LEAN is the open
source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
More securities than expected in self.Securities.Keys
Filib Uster
edit
0
I want to select 20 stocks using the following CoarseSelectionFunction:
def CoarseSelectionFunction(self, coarse):
CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
self.universe = [x.Symbol for x in sortedByDollarVolume[:20]]
return self.universe
When I later check the stock in the self.Securities dictionary using
self.Debug(len(self.Securities.Keys))
for security in self.Securities.Keys:
self.Debug(security)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Securities grow over time as it includes previously selected securities.
The current Active set in the universe can be seen by the ActiveSecurities property.
1
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Why does the Univere contain only SPY when the rebalance function is triggered for the first time? Is there a timing problem and how can that be fixed?
SPY is in the universe immediately. You can see its data event in OnData.
def OnData(self, slice):
if slice.ContainsKey("SPY"):
self.Debug(self.Time)
def Rebalance(self):
pass
0
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Your question had me puzzled too. This would be a workaround: iterate over self.universe, not self.Securities.Keys:
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.UniverseSettings.Resolution = Resolution.Minute
self.AddUniverse(self.CoarseSelectionFunction)
self.AddEquity('SPY', Resolution.Daily)
self.Schedule.On(self.DateRules.MonthStart("SPY"),
self.TimeRules.AfterMarketOpen("SPY", 60),
Action(self.Rebalance))
self.universe = {}
def CoarseSelectionFunction(self, coarse):
CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
self.universe = [x.Symbol for x in sortedByDollarVolume[:20]]
self.Debug(len(self.universe))
return self.universe
def Rebalance(self):
self.Debug(self.Time)
self.Debug(len(self.universe))
for security in self.universe:
self.Debug(security)
Thanks Serge; the recommended way to get all securities in all universes is ActiveSecurities; I've added it as a docs section for the new property here.
0
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Loading...
To attach images, drag and drop them into the textarea.
Please tag your post with applicable tags from below or click Publish to continue.
FAQ
A:
Please send bug reports to support@quantconnect.com
Please send bug reports to QuantConnect Support so our team can respond as quickly as possible.
Click Support Request below to submit your discussion as a bug report, or Publish Discussion to
continue posting as a discussion to the forums.
Please send bug reports to support@quantconnect.com
