Universe selector price meaning by Anna

Anna

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Hi,

I'm facing the problem creating universe. When I select the universe using prices, I suddenly get price values that differ from historical data for the same time.
The way I retreive data is shown in the attached backtest. First I output prices and volumes from selector function used in AddUniverse, and then i get historical data for the moment, when universe is created. I expect to see the same values, but for many assets they are different. What do I do wrong or misunderstand? Is it due to different resolutions? due to my timezone, that affects the time of universe initialization?

Any help or explanation is very appreciated!
Thanks in advance

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Anna

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Jing Wu

214.1k ,

Hi Anna, the Price property in the coarse selection is the raw price. When you request the history, the price is adjusted price.

Anna

79 ,

Hello, thank you very much for your response. Is there any way I can control that which price to use and when? Can you point me to some documentation about how this price is computed?

Jing Wu

214.1k ,

var equity = AddEquity(symbol);

equity.SetDataNormalizationMode(DataNormalizationMode.Raw);

In initialize() you can change the data normalization mode to be raw or adjusted. But the Price in coarse universe selection is always raw price. The setting will only change the history price request. Check the documentation for more information

https://www.quantconnect.com/lean/docs#topic136.html

Mark Axmann

1k ,

I am also using a universe, not AddEquity. So specifically how would you tell the algo to return RAW data for EVERY equity in the universe? AddEquity is not relevant for coarse/fine universes. Thanks

Gurumeher Sawhney

14.7k ,

In order to set the data for historical requests to raw data, SetDataNormalizationMode(DataNormalizationMode.Raw) can be called during SetSecurityInitializer(security), which is applied to all universes and manually added securities. This sample code shows the SetSecurityInitializer method called and it sets all securities with raw prices and zero fees.

Mark Axmann

1k ,

Thank you so much Gurumeher.. that worked.

c# version

SetSecurityInitializer(CustomSecurityInitializer);

private void CustomSecurityInitializer(Security security){
security.SetDataNormalizationMode(DataNormalizationMode.Raw);
}

Anna

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