Populating an array of tickers with coarse and fine universe

I am seeing a lot of references to using OnSecuritiesUpdated, or being able to do it in OnData. The problem is I dont want my trades to be executed in those, I just want the self.tickers to properly populate with tickers and its associated symboldata thats getting described above. Is there a way to use OnSecuritiesUpdated just to populate the self.tickers as a result of the Coarse and Fine functions?

Hi Axist,
We don't need to use AddEquity on the securities selected by our coarse and fine selection in the above algorithm. The algorithm subscribes to them automatically. The SymbolData object for each ticker will not be warmed-up/ready to use. We recommend following changes:
 

1. 1. Shifting the whole indicator logic to SymbolData class. Using indicator constructor to initialize the indicator and creating a consolidator to update them because we are using a dynamic universe
2. 2. Create SymbolData objects in the OnSecuritiesChanged event handler. We are disposing of the consolidator and removing the data of symbols removed by the Universe Selection.
3. 3. Letting coarse/fine universe return the selected symbols and handling the SymbolData creation mentioned in the second point.
4. 4. Using the History method to warm up the indicator in the SymbolData class so they are ready for use.

We have implemented a demo algorithm for you to see the above-mentioned changed. Refer to the attached backtest.
Best,
Varad Kabade

Is there a way to include a static list of stocks along with what is populated by the Coarse Universe Selector?  This route would seemingly remove that 

Hi Axist

You may make a list in this way:

def initialize(self):
    self.manually_selected = [self.AddEquities(symbol).Symbol for symbol in ["AAPL", "FB"]]
    self.AddUniverse(self.MyCoarseFilterFunction)
def MyCoarseFilterFunction(self, coarse):
    # some filter process
    coarseSelection = [c.Symbol for c in filtered]
    self.all_symbols_combined = coarseSelection + self.manually_selected
    return coarseSelection

Now you can have a list self.all_symbols_combined getting what you need.

Best,
Louis Szeto

Thank you very much for this! This was exactly what I was looking for. This line helped explain it for me.

self.all_symbols_combined = coarseSelection + self.manually_selected