I'm looking to get a result similar to quantopian

pipe.set_screen(AverageDollarVolume(window_length=3).percentile_between(85, 100))

 

I found this in the LEAN documentation: https://www.quantconnect.com/lean/documentation/topic98.html which seems to be what I want but don't know where to implement it in the coarse universe function.

Currently my coarse universe just has 

DollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True)

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