Hi 

I have a question regarding how to remove the intraday data feed for tickers selected from universe selection. Here is an example to show my question.

I use universe selection to find equities that have fundamental data, have volume, have prices between 1 and 20, and have a market cap of less than 300MM. This part is done by Universe Selection. I request extended market hour data for the universe selection. In the OnData part, I summarize their pre-market volume and, at 9:31 EST, I check the open price for them. Based on conditions in the backtesting, I further reduce the universe to the ones that have at least 1MM pre-market volume and today's open is 19% higher than the previous day's close. This typically reduces my universe to a handful of tickers. However, because the universe selection returns me with more than 1k tickers, all their data is still fed into OnData. See log for details. 


My question:

  1. Does the extra data points that are fed into the algorithm cause a longer running time in both backtesting and live trading?
  2. If yes for question 1, how can I avoid this by either re-structuring my codes or removing them from the data feed?

 

Really appreciate the help in advance!

Log from the attached backtesting:

2021-12-31 00:00:00 :Launching analysis for 276a4623d3bca7b441999f3e343bcf76 with LEAN Engine v2.5.0.0.134902021-12-31 00:00:00 :Coarse is run with 9406 tickers entered2021-12-31 00:00:00 :Fine is run with 3274 tickers entered2021-12-31 00:00:00 :OnSecuritiesChanged called with 1637 tickers in ActiveSecurities2021-12-31 00:00:00 :OnData with 1 tickers in data feed2021-12-31 05:00:00 :OnData with 155 tickers in data feed2021-12-31 06:00:00 :OnData with 200 tickers in data feed2021-12-31 07:00:00 :OnData with 243 tickers in data feed2021-12-31 08:00:00 :OnData with 384 tickers in data feed2021-12-31 09:00:00 :OnData with 545 tickers in data feed2021-12-31 09:31:00 :3 tickers are selected to trade2021-12-31 10:00:00 :OnData with 1447 tickers in data feed2021-12-31 11:00:00 :OnData with 1514 tickers in data feed2021-12-31 12:00:00 :OnData with 1541 tickers in data feed2021-12-31 13:00:00 :OnData with 1556 tickers in data feed2021-12-31 14:00:00 :OnData with 1570 tickers in data feed2021-12-31 15:00:00 :OnData with 1584 tickers in data feed2021-12-31 16:00:00 :OnData with 1596 tickers in data feed2021-12-31 17:00:00 :OnData with 1597 tickers in data feed2022-01-01 00:00:00 :OnData with 1 tickers in data feed2022-01-01 00:00:00 :Algorithm Id:(276a4623d3bca7b441999f3e343bcf76) completed in 37.61 seconds at 69k data points per second. Processing total of 2,594,663 data points.