UniverseSelection & AlphaModel Interation Broken?

Based on the provided code, it seems like the ShellUniverseSelectionModel class is not correctly handling the rebalance flag. The IsRebalanceDue method sets the was_rebalanced flag to True every time it is called, regardless of whether a rebalance is due or not. This could potentially cause the OnSecuritiesChanged method in the ShellAlphaModel class to be triggered unexpectedly.

Here's a potential fix:

In ShellUniverseSelectionModel.py, modify the IsRebalanceDue method to only set was_rebalanced to True when a rebalance is actually due:

def IsRebalanceDue(self, time):
    self.was_rebalanced = False
    if self.flag:
        self.was_rebalanced = True
        return time
    self.flag = True
    return None

This way, was_rebalanced is only set to True when self.flag is True, indicating that a rebalance is due. This should prevent the OnSecuritiesChanged method from being called unexpectedly.

Remember, this is just a suggestion based on the provided code and the described issue. You might need to adjust it according to your specific needs and logic.

There is nothing wrong with how was_reblanced is set, it is not being set to True every time. Besides, was_rebalanced is irrelevant to the universe selection and alpha models and only used by the portfolio constrcution model.

Hi Dhruv Bhandari ,

When we log the changes object, we only see removals.

algorithm.Debug(f"{algorithm.Time} :: Alpha model OnSecuritiesChanged called... {changes}")

Universe Selection is triggered when the securities are removed from the universe when they are delisted. 

Best regards,Alex