Modified code to asset selection using CoarseSelectionFilter but received “Operation timed out” Error. 

Any help higly appreciated,

class CreativeTanFly(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2012, 1, 1)  # Set Start Date

        self.SetCash(1000000)  # Set Strategy Cash

        self.AddUniverse(self.CoarseSelectionFilter)

        self.UniverseSettings.Resolution = Resolution.Minute

        self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw

        self.symbol_data_by_symbol={}

        

    def CoarseSelectionFilter(self, coarse):

        sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)

        return [x.Symbol for x in sortedByDollarVolume[:10]]

        

    def OnSecuritiesChanged(self, changes):

        for security in changes.RemovedSecurities:

            symbol = security.Symbol

            if security.Invested:

                self.Liquidate(symbol)

            symbol_data = self.symbol_data_by_symbol.pop(symbol, None)

            if symbol_data:

                symbol_data.dispose()



        for security in changes.AddedSecurities:

            symbol = security.Symbol

            self.symbol_data_by_symbol[symbol] = SymbolData(self, symbol)

        

    def OnData(self, data):

        for symbol, symbol_data in self.symbol_data_by_symbol.items():

            if not (data.ContainsKey(symbol) and data[symbol] is not None and symbol_data.openingBar is not None and symbol_data.fhmin is not None):

                return

            

            # if current price greater than open at 1% - open long position

            if not self.Portfolio[symbol.Value].Invested:

                if (self.Time.hour>=12):

                    if (data[symbol].Close > symbol_data.openingBar.Open*(1+1.6/100) and not symbol_data.wastrade):

                        self.SetHoldings(symbol, 1/500)

                        symbol_data.wastrade = True

            else: 

                # close if current price less than 1HMin. 

                

                if ((self.Time.hour==10 and self.Time.minute >=30) or 

                (self.Time.hour>10)):

                    if (data[symbol.Value].Low < symbol_data.fhmin):

                        self.Liquidate(symbol.Value)

        

class SymbolData:

    openingBar = None

    

    def __init__(self, algorithm, symbol):

        self.algorithm = algorithm

        self.symbol = symbol

        self.fhmin = None

        self.wastrade = False

        

        # Setup minute consolidator

        self.five_minute_consolidator = TradeBarConsolidator(timedelta(minutes=5))

        self.five_minute_consolidator.DataConsolidated += self.five_minute_consolidation_handler

        algorithm.SubscriptionManager.AddConsolidator(symbol, self.five_minute_consolidator)

        

    def five_minute_consolidation_handler(self, sender, bar):

        if bar.Time.hour == 9 and bar.Time.minute == 30:

            self.openingBar = bar

            self.fhmin = bar.Low

            self.wastrade = False

        else:

            if (bar.Time.hour == 9 and bar.Time.minute >30) or (bar.Time.hour==10 and bar.Time.minute <=30):

                if (self.fhmin!= None and bar.Low < self.fhmin):

                    self.fhmin = bar.Low

                

    def dispose(self):

        self.algorithm.SubscriptionManager.RemoveConsolidator(self.symbol, self.five_minute_consolidator)