Travis,
That's interesting that it isn't feeding you data. Theoretically, it should work when you AddSecurity, because I think Coarse Universe basically does what you're asking it to do.
That said, you got me thinking about how you would go about charging history (warmup) to a newly added security. Obviously if you add a new security halfway through your backtest, it may require you to charge indicators anew for that particular security, which can be a pain if you use long-ranging indicators (like SMA of 200 days or something). I implemented something similar to the following when dealing with this in the Coarse Universe selection. It allowed me to get a hundred days of data for a newly added security without ever having to wait for it.
The example method below takes a string "symbol" (the symbol you want to add), the number of history periods you need to precharge any indicators, and a resolution. It adds the security, then pre-charges a rolling window called ClosingPrices, and an SMA indicator called SMAClosingPrices.
public void PostInitAddSecurity(string symbol, int historyperiods, Resolution resolution)
{
AddSecurity(SecurityType.Equity, symbol, resolution);
IEnumerable history = History(symbol, historyperiods, resolution);
foreach (TradeBar tradeBar in history)
{
ClosingPrices.Add(tradeBar.Close);
SMAClosingPrices.Update(tradeBar.EndTime, tradeBar.Close)
}
}
This doesn't help your current situation, but if and when you get to the point where you're seeing data feed through your algo, this might help. :-)