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Hello,
During the day, ScheduledUniverseSelectionModel is very inconsistent.
I attached an algorithm that should in theory have the following symbols in the universe at the following times:
Only AAPL and IBM at 1PM, only AMD at 4PM and TSLA wherever else.
But that is unfortunately not the case :(
So at 00:00 TSLA is added ✅
At 13:00 TSLA is removed and replaced by AAPL and IBM ✅
At 14:00 TSLA is added back but AAPL and IBM are NOT removed.
At 16:00 AMD is added but nothing was removed again.
next day
13:00 AMD and TSLA are finally removed and replaced by AAPL and IBM ✅
14:00 only TSLA is left ✅
16:00 AMD is added but TSLA is still there
and the cycle repeats.
Derek Melchin
Hi Sim123,
Thanks for reporting this. We've created a GitHub Issue to have this addressed. Subscribe here to be notified of our progress.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Martin Molinero
Hey Simas !
Have you tried setting the minimum time in-universe, by default it's one day, for example, "UniverseSettings.MinimumTimeInUniverse = TimeSpan.Zero;", you can find it in the attached backtest, believe it solves the issue. Let us know if you find any other misbehavior.
Best,
Martin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Simas
Hello Martin Molinero,
Yes it works perfectly now, never knew such a parameter existed :)
Another thing that's unrelated to this but still an issue is that volume before splits is not adjusted [when using DataNormalizationMode.SplitAdjusted]
For example TSLA volume before 31st August split was 5 times lower whereas the price was the same. Looking at the data explorer shop seems that the data is adjusted fine there.
Thankyou
Derek Melchin
Hi Simas,
We are closing this ticket since the issue was addressed by Martin and a GitHub issue has been opened for the other request.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Simas
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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