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Universe selection live

I am trying to understand universe selection when running live.

I want to support "quick starts" for debugging purposes, i.e. basically starting up my algo (which ordinarily trades at start of day) and treat the current time as the start of day if exchanges are open. In addition, I want to be able to start it after midnight (during which universe selection ordinarily occurs, if my understanding is correct), but before market opens and have a selected universe. All of this is because it's very improductive to sit around and wait a day or more when trying to figure out why live version is running differently than backtest.

Secondly, how does the limit on number of securities mix with universe selection? Besides that, I haven't found a place that lists the number of securities possible for each resolution and instance type (aside form when ordering, but one needs to know about it earlier than that). It would be very useful to have a matrix somewhere that listed instance type versus resolution for supported number of securities.

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Oh and w.r.t. to the middle paragraph, the question is: When can I expected to see universe selection called when running live? It appeared to acquire just a small set of securities when I started it during market hours today. (Of course, I can live this running and hope it goes active for real on Monday, but it's pretty frustrating to wait.)

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We can do quick starts with history & warm up but currently not for history. It is a pretty cool idea and relatively easy to add so we'll do some brain storming and add it to the todo list if it doesn't break anything :)

We run the universe selection every day around 4am once the equity data from the previous day is processed and ready to go. This is then piped into your live algorithm. The coarse universe data is piped in first and then the fine data arrives after that.

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Thanks Jared. Does this mean that if I start algo after 4am, I have to wait until next 4am to get algorithm filled with a new universe? Also, how are weekends handled?

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4am after the trading day yes. So Saturday 4am Friday's data arrives, Tuesday 4am Monday's data arrives. The specific hour depends on when Morning Star publishes the data.

Yes you have to wait if deploy after the market has opened. You can setup your universe how you like if you'd like to hack it together intraday but that is too risky for us to make mainstream.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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