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

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?

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

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

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.

Thank you so much Gurumeher.. that worked. 

c# version 

 SetSecurityInitializer(CustomSecurityInitializer);

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