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Universe Selection
Universe Selection in Live Trading
Universe selection occurs roughly 10-12 hours after the market stops trading for the day at 04:00 - 07:00 EST Tuesday, Wednesday, Thursday, Friday, and Saturday. Once the market completely closes (21:00 EST), we process all the ticks into trade bars and universe data for the live environment.
Universe selection does not happen when you deploy your algorithm. You must deploy before 4 a.m. or wait for the next trading day for universe selection to take place. This is identical behaviour to backtesting; however, as time is compressed in backtesting, you may not realize that the universe selection happens in the early morning hours.
We are aware immediate universe selection would be a great feature to support and are considering the best way to implement this in LEAN and QuantConnect.
Universe selection is only supported by the QuantConnect Data Feed. If you select a brokerage data feed on deploying your algorithm, it will not receive universe data at this time.
You can also see our Tutorials and Videos. You can also get in touch with us via Chat.
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