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How to filter universe on market cap

I would like to filter down my investment universe to only include equities with a market cap over $100 million, or free-float market cap would be even better. I looked through the fundamental data library but I cannot find market cap anywhere. One would expect something like this to be readily available from Morningstar or any other financial data provider. Am I overlooking something here, or is there maybe another way I can filter on free-float market cap?

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I had the same question. I calculated Market Cap in the following manner:
https://www.quantconnect.com/forum/discussion/6473/calculating-market-capitalization-in-finefundamentalfunction/p1

In your case, I think that you could do something like this in the FineSelectionFunction

def FineSelectionFunction(self, fine):
# Filter by Market Capitalization
marketCap = {}
for i in fine:
marketCap[i] = (i.EarningReports.BasicAverageShares.ThreeMonths * i.EarningReports.BasicEPS.TwelveMonths * i.ValuationRatios.PERatio)
return [x.Symbol for x in fine if marketCap[x] > 1000000]

 

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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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