Hi Everyone,

I have created a framework that scores AlphaModels and adjusts the weights of each AlphaModel's insights based on that score.

For this to work what I really need is have the algorithm warmup for n days so that universes are selected each day as normal and all of the data pumps through the algo/alphamodels.  This would allow the alphamodels to act as if they are live and generate insights and thus allow me to score them.

The issue is that we currently can't use SetWarmup with UniverseSelection.  The reasoning is that the Universe is always changing so symbols need to be warmed up individually.  This is definitely true and I already handle that issue without a problem.  But that is really a separate issue of warming up indicators vs warming up the algorithm by having it perform normal processing for a warmup period.

Is there anyway to get the system to warmup with UniverseSelection?  Meaning have it run normally from an earlier date thans start date (or if live from the current date) with UniverseSelection happening during that timespan but with the system set to Warmup so that data is pumping through, insights are being generated, but orders are not executing?

Thanks for any help,
Cole