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The attached backtest uses DAY resolution, and when I step through the debuggers the simplified method calling sequence is (Selection -> Coarse -> Fine -> Update).
However, when I switched the entire algo to MINUTE resolutioon (I don't know how to attach two backtests in the same post). the simplified method calling sequence is (Selection -> Update -> Coarse -> Fine).
In my case, I actually want Coarse -> Fine step happening before Update. How can I achieve the same behavior as in DAY resolution? Thanks!
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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.
FTB-Quant 1
313 Pro
,
Here is the MINUTE resolution version
0
Shile Wen
63.5k Pro
,
Hi FTB-Quant1,
This happens because on Daily Resolution, OnData is called in after market hours once just like the Universe Selection, while in Minute Resolution, the Update is being called multiple times during the day, but the Coarse/Fine data for Universe Selection is only updated once per day, thus Universe Selection occurs once per day, so there would not be more information from the Universe on a minutely basis. However, you could look into a Scheduled Universe with a Minute frequency, however, please note that you might not be able to get the data you'd want.
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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