Where can I find the list of all symbols for historical data and their summary data?

zm902585

If I want to run a strategy that uses 100 of the most liquid ETF's or 200 for which the data is available for the last 5 years, it would be nice to have a table from where I can get it immediately. Otherwise, If I have to run a program with an individual symbol to see it's starting date and, say, trading volume, it would have been an enormous waste of resources and time to answer those particular questions.

shayne

Try this code for the top 10 ETFs:

from cloudquant.interfaces import Strategy

class TopSymbols(Strategy):

    @classmethod
    def on_strategy_start(cls, md, service, account):
        etf_list = service.symbol_list.get_handle('82e8721e-d9fe-4ac4-b597-5197a4309a60') #etf guid list

        symbol_avol = {}

        # iterate over the market data
        for md_info in md:
            symbol = md_info.symbol

            is_etf = service.symbol_list.in_list(etf_list, symbol)

            if is_etf:
                # add the symbol to the symbol list after it met the if condition
                symbol_avol[symbol] = md_info.stat.avol

        print "ETF's with volume\n", symbol_avol, '\n'

        cls.top_qualified_qualified_symbols = [symbol[0] for symbol in sorted(symbol_avol.items(), key=lambda kv: kv[1], reverse=True)][:10]

        print "TOP ETF's by volume\n", cls.top_qualified_qualified_symbols, '\n'

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):

        # qualifies all symbols in cls.top_qualified_qualified_symbols
        return symbol in cls.stop_qualified_qualified_symbols

    def on_start(self, md, order, service, account):
        print 'in on_start for ', self.symbol, md.stat.avol

This should find the top etf for the test date. FYI, it depends on the ETF symbol list.