VXX, VIX, and VVIX would be really great if they were available. I am selecting US Equities as the universe, but it doesn't find any symbols.
Is there perhaps a place where all the supported symbols by blueshift can be found?
Thanks much,
Thanks for asking this question. The blueshift universe is a dynamic (i.e. assets gets added and removed to the universe based on rules) once with a liquidity filter on top ETFs and stocks. We do not have indices (not tradable) like VIX or VVIX available at present. However, if some VIX ETFs clear the criteria, it can be part of the universe (and can drop of if at any quarterly rebalance it fails). I see the VIXY is part of the universe. But of course VIX and VIX etfs are very different beasts.
We do not have a define list of universe in the documentation as this is a dynamic one. However, there are two ways to fetch the entire universe. One is to use a pipeline function without any filtering and access the index of the returned dataframe. That will contain all assets alive at that point in time. Note this is not a recommended way to use pipelines, but will get the job done for you. The other (undocumented, and hence subject to change) method is to call "context.broker.library.search()" function, which returns all assets in the universe. Note, this one will return everything - assets that were alive in the past as well as those which entered the universe in the future. Both will return asset objects (not symbols).
Thx for your suggestions. I had already through some trial and error also found UVXY and SVXY as well, but don't 'behave' as well as VXX in some algorithm I wanted to implement. From a first glance, it seems that for the most part VIXY tracks VXX pretty well, so thank you again for the suggestion.