Getting only Active Stocks

To filter out inactive stocks or stocks that do not meet certain criteria, you can use the Coarse Universe Selection feature in QuantConnect. This feature allows you to define a function that returns the symbols you want to include in your universe based on certain criteria.

In your case, you can use the CoarseSelectionFunction to filter out stocks based on their Dollar Volume. Here is an example of how you can do this:

def CoarseSelectionFunction(self, coarse):
    # Filter the values of the dict to those above EMA and more than $1B vol.
    values = [x for x in coarse if x.DollarVolume > 1000000]

    # we need to return only the symbol objects
    return [ x.Symbol for x in values ]

This function will return only the symbols of the stocks that have a Dollar Volume greater than $1,000,000.

As for the Russell 3000, QuantConnect does not currently provide a built-in method to select this specific universe of stocks. However, you can create a custom universe that includes the symbols of the Russell 3000 stocks.

Please note that the Coarse Universe Selection data is an aggregate of daily data that includes the daily close, daily volume, and the dollar volume (daily close * EMA30(volume)). So, it's possible that some stocks that do not meet your criteria may still appear in your universe if they meet these criteria at some point during the day.

Sources:

• Coarse Universe Selection
• Using Data

Thank you for your response

< you can use the CoarseSelectionFunction to filter out stocks based on their Dollar Volume >

We've actually done that (I mentioned “we also put on a dollar Volume ($1000000) and yet they show up”), and we can't eliminate such stocks.  

Is there anything else we could try?

I see, you've already applied a dollar volume filter. In addition to the dollar volume, you can also filter out stocks based on their price or whether they have fundamental data. Here's an example of how you can do this:

def CoarseSelectionFunction(self, coarse):
    filtered = [x for x in coarse if x.HasFundamentalData and x.Price > 5 and x.DollarVolume > 1000000]
    return [x.Symbol for x in filtered]

In this example, the function filters out stocks that do not have fundamental data, have a price below 5, or have a dollar volume below 1,000,000.

If you still see inactive stocks in your universe, it might be because they were active and met your criteria at some point during the day. The Coarse Universe Selection data is an aggregate of daily data, so it's possible that some stocks that do not meet your criteria may still appear in your universe if they meet these criteria at some point during the day.

Sources:

• Coarse Universe Selection
• Fundamental Universe Selection

We did apply a price (of > 5) the same as your example as it happens and yet it still showed up.  Yet WMIH still shows up.  It seems strange it would show up when WMIH has no price or volume

We will try the fundamental data filter.

It's indeed strange that the stock WMIH still shows up despite the filters. Adding the HasFundamentalData filter should help, as it will exclude stocks that do not have fundamental data. Here's how you can add this filter:

def CoarseSelectionFunction(self, coarse):
    filtered = [x for x in coarse if x.HasFundamentalData and x.Price > 5 and x.DollarVolume > 1000000]
    return [x.Symbol for x in filtered]

If WMIH still shows up after adding this filter, it might be worth checking if there's an issue with the data for this stock. You can do this by logging the price and volume of WMIH when it shows up in your universe.

Sources:

• Coarse Universe Selection
• Fundamental Universe Selection

There's definitely something not making sense about the coarse selection results

I’ve double checked the code – attached – and we’re using all 3 filters

So, why would we be getting nonsense stocks like WMIH?