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Coarse Filter Resolution

Hi,

I'm new to QuantConnect. I'm confused about the Coarse Filter Resolution. I was under the impression that if I select minute resolution in Universe Settings, the data would be pumped into the coarse fitler function every minute. However, it seems like I always get daily data. 

Here is what I'm trying to do in coarse filter: 

- check minute by minute whether a stock has hit a 5% return intraday

- check if the the current aggerate minute volume (I know I have to add up min volumes) has surpassed the average daily volume

Then return the stocks that meet these criteria. 

However, since I only get the daily data in coarse filter function, I can't check the conditions above. 

Really appriciate any help on this!

 

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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.


Hi Omid,

Welcome to QuantConnect!

Coarse Universe Selection is generated with end-of-day data. Selecting minute resolution in UniverseSettings only affects the resolution of data you subscribe to after universe selection. Intermediate universe selection is not supported in LEAN or QuantConnect yet, but we are considering the best way to implement this. Read more about Universe Selection here and here.

The CoarseFundamental class provides access to the following information that you can base your selection upon: self.Market, self.DollarVolume (for the day), self.Volume (for the day), self.HasFundamentalData, self.PriceFactor, self.SplitFactor, self.PriceScaleFactor, self.AdjustedPrice, self.EndTime.

Sorry for the confusion. Hope this provides a bit more clarity. Thanks for your support!

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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.


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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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