Topics created by buyers_are_back

@stefanm said in How to get stocks in SP500 index at a given time:

is_liquid_spec = is_liquid.sel(time=date)
members_spec = is_liquid_spec.coords["asset"][is_liquid_spec == 1.0].asset.values

Thanks for the reply! I have some further questions.

Is it the case that the dataset does not contain all symbols in the index? If I plot the number of stocks it started from around 350 then increases to 500.

c80c9110-826a-4349-8125-f3641fad0e09-image.png

There are some symbols and their counterparts with suffix ~1, for instance NAS:FISV and NAS:FISV~1, what does it mean?

f16737ac-577b-44ea-b698-fdd1164f4dd9-image.png

@commanderangle Dear commanderangle,

If you use ML in your strategy but not select that option we can't guarantee for how your strategy will be evaluated and it could be filtered out.

Regards

@buyers_are_back Hello.
Here is a new example of stock prediction using index data.
I recommend using the single-pass version.
https://quantiacs.com/documentation/en/data/indexes.html

@support

Thank you, I noticed some changes on the rules so I have to reimplement the strategy anyway.

@buyers_are_back Hi,
the update was related to market_capitalization field availability and correctness, as vyacheslav_b described. Unfortunately, at the moment we cannot provide missing fundamental data, like number of ordinary shares, for some stocks (e.g. META). We are going to investigate potential new data sources in order to improve our datasets.
Regards,

@buyers_are_back Hi, more info of course can be found here:

https://indexes.nasdaqomx.com/docs/Nasdaq_Index_Weight_Calculations.pdf

and here:

https://indexes.nasdaq.com/docs/Methodology_NDX.pdf

Pages 4 and 5 give more details on the weights and caps.

For example, no security weight may exceed 14% of the index value.

@buyers_are_back Hi, yes, that is ok, data will be updated in the next days.

@buyers_are_back We reprocessed the submission, it is formally correct and passes all the filters. Sorry for the issue, evidently on our side.