How can I call CoarseSelectionFunction the from OnData function? by Kieran Flynn

Kieran Flynn INVESTOR

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import numpy as np



class BasicTemplateAlgorithm(QCAlgorithm):

    

    def Initialize(self):

        

        self.SetStartDate(2010,1,1)  #Set Start Date

        self.SetEndDate(2010,2,2)    #Set End Date

        self.SetCash(100000)           #Set Strategy Cash

        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)

        

    

    def CoarseSelectionFunction(self, coarse):

        

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

        

        return [ x.Symbol for x in sortedByDollarVolume[:500] ]

        

    

    def FineSelectionFunction(self, fine):

        

        sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)

        

        return [ x.Symbol for x in sortedByPeRatio ]

        

            

    def OnData(self, data):

        

        symbols = self.CoarseSelectionFunction(self, data)

I have attempted this but receieve the error:

Runtime Error: TypeError : CoarseSelectionFunction() takes 2 positional arguments but 3 were given
at OnData in main.py:line 35
TypeError : CoarseSelectionFunction() takes 2 positional arguments but 3 were given (Open Stacktrace)

How can I call the CoarseSelectionFunction and return the result to OnData?

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Kieran Flynn

Accepted Answer

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Jared Broad

Why do you need to do this?

You will need to pass it a coarse universe object not the slice object.

Coarse universe is 9k fundamental data points generated once per day

Kieran Flynn

629 ,

import numpy as np



class BasicTemplateAlgorithm(QCAlgorithm):

    

    def Initialize(self):

        

        self.SetStartDate(2010,1,1)  #Set Start Date

        self.SetEndDate(2010,2,2)    #Set End Date

        self.SetCash(100000)           #Set Strategy Cash

        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)

        

    

    def CoarseSelectionFunction(self, coarse):

        

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

        

        return [ x.Symbol for x in sortedByDollarVolume[:10] ]

        

    

    def FineSelectionFunction(self, fine):

        

        sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)

        

        return [ x.Symbol for x in sortedByPeRatio ]

        

            

    def OnData(self, data):

        

        symbols = self.CoarseSelectionFunction(self, coarse)

This does not work either. Is there some way to return the symbols to my OnData function?

Kieran Flynn

629 ,

What I am after is a way to access my universe of symbols in my main algorithm. How is this achieved?

Jing Wu

242.2k ,

Hi Kieran, to access the symbols in universe selection method, you can save the symbol list in an instance variable for example "self.symbols" then you can use this variable in OnData(). Please refer to this example

https://www.quantconnect.com/tutorials/strategy-library/momentum-and-state-of-market-filters

Kieran Flynn INVESTOR

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