Universes

Custom Universes

Introduction

A custom universe lets you select a basket of assets from a custom dataset.

Data Sources

You can gather your custom data from any of the following sources:

The data source should serve data in chronological order and each data point should have a unique timestamp. Each request has a 1 second overhead, so bundle samples together for fast execution.

Define Custom Universe Types

Custom universes should extend the BaseDataPythonData class. Extensions of the BaseDataPythonData class must implement a GetSource and Reader method.

The GetSource method in your custom data class instructs LEAN where to find the data. This method must return a SubscriptionDataSource object, which contains the data location and format (SubscriptionTransportMedium). You can even change source locations for backtesting and live modes. We support many different data sources.

The Reader method of your custom data class takes one line of data from the source location and parses it into one of your custom objects. You can add as many properties to your custom data objects as you need, but must set Symbol and EndTime properties. When there is no useable data in a line, the method should return nullNone. LEAN repeatedly calls the Reader method until the date/time advances or it reaches the end of the file. 

//Example custom universe data; it is virtually identical to other custom data types.
public class MyCustomUniverseDataClass : BaseData 
{
    public int CustomAttribute1;
    public decimal CustomAttribute2;
    public override DateTime EndTime 
    {
        // define end time as exactly 1 day after Time
        get { return Time + QuantConnect.Time.OneDay; }
        set { Time = value - QuantConnect.Time.OneDay; }
    }

    public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
    {
        return new SubscriptionDataSource(@"your-remote-universe-data", SubscriptionTransportMedium.RemoteFile);
    }

    public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) 
    {
        var items = line.Split(",");

        // Generate required data, then return an instance of your class.
        return new MyCustomUniverseDataClass 
        {
            EndTime = Parse.DateTimeExact(items[0], "yyyy-MM-dd"),
            Symbol = Symbol.Create(items[1], SecurityType.Equity, Market.USA),
            CustomAttribute1 = int.Parse(items[2]),
            CustomAttribute2 = decimal.Parse(items[3], NumberStyles.Any, CultureInfo.Invariant)
        };
    }
}

# Example custom universe data; it is virtually identical to other custom data types.
class MyCustomUniverseDataClass(PythonData):

    def GetSource(self, config: SubscriptionDataConfig, date: datetime, isLiveMode: bool) -> SubscriptionDataSource:
        return SubscriptionDataSource(@"your-remote-universe-data", SubscriptionTransportMedium.RemoteFile)

    def Reader(self, config: SubscriptionDataConfig, line: str, date: datetime, isLiveMode: bool) -> BaseData:
        items = line.split(",")
    
        # Generate required data, then return an instance of your class.
        data = MyCustomUniverseDataClass()
        data.EndTime = datetime.strptime(items[0], "%Y-%m-%d")
        # define Time as exactly 1 day earlier Time
        data.Time = data.EndTime - timedelta(1)
        data.Symbol = Symbol.Create(items[1], SecurityType.Crypto, Market.Bitfinex)
        data["CustomAttribute1"] = int(items[2])
        data["CustomAttribute2"] = float(items[3])
        return data

Your Reader method should return objects in chronological order. If an object has a timestamp that is the same or earlier than the timestamp of the previous object, LEAN ignores it.

If you need to create multiple objects in your Reader method from a single line, follow these steps:

  1. In the GetSource method, pass FileFormat.UnfoldingCollection as the third argument to the SubscriptionDataSource constructor.
  2. In the Reader method, order the objects by their timestamp and then return a BaseDataCollection(endTime, config.Symbol, objects) where objects is a list of your custom data objects.
public class MyCustomUniverseDataClass : BaseData 
{
    [JsonProperty(PropertyName = "Attr1")]
    public int CustomAttribute1 { get; set; }

    [JsonProperty(PropertyName = "Ticker")]
    public string Ticker { get; set; }
    
    [JsonProperty(PropertyName = "date")]
    public DateTime Date { get; set; }

    public override DateTime EndTime 
    {
        // define end time as exactly 1 day after Time
        get { return Time + QuantConnect.Time.OneDay; }
        set { Time = value - QuantConnect.Time.OneDay; }
    }

    public MyCustomUniverseDataClass()
    {
        Symbol = Symbol.Empty;
        DataType = MarketDataType.Base;
    }
    
    public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
    {
        return new SubscriptionDataSource(@"your-data-source-url", 
            SubscriptionTransportMedium.RemoteFile,
            FileFormat.UnfoldingCollection);
    }

    public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) 
    {
        var items = JsonConvert.DeserializeObject<List<MyCustomUniverseDataClass>>(line);
        var endTime = items.Last().Date;

        foreach (var item in items)
        {
            item.Symbol = Symbol.Create(item.Ticker, SecurityType.Equity, Market.USA);
            item.Time = item.Date;
            item.Value = (decimal) item.CustomAttribute1;
        }

        return new BaseDataCollection(endTime, config.Symbol, items);
    }
}
class MyCustomUniverseDataClass(PythonData):
    
    def GetSource(self, config, date, isLive):
        return SubscriptionDataSource("your-data-source-url", SubscriptionTransportMedium.RemoteFile, FileFormat.UnfoldingCollection)

    def Reader(self, config, line, date, isLive):
        json_response = json.loads(line)
        
        endTime = datetime.strptime(json_response[-1]["date"], '%Y-%m-%d') + timedelta(1)

        data = list()

        for json_datum in json_response:
            datum = MyCustomUniverseDataClass()
            datum.Symbol = Symbol.Create(json_datum["Ticker"], SecurityType.Equity, Market.USA)
            datum.Time = datetime.strptime(json_datum["date"], '%Y-%m-%d') 
            datum.EndTime = datum.Time + timedelta(1)
            datum['CustomAttribute1'] = int(json_datum['Attr1'])
            datum.Value = float(json_datum['Attr1'])
            data.append(datum)

        return BaseDataCollection(endTime, config.Symbol, data)

Initialize Custom Universes

To add a custom universe to your algorithm, in the Initialize method, pass your universe type and a selector function to the AddUniverse method. The selector function receives a list of your custom objects and must return a list of Symbol objects. In the selector function definition, you can use any of the properties of your custom data type. The Symbol objects that you return from the selector function set the constituents of the universe.

// In Initialize
AddUniverse<MyCustomUniverseDataClass>("myCustomUniverse", Resolution.Daily, data => {
    return (from singleStockData in data
           where singleStockData.CustomAttribute1 > 0
           orderby singleStockData.CustomAttribute2 descending
           select singleStockData.Symbol).Take(5);
});

# In Initialize
self.AddUniverse(MyCustomUniverseDataClass, "myCustomUniverse", Resolution.Daily, self.selector_function)

# Define the selector function
def selector_function(self, data: List[MyCustomUniverseDataClass]) -> List[Symbol]:
    sorted_data = sorted([ x for x in data if x["CustomAttribute1"] > 0 ],
                         key=lambda x: x["CustomAttribute2"],
                         reverse=True)
    return [x.Symbol for x in sorted_data[:5]]

Selection Frequency

Custom universes run on a schedule based on the EndTime of your custom data objects.

Examples

Demonstration Algorithms
DropboxUniverseSelectionAlgorithm.py Python DropboxUniverseSelectionAlgorithm.cs C#

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