Hi,
For my first QC project I want to use AddUniverse Coarse Selection and some indicators (sma & Bollinger Bands) on the selected securities. Daily Resolution only.
1) To do this: in OnData(), foreach security passed in, I construct a new Indicator object for it, and update with historical data. Is this approach correct? I can't construct the Indicator objects in Initialize() as we don't know which securities will be selected.
2) The SMA seems to work, but I get a "runtime error: Number Overflow" for the Bollinger Bands.
3) Other questions for the Coarse Selection:
a) I am selecting the top 5 securities by Dollar Volume, but OnData() is called for 4-7 securities daily.
Why are 4-7 securities returned when 5 specified? MinimumTimeInUniverse is set to 1 day. Do several securities have equal DollarVolume values? I want to make sure that I'm specifying this correctly - with top N securities specified, then N are returned (..or approximately N is OK).
b) The Coarse Selection returns a lot of ETF, I only want equities. Can I remove/ignore the ETFs, either in the Coarse Selection or in OnData()?
I may also want to ignore ADRs, B class shares and LCs/LLPs. Can I get the full security name (e.g.: 'BERKSHIRE HATHAWAY CLASS B', 'SEADRILL PARTNERS LLC') from within OnData() ?
Thanks,
Roger
