Coarse Universe Changes - Dollar Volume by Andrew Hart

Andrew Hart

| Reward Discussion

Hey QC community,

We are changing how we calculate coarse universe dollar volume. Before - we have been providing a 30 day EMA average of the dollar volume. We are now changing this to a raw daily dollar volume. The new dollar volume field will be calculated as: (daily volume) * (closing price).

We are doing this because different users are asking for different periods of rolling average dollar volumes. The easiest way for us to accommodate everyone is to provide the raw daily dollar volumes and have users calculate the dollar volume window they want in code.

This change will be live today.

- Andrew

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Andrew Hart

Accepted Answer

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Andrew Hart

12k ,

https://github.com/QuantConnect/Lean/pull/1178

LukeI

2.7k ,

Would it be possible to give an example of how one would use the new method to calculate a moving average of dollar volume? Would this moving average dollar volume look back into the previous periods?

Say the backtest started on 1/1/17, the universe selects SPY, could it get the accurate 30 day moving average dollar volume starting on day one or would it need to collect data from SPY for 30 days?

Stephane b

399 ,

I second that question... Can we have an example (Ideally in Python) to calculate a window ? Thanks !

Alexandre Catarino

Stephane b, the EmaCrossUniverseSelectionAlgorithm is a good example. We just need to use the dollar volume value, instead of price, to update the indicators:

avg.update(cf.EndTime, cf.DollarVolume)

Unfortunately, LukeI, we need to collect data from the previous x days to warm up the indicator. We can do it with the historical data request. I would advise you to pre-select the symbols. For example:

Select the 200 securities with the highest DollarVolume;
Make history request and warm up the x days moving average;
Select the 100 securities with the highest moving average of DollarVolume.

Andrew Hart

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