Universes

Dataless Scheduled Universes

Introduction

A dataless scheduled universe let's you select a set of assets on a specific schedule. You can control which days the other types of universe run by adjusting the Schedule universe setting. However, the Scheduleschedule universe setting doesn't accept a TimeRule argument, so you can't control the time of the day they run. In contrast, a dataless scheduled universe accepts a TimeRule argument, but its selection function only receives the algorithm time.

Create Universes

To add a dataless scheduled universe, in the Initializeinitialize method, call the AddUniverseadd_universe method with a ScheduledUniverse object.

public class MyUniverseAlgorithm : QCAlgorithm {
    private Universe _universe;
    public override void Initialize()
    {
        UniverseSettings.Asynchronous = true;
        _universe = AddUniverse(new ScheduledUniverse(DateRules.MonthStart(), TimeRules.At(8, 0), SelectSymbols));
    }

        
    private IEnumerable<Symbol> SelectSymbols(DateTime dt) 
    {
        return new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) };
    }
}
class MyUniverseAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.universe_settings.asynchronous = True
        self._universe = self.add_universe(
            ScheduledUniverse(
                self.date_rules.month_start(), 
                self.time_rules.at(8, 0), 
                self._select_symbols
            )
        )
        
    def _select_symbols(self, dt):
        return [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]

The following table describes the arguments the model accepts:

ArgumentData TypeDescriptionDefault Value
dateRuledate_ruleIDateRuleDate rule that defines what days the universe selection function runs
timeRuletime_ruleITimeRuleTime rule that defines what times on each day selected by date rule the universe selection function runs
Func<DateTime, IEnumerable< Symbol>> Callable[[datetime], List[Symbol]]selectorSelector function that accepts the current date time and returns the universe's Symbol objects
settingsUniverseSettingsThe universe settings. If you don't provide an argument, the model uses the algorithm.UniverseSettingsalgorithm.universe_settings by default.nullNone

Date Rules

The following table describes the supported DateRules:

MemberDescription
self.date_rules.set_default_time_zone(time_zone: DateTimeZone) DateRules.SetDefaultTimeZone(DateTimeZone timeZone);Sets the time zone for the DateRules object used in all methods in this table. The default time zone is the algorithm time zone.
self.date_rules.on(year: int, month: int, day: int) DateRules.On(int year, int month, int day)Trigger an event on a specific date.
self.date_rules.every_day() DateRules.EveryDay()Trigger an event every day.
self.date_rules.every_day(symbol: Symbol, extended_market_hours: bool = False) DateRules.EveryDay(Symbol symbol, bool extendedMarketHours = false)Trigger an event every day a specific symbol is trading.
self.date_rules.every(days: List[DayOfWeek]) DateRules.Every(params DayOfWeek[] days)Trigger an event on specific days throughout the week. To view the DayOfWeek enum members, see DayOfWeek Enum in the .NET documentation.
self.date_rules.month_start(days_offset: int = 0) DateRules.MonthStart(int daysOffset = 0)Trigger an event on the first day of each month plus an offset.
self.date_rules.month_start(symbol: Symbol, daysOffset: int = 0) DateRules.MonthStart(Symbol symbol, int daysOffset = 0)Trigger an event on the first tradable date of each month for a specific symbol plus an offset.
self.date_rules.month_end(days_offset: int = 0) DateRules.MonthEnd(int daysOffset = 0)Trigger an event on the last day of each month minus an offset.
self.date_rules.month_end(symbol: Symbol, daysOffset: int = 0) DateRules.MonthEnd(Symbol symbol, int daysOffset = 0)Trigger an event on the last tradable date of each month for a specific symbol minus an offset.
self.date_rules.week_start(days_offset: int = 0) DateRules.WeekStart(int daysOffset = 0)Trigger an event on the first day of each week plus an offset.
self.date_rules.week_start(symbol: Symbol, days_offset: int = 0) DateRules.WeekStart(Symbol symbol, int daysOffset = 0)Trigger an event on the first tradable date of each week for a specific symbol plus an offset.
self.date_rules.week_end(days_offset: int = 0) DateRules.WeekEnd(int daysOffset = 0)Trigger an event on the last day of each week minus an offset.
self.date_rules.week_end(symbol: Symbol, days_offset: int = 0) DateRules.WeekEnd(Symbol symbol, int daysOffset = 0)Trigger an event on the last tradable date of each week for a specific symbol minus an offset.
self.date_rules.year_start(days_offset: int = 0) DateRules.YearStart(int daysOffset = 0)Trigger an event on the first day of each year plus an offset.
self.date_rules.year_start(symbol: Symbol, days_offset: int = 0) DateRules.YearStart(Symbol symbol, int daysOffset = 0)Trigger an event on the first tradable date of each year for a specific symbol plus an offset.
self.date_rules.year_end(days_offset: int = 0) DateRules.YearEnd(int daysOffset = 0)Trigger an event on the last day of each year minus an offset.
self.date_rules.year_end(symbol: Symbol, days_offset: int = 0) DateRules.YearEnd(Symbol symbol, int daysOffset = 0)Trigger an event on the last tradable date of each year for a specific symbol minus an offset.
self.date_rules.todayDateRules.TodayTrigger an event once today.
self.date_rules.tomorrowDateRules.TomorrowTrigger an event once tomorrow.

To define custom date rules, create a FuncDateRule object. The FuncDateRule constructor expects a name argument of type stringstr and a getDatesFunctionget_dates_function argument of type Func<DateTime, DateTime, IEnumerable<DateTime>>Callable[[datetime, datetime], List[datetime]]. The getDatesFunctionget_dates_function function receives the start and end dates of the algorithm and returns a list of dates for the date rule. In live trading, the end date is 12/31/2025. The following example demonstrates how to define a date rule that represents the 10th day of each month: 

var dateRule = new FuncDateRule(
    name: "10th_day_of_the_month",
    getDatesFunction: (start, end) => Enumerable.Range(start.Year, end.Year - start.Year + 1)
        .SelectMany(year => Enumerable.Range(1, 12).Select(month => new DateTime(year, month, 10)))
);
date_rule = FuncDateRule(
    name="10th_day_of_the_month", 
    get_dates_function=lambda start, end: [
        datetime(year, month, 10) 
        for year in range(start.year, end.year) for month in range(1,12)
    ]
)

Time Rules

The following table describes the supported TimeRules:

MemberDescription
self.time_rules.set_default_time_zone(time_zone: DateTimeZone) TimeRules.SetDefaultTimeZone(DateTimeZone timeZone)Sets the time zone for the TimeRules object used in all methods in this table, except when a different time zone is given. The default time zone is the algorithm time zone.
self.time_rules.after_market_open(symbol: Symbol, minutes_after_open: float = 0, extended_market_open: bool = False) TimeRules.AfterMarketOpen(Symbol symbol, double minutesAfterOpen = 0, bool extendedMarketOpen = false)Trigger an event a few minutes after market open for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
self.time_rules.before_market_close(symbol: Symbol, minutes_after_open: float = 0, extended_market_open: bool = False) TimeRules.BeforeMarketClose(Symbol symbol, double minutesBeforeClose = 0, bool extendedMarketOpen = false)Trigger an event a few minutes before market close for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
self.time_rules.every(interval: timedelta) TimeRules.Every(TimeSpan interval)Trigger an event every period interval starting at midnight.
self.time_rules.nowTimeRules.NowTrigger an event at the current time of day.
self.time_rules.midnightTimeRules.MidnightTrigger an event at midnight.
self.time_rules.noonTimeRules.NoonTrigger an event at noon.
self.time_rules.at(hour: int, minute: int, second: int = 0) TimeRules.At(int hour, int minute, int second = 0)Trigger an event at a specific time of day (e.g. 13:10).
self.time_rules.at(hour: int, minute: int, second: int, time_zone: DateTimeZone) TimeRules.At(int hour, int minute, int second, DateTimeZone timeZone)Trigger an event at a specific time of day in the given time zone (e.g. 13:10 UTC).

To define custom time rules, create a FuncTimeRule object. The FuncTimeRule constructor expects a name argument of type stringstr and a createUtcEventTimesFunctioncreate_utc_event_times_function argument of type Func<IEnumerable<DateTime>, IEnumerable<DateTime>>Callable[[List[datetime]], List[datetime]]. The function receives the list of dates from the date rule and then returns a list of DateTimedatetime that define the time rule. 

var timeRule = new FuncTimeRule(
    name: "CustomTimeRule",
    createUtcEventTimesFunction: dates => dates.Select(d => d.AddHours(10)));
time_rule = FuncTimeRule(
    name="CustomTimeRule", 
    create_utc_event_times_function=lambda dates: [d + timedelta(hours=10) for d in dates]
)

Selection Frequency

Dataless scheduled universes run at whatever selection schedule you define by the dateRuledate_rule and timeRuletime_rule arguments.

Examples

Demonstration Algorithms
CustomDataUniverseScheduledRegressionAlgorithm.py Python CustomDataUniverseScheduledRegressionAlgorithm.cs C#

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