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Universe question

Hello, 

Im trying to combine these two examples. I'm not sure how I can add new symbols from the universe to my symbol equity list. If my univerese updates daily will I need to initilize the indicators and consolidators daily too? I was trying to change line 70 to     "for security in self._changes.AddedSecurities: " but I wasn't having any luck. 

 

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/CoarseFundamentalTop3Algorithm.py

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/MultipleSymbolConsolidationAlgorithm.py

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Hi Eric,

Since the Securities are being added to the Universe during Universe Selection, then there is no need to have an EquitySymbols list in the Initialize() method or to create the SymbolData objects there. Instead, I would suggest moving the SymbolData object creation to the OnSecuritiesChanged() method. By doing this the algorithm can loop through changes.SecuritiesAdded as new Securities are added to the universe and create a SymbolData object for each one. Once the SymbolData objects have been initialized, the consolidator should take care of updating the Simple Moving Average and Rolling Window for each SymbolData object.

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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.


Update Backtest





0

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.


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