I'm trying to get a pandas dataframe of historical prices for the last year from my universe. 

Right now I'm getting the error: 

During the algorithm initialization, the following exception has occurred: Framework algorithms must specify a portfolio selection model using the 'UniverseSelection' property.

How would I fix this?

Some other questions I have are:

How would I get historical prices from the Universe?

Could I filter based on historical prices in the fine selection function?


Here is what I have so far.

from clr import AddReference

from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Selection import *
from datetime import datetime, timedelta

class HistoricalPriceUniverse(QCAlgorithmFramework):

def Initialize(self):

self.UniverseSettings.Resolution = Resolution.Daily

self.SetStartDate(2017, 1, 1)
self.SetEndDate(2017, 2, 1)

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

self._changes = None

def CoarseSelectionFunction(self, coarse):
filtered = [ x.Symbol for x in coarse if x.HasFundamentalData ]
return filtered[:]

def FineSelectionFunction(self, fine):
# for possible future implimentation
return fine

def OnData(self, data):
# liquidate securities that were removed from universe
for security in self._changes.RemovedSecurities:

# This is where I would like to get dataframe of historical prices for securities

self._changes = none

# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
self._changes = changes
self.Log(f"OnSecuritiesChanged({self.UtcTime}):: {changes}")