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Universe Selection in Live Trading

Live Trading

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 happens immediately when you deploy your algorithm. If you deploy before 07:00 EST, it will likely happens twice before market open. The first when the algorithm is deployed and another when new data arrives. 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.

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