I'd like to filter my Universe by the 30-day Average Volume.
Right now I am just using the Volume property of the Coarse object, but I think this just refers to the current volume.
I can just to load 30 days of histories for this and calculate it myself.
But is there a built in (or shorter) way to do this?
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Hi Red Ghost,
Currently, there is no way to implement the above logic without making a historical request using the History method during coarse Universe Selection. We have to do one history pass during the first Universe selection then updated the volume with the dollar volume. Refer to the following code snippet:
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for x in filtered:
if x.Symbol not in self.volumeBySymbol:
# warm up with history request when initializing the class
self.volumeBySymbol[x.Symbol] = SymbolData(x.Symbol,self)
self.volumeBySymbol[x.Symbol].Update(x.EndTime, x.Volume)We have created a demo algorithm where we implement the above logic. Refer to the attached backtest.
Best,
Louis Szeto
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.
Wow, thanks for the working example. And this makes sense, thank you.
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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