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Sorry. relatively new. Just a quick question...
Is there ANY way to combine ScheduledUniverseSelectionModel with filters based on things like indicators, or identity data concerning the previous day's close and current trading day's open?
I just want to have a universe made out of stocks that have gapped up. Currently I'm trying to schedule universe selection at 9:31 am. But now I cannot perform coarse selection.
I know I can get these stocks through regular AddUniverse and then OnData, but it seems incredibly wasteful to have a large universe that must run through OnData in order to cut it down to the target equities.
Thanks ahead of time!!
Shile Wen
Hi M Cochran,
In order to get data about a security, we either need to add the security to our universe or by iterating through coarse/fine objects. However, as coarse/fine filters are triggered at midnight, this won't be in time to check for morning gappers. This means the best way is to do what you suggested, by creating a universe through Universe Selection and filtering the universe down. To see an example of a gap strategy, please see this post.
Best,
Shile Wen
M Cochran
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