Getting current data in universe selection

Based on the information provided in the extracts, it seems that the Coarse Universe data set only provides the daily closing price. Therefore, it might not be possible to detect gap up/down on open directly within the universe selection as it requires both open and close prices.

However, you can still filter your universe based on other criteria and then, in the OnData method, use the History method to get the historical data for the selected symbols. This will allow you to compare the current open price with the previous close price to detect a gap.

Here is a simplified example of how you might do this:

def OnData(self, data):
    history = self.History(self.symbols, 2, Resolution.Daily)
    for symbol in self.symbols:
        if symbol in data.Keys:
            today_open = data[symbol].Open
            yesterday_close = history.loc[symbol.Value]['close'][0]
            if today_open > yesterday_close:
                self.Debug(f"{symbol.Value} has gapped up")

In this example, self.symbols is a list of symbols that you have selected in your universe selection. Please note that this is a simplified example and you might need to adjust it according to your specific needs.

Remember that calling the History method frequently might have a performance impact on your algorithm, so you should use it judiciously.

For more information on how to use the History method, you can refer to the QuantConnect Documentation.