How can I get a Universe consisting of all stocks which are part of common indices, such as SPY, or Nasdaq100?
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
# set algorithm framework models
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
Only selects the SPY etf.
This should be a standard problem, but I could not find anything in the examples.
Great to see you're using the algorithm framework! The algorithm framework breaks down designing a strategy into Universe Selection, Alpha Creation, Portfolio Construction, Execution and Risk Management. Universe Selection, lets you select a universe with self.SetUniverseSelection(_universe_selection_model). In the code above you selected the manual selection model, which provides a fixed amount of assets. That is the reason why SPY is the only selection. Changing the model to the fundamental selection model will allow you to determine the universe off of coarse price and fundemental data. The bottom link shows an implementation of this very similar to what is trying to be achieved. Note that this is one of a few models that will be needed for the algorithm framework to work.
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