jared Broad thanks for the reply. That's too bad. Is there a list of the exchanges used for the main universe selection?
Morningstar symbols cover the NYSE, NASDAQ and BATS exchanges. You can get the exchange ID in fine universe selection with x.SecurityReference.ExchangeId.
"NAS" for NASDAQ,
"ASE" for NYSE Amex Equities.
"BATS" for bats exchange.
def FineSelectionFunction(self, fine):
for x in fine:
if x.SecurityReference.ExchangeId == "NAS":
# find stocks listed in NASDAQ Jing Wu thank you for the reply. I noticed in some testing it's picking up OTC tickers, like $DCTH from 2017 for example. In the previous comment it was indicated that OTC isn't included, so I'm not sure now. Basically I do not want any OTC tickers at all, I just want NASDAQ (and variants, like CM and GM etc.) and NYSE.
Before September 2017, DCTH(Delcath Systems, Inc) was traded in NASDAQ. Therefore, data for DCTH is available from 10/2001 to 9/2017. You can check the data in the data explorer
To filter stocks only in NASDAQ and NYSE, you can use
def FineSelectionFunction(self, fine):
stocks = [x for x in fine if x.SecurityReference.ExchangeId == "NAS" or x.SecurityReference.ExchangeId == "ASE"]
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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