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.