Hey everyone,

So basically I have a day trading strategy which uses the coarse fundamental universe model to add all the stocks within a certain price range. Because the coarse universe is triggered at midnight, I wait until around 7am to then take those coarse symbols and condense them into what I will use for the day (about 40 symbols), filtering based off of intraday characteristics that coarse doesn't provide. This article is kind of the jumping off point - 

https://www.quantconnect.com/forum/discussion/8726/volume-of-the-day-for-universe-of-stocks/p1/comment-24454

This means that I have second resolution data for around 2500 symbols being pumped into my algo from when data starts being streamed until 7 when I condense. After I condense I am removing the unused symbols from my universe, so after 7 when I start trading it's not a problem, it really just seems unnecessary to put that much stress on my algo when I don't even need the data (or even just in backtesting, it's taking forever).

So my question is this, is there a way to restrict timeslices from even being created within a given time, or can you restrict what data is being sent within a given time so my algo doesn't even see it. I created methods that use string slicing to turn self.Time into hours and minutes:

def Hour(self):

timeString = str(self.Time)

return int(timeString[11:13]

if self.Hour() >= 7 (loop is open after 7am)

So I have the ability to open and close loops when I would like, I just don't know where the process needs to happen. I believe it is in the TimeSlice class but I couldn't figure the C# out so I thought I would ask professionals.

Thank you in advance

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