Universe consisting of all SPY stocks by Filib Uster

Filib Uster

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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.

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Filib Uster

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Gurumeher Sawhney

14.7k Pro ,

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.

https://www.quantconnect.com/docs/algorithm-framework/universe-selectionhttps://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Selection/QC500UniverseSelectionModel.py

Filib Uster

13.1k Pro ,

Thanks for your help, but I don't really get it. Is there no simple way to set all stocks contained in the S&P500 as trading Universe?

Filib Uster

13.1k Pro ,

Sorry - I just found out that you have massively improved the Algorithm Framework environment. The project wizzard is especially helpful and provides among many others a template for QC500-Universe selection.

Kudos!

Halldor Andersen

13.5k Pro ,

Hi Filib.

The index composition for the S&P 500 and other common indices are not available yet. However, you can use the custom universe selection model QC500, which closely mirrors the composition of the S&P 500.

For further information, check out this documentation section on Universes and also this QC500 example algorithm.

Filib Uster

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