Documentation discussion algorithm-reference/universes

Question about the resolution :

self.UniverseSettings.Resolution = Resolution.Daily // What resolution should added assets use

suppose I want to perform a universe selection every 7days or month , 

how could it be implemented ?consolidating data and then use it as resolution?

Hi Ofir,

There are many options to achieve your goal.1. We could use Scheduled Universe Selection. Here is an example of performing an universe selection every Monday:

# in self.Initialize():
self.AddUniverseSelection(ScheduledUniverseSelectionModel(
    self.DateRules.Every(DayOfWeek.Monday),
    self.TimeRules.Every(timedelta(hours = 12)),
    self.SelectSymbols # selection function in algorithm.
))

def SelectSymbols(self):
    # your strategy here

To preform it monthly, we could use this as our date rule:

# self.AddEquity("SPY")
self.DateRules.MonthStart("SPY")

Here is more information regarding scheduled event.

2. We could use data consolidator. Here is an example to consolidate "SPY" daily data into 7-day bar:

from datetime import timedelta
# in self.Initialize():
self.AddEquity("SPY", Resolution.Daily)
consolidator = TradeBarConsolidator(timedelta(days=7))
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator("SPY", consolidator)
# later in the algorithm:
def OnDataConsolidated(self, sender, bar):
    # perform your strategy here

3. We could use a flag. Here is an example with a monthly flag:

# in self.Initialize():
self.month = -1
# before universe selection:
if self.month == self.Time.month: return
# after universe selection:
self.month = self.Time.month # ensure the universe selection only run once in every month

Hope it helps.

Please explain to me on what date the data are taken in the Universe Selection. For example if self.SetStartDate(2019,6,4) how can I understand that Coarsefundmental is taking data from the previous trading day(2019-06-03)?

ok...I helped myself.

 for x in coarse:
            self.Log(x.Time) 

Coarsefundmental takes data from the current trading day. Why??

*Coarsefundmental starts with data from self.SetStartDate.

Sorry, I was wrong. I didn't count the following when I checked the data:

"Finally, when reviewing the results of your history requests remember they are indexed by the EndTime of each data point. For daily data, this results in makes it appear datapoints appear on Saturday, and skipping Monday's bar."

In the article above "LEAN automatically subscribes to these new symbols and adds them to your algorithm."

But I don't know how I can access that filtered symbols. Where is the filtered symbols?

Thanks.

Hi Bill,

Thank you for your question. Generally speaking, the subscribed data for the filtered symbols are in the slice variable in the OnData(Slice slice) method. You can just simply access any of them with slice[symbol]. For example, if "AAPL" is in your filtered symbols set, then you can assess its data using slice["AAPL"] in the OnData(Slice slice) method.

If you only want the added or removed universe, then the changes variable in the OnSecuritiesChanged() method would suffice. We provide many examples of how to use filtered symbols after Universe Selection. Please check out the examples on the top of the same page. Thank you!

Hi, I'm a beginner here, so sorry if I ask for the obvious, but could somebody please help me with the following. I would like to select stocks which have a (weekly)close above the weekly upper bollingerband. Is there an example available about using a indicator with weekly data in the universe selection? Any help would be welcome.

Is is possible to use Currencies Market in the Universe Selection? If I want top 10 winners / losers for the past week?

Currencies do not delist as frequently as stocks so do not require universes. It is perfectly acceptable to manually add all 20-30 FOREX assets to your algorithm and perform the winners/losers tests on your entire portfolio.