Updating an indicator that requires a TradeBar w/o having to call History every time?

In case this was confusing, I'm basically trying to use ATR in my filters in Coarse selection and need an updated ATR for every day as part of universe selection. What's the best way to do this? 

I don't think there is a way to avoid that, you need to either make a history call, or have all symbols you might need in the universe in order to recieve OHLC updates, which is probably much worse. 

Perhaps you just need to add some more filters, e.g. in coarse selection choose top-1000 by dollar volume and only request history on those, not entire universe. And make sure you make one History call for all symbols you need, not one for every symbol, because that would work terribly slow.

Thanks Yuri. I was actually wondering about how expensive History calls are. Is one History call with 1000 symbols less expensive than 1000 individual calls? Even though they pull back the same amount of data, I’m guessing yes?

I will also try the approach of pre-filtering as much as possible before pulling in ATR.

Finally, can anyone from Quantconnect comment on when full OHLC data might become available in CoarseFilterSelection objects?

Thanks,

Chetan

Is one History call with 1000 symbols less expensive than 1000 individual calls? Even though they pull back the same amount of data, I’m guessing yes?

yes, it can be much less efficient, I would guess because each request runs separately to a database, probably on another server, and this duplicates the extra network costs associated with each requests.

I would upvote adding OHLC to coarse selection, it is a pretty common need to know the price range from yesterday, and I don't think it is a lot of extra data to store.

Hi Chetan and Yuri, 

To track our progress of adding OHLC to Coarse Fundamental, subscribe to the following GitHub Issue:

Best,
Derek Melchin

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