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Hi Cool nemo,

When using ScheduledUniverseSelectionModel the algorithm does not receive the Fine Fundamental data, so self.Securities[symbol].Fundamentals is a None type object. To resolve this, we need to use Coarse+Fine Universe Selection instead.
Best,
Varad Kabade

@Varad kabade，thank u for u reply

Is that sure we can't get Fundamentals outside `Coarse+Fine Universe Selection` ?

Hi Cool nemo,
Yes, We can only get Fundamental data when we use fine Universe selection. Refer to the following thread for more information about using Fundamental data outside fine Universe selection,
Best,
Varad Kabade

Cool nemo,

If you need to access fundamentals outside of the Fine Filter, you may want to save the fine fundamental object for the stocks you are interested in. Once you save it, you can access it later. Here's an example where you can access new fundamental data in a custom function (MainFunction) using self.stocks (which is a list of FineFundamental objects).

Hi Big mak,
Thank you for your response. An alternative way is to use the Fundamentals property of the security object. With this, we don't have to store all the fundamentals objects explicitly. Refer to the attached code snippet.
 

Securities[symbol].Fundamentals.MarketCap 

Best,
Varad Kabade

Thanks Varad. Any idea how to do that for all stocks in the securities list, and preferably in one line? Kind of like the way I had it in my attached code.

Hi Big mak

Since the return of Varad's code snippet is a float, you may set up a panda Series/dataframe to store the data, but they cannot be appended by a single line as pandas data structures' limitation. There is no additional benefit on putting them all into a single either. Please refer to the attached backtest as an example.

Best,
Louis Szeto

Is there any advantage to doing it the way you and Varad are suggesting with self.Securities? I just tested it; it's twice as slow and arguably less readable with the for loop vs list comprehension. Is there something I'm missing?

Hi Big mak

Both ways shall work fine, but using a new list will induce extra memory usage. The speed of a list iteration and a for-loop should be similar.

Best
Louis Szeto

Thanks Louis, that answers my question. 

A list like this is quite small in memory, so unless the original poster or any future viewer is extremely strapped on memory, the 2x speed improvement from accessing a finefundamental object vs Self.Securities is likely a good tradeoff. I would imagine that this speed difference comes from accessing a finefundamental object vs using self.Securities.