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); } }