In the rudimentary code below, I'm expecting to get a debug message printed every minute. However, it only prints a debug message at 00:00 every day. How can I get SelectCoarse() to run every minute? I tried a bunch of different variations but can't get coarse filter to run every minute.

class TestMinuteCoarseUniverseFilter(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 6, 1) self.SetEndDate(2020, 6, 3) self.SetCash(100_000) self.UniverseSettings.Resolution = Resolution.Minute self.UniverseSettings.ExtendedMarketHours = True self.AddUniverse(self.SelectCoarse) self.Debug("Beginning algo...") def SelectCoarse(self, coarse): self.Debug(f"Entered SelectCoarse at {self.Time}.") return []


Log output:

2020-06-01 00:00:00 :Beginning algo...2020-06-01 00:00:00 :Entered SelectCoarse at 2020-06-01 00:00:00.2020-06-02 00:00:00 :Entered SelectCoarse at 2020-06-02 00:00:00.2020-06-03 00:00:00 :Entered SelectCoarse at 2020-06-03 00:00:00.