I have a selection function which rebalances every wednesday:

// Select S&P500 stocks only: // Market capitalization must be greater than or equal to $6.1 billion USD // Annual dollar value traded to float-adjusted market capitalization is greater than 1.0 // Minimum monthly trading volume of 250,000 shares in each of the six months leading up to the evaluation date public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) { //const decimal MarketCapitalization = 2100000000m; //^not supported by Quantconnect; const decimal DollarVolume = 20000000m; if (!_rebalanceFlag) return Enumerable.Empty<Symbol>(); //https://www.barchart.com/ List<string> sp500StockList = new List<string>() { "A", ...} // Market capitalization must be greater than or equal to $6.1 billion USD, Traded shares x Price var filtered = from x in coarse join SP500 in sp500StockList on x.Symbol.Value equals SP500 let momentums = _momentums.GetOrAdd(x.Symbol, sym => new MomentumSelectionData(MomentumWindow, StockMovingAverageWindow)) // Update returns true when the indicators are ready, so don't accept until they are where momentums.Update(x.EndTime, x.Price) && momentums.AnnualizedSlope > 0 where x.DollarVolume >= DollarVolume && //x.Volume > 250000 && x.HasFundamentalData //&& //x.Price > 20 //orderby x.DollarVolume descending orderby momentums.AnnualizedSlope descending select x; var topCoarse = filtered.Take(_universeSelectMaxStocks); return topCoarse.Select(x => x.Symbol); }

and a selection function:

// class used to improve readability of the coarse selection function // href https://www.quantconnect.com/forum/discussion/1233/portfolio-optimization-with-mathnet-numerics private class MomentumSelectionData { public readonly AnnualizedExponentialSlopeIndicator AnnualizedSlope; public readonly ExponentialMovingAverage MovingAverage; public readonly AverageTrueRange AverageTrueRange; public MomentumSelectionData(int AnnualizedSlopeWindow, int movingAverageWindow) { AnnualizedSlope = new AnnualizedExponentialSlopeIndicator(AnnualizedSlopeWindow); MovingAverage = new ExponentialMovingAverage(movingAverageWindow); AverageTrueRange = new AverageTrueRange(ATRWindowSize, MovingAverageType.Exponential); } // updates the indicators, returning true when they're both ready public bool Update(DateTime time, decimal value) { return AnnualizedSlope.Update(time, value) && MovingAverage.Update(time, value); } }

I need the ATR in the position sizing. As the coarsefunction returns multiple symbols I was thinking about adding the ATR to the coarsfunction, but it needs a Tradebar. How to do that? In case that ATR is there it will be calculated over and over again while it is only required to calculate the position size. Is there a way to call the ATR on the fly on an ondata event and get also data from the past?