How does CCI work with universe, can anyone give one example

How does CCI work with universe 

I want to user CCI as one of the filter

As far as I know, coarse does not have a property as TradeBar

Would you please give an CCI example on unverse ??



Update Backtest

Here is an example of indicators being used in universe selection. The CCI indicator can be implemented like so, where a SymbolData object is created and the indicator is initialized for each stock. The data can then be fed into the indicator with historical data like this example. This way the CCI indicator will have the correct current value for universe filtration.


In the C# example's code, the history call returns IEnumerable<Quotebar> or IEnumerable<Tradebar> depending on the security. So while the EMA's are updated with a specific field and time below, the CCI's can be updated with a TradeBar needed by just passing bar in Update.

var history = History("EURUSD", 3601);
foreach (var bar in history)
fast.Update(bar.EndTime, bar.Close);
slow.Update(bar.EndTime, bar.Close);

Hi OuYangFeng, for CCI you should create the indicator constructor 

CCI = new CommodityChannelIndex(period, MovingAverageType.Simple);

and update the CCI indicator manually with the trade bar. 

In coarse universe selection, you can retrieve yesterday's trade bar with the history request

CCI.Update(History(Symbol, 1, Resolution.Daily).FirstOrDefault())


Update Backtest


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