Universes
Settings
Properties
The universe settings of your algorithm configure some properties of the universe constituents. The following table describes the properties of the UniverseSettings object:
Property: |
Property: |
Property: |
Property: |
Property: |
Property: |
Property: |
Property: |
To set the UniverseSettings, update the preceding properties in the Initialize method before you add the
"universe"
These settings are globals, so they apply to all universes you create.
// Request second resolution data. This will be slow! UniverseSettings.Resolution = Resolution.Second; AddUniverse(MyFundamentalFilterFunction);
# Request second resolution data. This will be slow! self.UniverseSettings.Resolution = Resolution.Second self.AddUniverse(self.MyFundamentalFilterFunction)
Configure Universe Securities
Instead of configuring global universe settings, you can individually configure the settings of each security in the universe with a security initializer. Security initializers let you apply any security-level reality model or special data requests on a per-security basis. To set the security initializer, in the Initialize method, call the SetSecurityInitializer method and then define the security initializer.
//In Initialize
SetSecurityInitializer(CustomSecurityInitializer);
private void CustomSecurityInitializer(Security security)
{
// Disable trading fees
security.SetFeeModel(new ConstantFeeModel(0, "USD"));
}
#In Initialize
self.SetSecurityInitializer(self.CustomSecurityInitializer)
def CustomSecurityInitializer(self, security: Security) -> None:
# Disable trading fees
security.SetFeeModel(ConstantFeeModel(0, "USD"))
For simple requests, you can use the functional implementation of the security initializer. This style lets you configure the security object with one line of code.
SetSecurityInitializer(security => security.SetFeeModel(new ConstantFeeModel(0, "USD")));
self.SetSecurityInitializer(lambda security: security.SetFeeModel(ConstantFeeModel(0, "USD")))
In some cases, you may want to trade a security in the same time loop that you create the security subscription. To avoid errors, use a security initializer to set the market price of each security to the last known price. The GetLastKnownPrices method seeds the security price by gathering the security data over the last 3 days. If there is no data during this period, the security price remains at 0.
var seeder = new FuncSecuritySeeder(GetLastKnownPrices); SetSecurityInitializer(security => seeder.SeedSecurity(security));
seeder = FuncSecuritySeeder(self.GetLastKnownPrices) self.SetSecurityInitializer(lambda security: seeder.SeedSecurity(security))
If you call the SetSecurityInitializer method, it overwrites the default security initializer. The default security initializer uses the security-level reality models of the brokerage model to set the following reality models of each security:
The default security initializer also sets the leverage of each security and intializes each security with a seeder function. To extend upon the default security initializer instead of overwriting it, create a custom BrokerageModelSecurityInitializer.
// In Initialize
SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
// Outside of the algorithm class
class MySecurityInitializer : BrokerageModelSecurityInitializer
{
public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
: base(brokerageModel, securitySeeder) {}
public override void Initialize(Security security)
{
// First, call the superclass definition
// This method sets the reality models of each security using the default reality models of the brokerage model
base.Initialize(security);
// Next, overwrite some of the reality models
security.SetFeeModel(new ConstantFeeModel(0, "USD"));
}
} # In Initialize
self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices)))
# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):
def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
super().__init__(brokerage_model, security_seeder)
def Initialize(self, security: Security) -> None:
# First, call the superclass definition
# This method sets the reality models of each security using the default reality models of the brokerage model
super().Initialize(security)
# Next, overwrite some of the reality models
security.SetFeeModel(ConstantFeeModel(0, "USD"))
To set a seeder function without overwriting the reality models of the brokerage, use the standard BrokerageModelSecurityInitializer.
SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices)))
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