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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
listed on in bar mode. In tick mode the ticks are flagged. See the tick docs
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.
Automaton
Jared Broad thanks for the reply. That's too bad. Is there a list of the exchanges used for the main universe selection?
Jing Wu
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 NASDAQAutomaton
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.
Jing Wu
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"]Yuri Lopukhov
I understand this is outdated, but where can I find a list of exchange codes? In the source code I find only that they contain in some refernce document, but I don't where to look for it.
Yuri Lopukhov
Also, it looks like NYSE stocks seem have “NYS” in ExchangeId field now? I can see 50x more symbols with “NYS” exchange as compared to “ASE”.
Nico Xenox
Yuri Lopukhov, I did not found a text file that covers the exact exchanges in QC, just the ones where you download a file. But maybe this will help you (link) or (link) under Properties.
Yuri Lopukhov
Thanks, Nico Xenox but the codes there don't seem to match NAS, ASE, NYS or anything else…
Nico Xenox
Yuri Lopukhov, I spent some time looking at the morningstar documentation that is publicly available but I wasnt able to find a list of exchanges / ids…
But I was able to find this post where Louis answered your exact question 😊
Yuri Lopukhov
Thanks a lot, Nico Xenox
Derek Melchin
Hi Yuri,
This information is also available in Data Point Attributes.
Best,
Derek Melchin
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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.
Automaton
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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