How do I select SP500 constituents
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I want to implement a multi-security basket statistical arbitrage script. How do I import securities that belong to SP500 index?
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I want to implement a multi-security basket statistical arbitrage script. How do I import securities that belong to SP500 index?
Answers
Further to above question, is it possible to use python libraries such as statsmodels and sklearn in the scripts? I am usually on Quantopian and want to move here because of performance issues on their platform.
To run SP500 symbols only, use the following code in is_symbol_qualified...
Libraries supported...
https://app.cloudquant.com/#/glossary/351
Ref Sklearn, take a look at the webinar Trevor Trinkino did with FXCM.