Use Universe in Initialize by Sam Grayson

Sam Grayson INVESTOR

| Reward Discussion

Is it possible to collect all of the stocks in the Universe in the Initialize method? I would like to add all of the securities whose dollar volume is greater than 90% on the first day of the backtest. The problem is that universe is not valid until after Initialize.

Is there another way of adding all stocks with a certain feature on the first day of backtesting?

public override void Initialize() {



    // ...



    Universe universe = Universe.DollarVolume.Percentile(90);

    AddUniverse(universe);

    Log("S: " +  universe.Members.Count); // logs S: 0

    foreach (Symbol s in universe.Members.Keys) {

        AddSecurity(SecurityType.Equity, s, Resolution.Daily);

    }

}

Update Backtest

Sam Grayson

Accepted Answer

Update Backtest

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Jared Broad

Not really they way you're thinking -- since the backtest hasn't started by that point. But in "OnData" the backtest has started and you can use the security list. You could create a boolean and toggle it when you go into the method?

bool setup = false;



public void OnData(TradeBars data) {



    if (!setup) {

        //Finish your algorithm setup

        setup = true;

    }



}

Jared Broad

Actually re-reading your post I think you're misunderstanding universes a little bit -- what you're trying to do in your code snippet happens automatically. Can you share more about what you're trying to achieve? Perhaps you only want daily data not minute data? This is done via the UniverseSettings object:

public override void Initialize() {

    UniverseSettings.Resolution = Resolution.Daily;

}

Sam Grayson

43 ,

Now I see what you are saying. I like the `bool setup` thing because that gives me a hook to put code that I want to run once after data has become available.

Sam Grayson

43 ,

I realized that the example I gave was a poor one, because as you said, that happens automatically.

Sam Grayson INVESTOR

Update Backtest

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