More securities than expected in self.Securities.Keys by Filib Uster

Filib Uster

| Reward Discussion

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)

I get a list of 55 securities. How can that be?

Here is the complete code:

Update Backtest

Filib Uster

Accepted Answer

Update Backtest

Notebook

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.

Jared Broad

Pro ,

Securities grow over time as it includes previously selected securities.

The current Active set in the universe can be seen by the ActiveSecurities property.

Filib Uster

13.5k Pro ,

Thanks, Thats very helpful.

Follow up question:

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?

Jared Broad

Pro ,

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

Serge d'Adesky

2.9k Pro ,

Ralph,

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)

Jared Broad

Pro ,

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.

Filib Uster

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

1^st	Fred Painchaud Gold Ambassador
2^nd	Mak K Gold Ambassador
3^rd	Vladimir Silver Ambassador
4^th	spacetime Silver Ambassador

Platform

QuantConnect Community

Alpha League Competition: $1,000 Weekly Prize Pool

Filter Discussion by Tags

Community Ambassadors

Earn free QuantConnect cloud credits by helping others, each week we airdrop credits to the most active community members.

181,411 Quants.

Online Now

Stay Connected