Multi Universe Selection

Hi Melanie

You can set up a scheduled event and implement the logic there:

def Initialize(self):
	self.AddUniverse(self.SelectionCoarse)
	self.Schedule.On(self.DateRules.EveryDay("SPY"),
                 	 self.TimeRules.AfterMarketOpen("SPY", 0),
                 	 self.FilterAfterMarketOpen)
                 	 
def SelectionCoarse(self, coarse):
    ...
    self.selection = [x.Symbol for x ...]
    return self.selection
    
def FilterAfterMarketOpen(self):
    self.final_selection = []
    for x in self.selection:
        ...
        self.final_selection.append(x)

Note that the filter after market open might be lack of data or susceptible to forward bias.

Best
Louis

Hi Louis,

Thank you for answering my question.
I have already tried your suggestion and ran into a different problem. I need to do two more things, other than standard universe selection:

• Selection based on last 30 days of volume: Preferably I would like to do this in either SelectCoarse or SelectFine in order to minimize the OnData traffic. But to get historic data, I have to call AddEquity for the respective ticker. No matter where I do this (SelctCoarse or -Fine, or scheduled event) as soon as I call AddEquity outside of the Initialize function, I do not get the correct OnData traffic (some symbols are missing)
• Final selection based on gap opening: For this I need yesterdays close and todays open. Preferably I would do this with the bid price, but I can only get historic TradeBars, not QuoteBars (minor issue) and same thing as before, calling AddEquity outside the Initialize function has adverse effects on the OnData traffic.

Any kind of help, comments or suggestions are greatly appreciated. If you want to have a look at my source code, I'll be happy to share that, too.

Thanks,
      Melanie