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I am using the algorithm framework, and specifically a coarse universe selection model to select the securities.
I am not interested in getting fundamentals data, but if I don't filter out the securities using HasFundamentalsData I get weird instruments that make the results of the backtests useless.
For example, I've found out that the instrument ZXZZT:US, included in the unfiltered coarse universe, is a test instrument used on NASDAQ (see https://www.bloomberg.com/quote/ZXZZT:US ).
How do I filter out such "fake" instruments without relying on HasFundamentalsData?
(Note: I explicitly want to avoid using HasFundamentalsData as this will cause the live algorithm to be updated with data once a day, which is an annoying limitation considering I am not using fundamentals in the algorithm)
Jack Simonson
Hi Liu,
I'm not sure exactly how to find "fake" securities, but since you don't want daily updates you can use HasFundamentalData with a Scheduled Universe Selection model to ensure that Universe Selection only updates when you want it to, assuming that you want it to update less frequently than daily (note that even using just Coarse Universe Selection will cause daily updates).
Liu Jin
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