Why do different overloads of the history function return different types of objects? by Filib Uster

Filib Uster INVESTOR

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Apparently, history does not return a python DataFrame when combined with a Universe.

This works and returns a python DataFrame with highs, lows and closes for the selected securities:

class algorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2012,1,1)  

        self.SetEndDate(2012,2,5)    

        self.SetCash(100000)           

        self.symbols = ['ABT', 'ACN', 'ACE', 'ADBE']

        for symbol in self.symbols:

            self.AddEquity(symbol, Resolution.Daily) 

        self.AddEquity('SPY', Resolution.Daily)

        self.Schedule.On(self.DateRules.MonthStart("SPY"), 

                         self.TimeRules.AfterMarketOpen("SPY", 60), 

                         Action(self.Rebalance))

        

    def Rebalance(self):

        history = self.History(self.symbols, 20, Resolution.Daily)

        self.Debug(history.head())

This throws an error:

class algorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2012,1,1)  

        self.SetEndDate(2012,3,1)   

        self.SetCash(100000)           

        self.AddEquity("SPY", Resolution.Minute)

        self.UniverseSettings.Resolution = Resolution.Minute

        self.Schedule.On(self.DateRules.EveryDay("SPY"), 

                         self.TimeRules.AfterMarketOpen("SPY", 30), 

                         Action(self.rebalance))

        self.universe = []

    

    def CoarseSelectionFunction(self, coarse):

        today = self.Time

        CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]

        sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)

        result = [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]

        self.universe = result

        return self.universe

            

    def rebalance(self):

        history = self.History(20, Resolution.Daily)

        self.Debug(history.head())

How can I change the second snippet such that it returns a DataFrame with the bars for all the assets in the Universe?

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Filib Uster

Accepted Answer

Update Backtest

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Gurumeher Sawhney

16.5k Pro ,

Thank you for supplying the code. It turns out that the universe is empty and this is because AddUniverse() is not present in the initialization portion of the code. So the coarse selection function is never called and nothing is ever entered into the universe. The number of symbols was also never initialized so I just set it to 4, which is the amount requested above. The backtest below has those edits, along with a few others that were needed to run correctly. A link to the documentation on using universes is below as well.

https://www.quantconnect.com/docs/algorithm-reference/universes

Filib Uster

13.8k Pro ,

Thanks a lot - no idea how I could have missed that.

Follow up question:

How can I iterate through the University and print out each security contained in it? Oviously, I have saved the universe in a helper array. But can I just use an UniversityManager to do that?

Filib Uster

13.8k Pro ,

Another follow up:

Why isn't the following snippet working?

class algorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2012,1,1)  #Set Start Date

        self.SetEndDate(2012,2,5)    #Set End Date

        self.SetCash(100000)           #Set Strategy Cash

        self.market_window = 200

        self.AddEquity('SPY', Resolution.Daily)

        self.Schedule.On(self.DateRules.MonthStart("SPY"), 

                         self.TimeRules.AfterMarketOpen("SPY", 60), 

                         Action(self.Rebalance))

    def Rebalance(self):

        history = self.History('SPY',  20, Resolution.Daily)

        self.Debug(history.head())

How can I get a DataFrame similiar to the once return by the snippet above?

Gurumeher Sawhney

16.5k Pro ,

Yes, the UniverseManager can be used to locate the symbols in the defined universe. The code below is a good example of accessing the symbols.

for universe in self.UniverseManager.Values:



    # User defined universe has symbols from AddSecurity/AddEquity calls

    if universe is UserDefinedUniverse:

        continue



    symbols = universe.Members.Keys

With regards to the code not working see the algorithm below. The symbol was passed to self.History in a list, like the aforementioned code above and the DataFrame was created:

Filib Uster INVESTOR

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