Hey,
I'm trying to apply a Scheduled universe selection using fundamental data,
for the simplicity, I want to perform the QC500 fundamental universe selection every Sunday, and generate alphas for this universe for the next week,
In the next week, it will work with new screened stocks.
Exploring the API,
scheduled selection, I want to perform it once a week, when markets are closed :
self.SetUniverseSelection(ScheduledUniverseSelectionModel(
self.DateRules.Every(DayOfWeek.Sunday),
self.TimeRules.At(12, 00),
self.SelectSymbols
))
while QC500UniverseSelectionModel (class object;FundamentalUniverseSelectionModel's -child) should be formatted like like SelectSymbols(function)
QC500UniverseSelectionModel(FundamentalUniverseSelectionModel)def SelectSymbols(self, dateTime)
I can see that for Fundamental filtering I declare
FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine)def SelectCoarse(self, algorithm, coarse)def SelectFine(self, algorithm, fine):
examining those functions, I can see that SelectCoarse perform data analysis on coarse input
filtered = [x for x in coarse if x.HasFundamentalData and x.Volume > 0 and x.Price > 0]and returns self.symbols which is just a list of symbols[ strings I guess?], then SelectFine input uses fine to perform the next filtering with some verifications in the class.
Is there a simple way to what I want to do?
