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

Filib Uster

, edit

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

5 Comments

Filib Uster

, ,

Accepted Answer

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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

11.1k 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

2.8k 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.