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Hello QuantConnect Staff,
I tried to develop an algo to work on SP500 securities so I started with adding all the SP500 securities into the algo through manual universe model.
However, two securities TT and HST among a total of 504 securities under SP500 are removed from the self.ActiveSecurities since the second data feeding.
I would appreciate if anyone can find out what is the problem and how to correct it.
Anna
This is my log:
2021-10-01 00:00:00 Launching analysis for 7ae805cfe1dd9e739f8b1f0c968d8ce8 with LEAN Engine v2.5.0.0.13060
2021-10-01 00:00:00 num of active securities: 504
2021-10-01 00:00:00 num of sp500: 504
2021-10-02 00:00:00 num of active securities: 502
2021-10-02 00:00:00 num of sp500: 504
2021-10-04 00:00:00 num of active securities: 502
2021-10-04 00:00:00 num of sp500: 504
2021-10-05 00:00:00 num of active securities: 502
2021-10-05 00:00:00 num of sp500: 504
2021-10-06 00:00:00 num of active securities: 502
2021-10-06 00:00:00 num of sp500: 504
2021-10-06 00:00:00 Algorithm Id:(7ae805cfe1dd9e739f8b1f0c968d8ce8) completed in 4.15 seconds at 0k data points per second. Processing total of 2,039 data points.
Anna Huang
Hello Staff,
Could you help answer the question?
Thanks
Dan Kim
I have a tangentially related problem so I'm also curious to see what the answer is.
Vladimir
Not all securities, even in the SP500 index, are traded every trading day, some are not.
Fred Painchaud
Hi Anna,
This is indeed strange since TT is removed right away and HST is removed on 2020-10-17. Both never make it back.
I'm cross-referencing on data issues for further review.
Fred
Varad Kabade
Hi Anna
Thank you for reporting this issue and for your patience. We are able to reproduce your problem, and the reason is because of missing data points. Please subscribe to this and this data issue for follow-up.
Best
Varad Kabade
Anna Huang
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