How to get tickers/symbols from Coarse Universe? (Python) by Wesley

Wesley

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I'm not sure how Universes work. I've read all the documentation and many discussion posts and nothing I have found works for me. How do I get symbols from this? I'm not sure how to put this into a trading function since I can't figure out what this function does and can't see what it is returning. If I had the function

def OnData(self, data) :

if ema50 > ema200:

SetHoldings("?", 0.5 )

What do I put in place for the question mark? I'm not sure how to get the tickers from the Universe to do this.

This is the code that I'm using for my Universe

 def Initialize(self):

        self.SetStartDate(2000, 1, 15)  # Set Start Date

        self.SetEndDate(2019, 5, 15)

        self.SetCash(1000)  # Set Strategy Cash

        self.UniverseSettings.Resolution = Resolution.Daily

        self.AddUniverse(self.CoarseSelectionFunction)

        

        

        

        

    def CoarseSelectionFunction(self, coarse):

    # sort descending by daily dollar volume

        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) 



    # we need to return only the symbol objects

        

        return [ x.Symbol for x in sortedByDollarVolume[:50] ]

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Wesley

Accepted Answer

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Cole S

4.7k ,

The universe selects the securities and puts them in the ActiveSecurities collection of your algorithm. Those securities are subscribed to based on you Universe Resolution setting (minute, daily, tick). In the OnData function you should be able to access the securites. There are several example algorithms in the source you can look at to help with this.

Jared Broad

Good answer kctrader -- I've credited you 2 months free live trading =)

Wesley

466 ,

When you say I can access them in the OnData function, how do I do that? Here is my code so far. I'm not sure how to access the symbols and use them in other functions. Even in OnData I don't know how to get my securities in there. I try to call the Coarse() function but it says it is not defined.

class TachyonVerticalCoil(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2000, 1, 15)  # Set Start Date

        self.SetEndDate(2019, 5, 15)

        self.SetCash(1000)  # Set Strategy Cash

        self.UniverseSettings.Resolution = Resolution.Daily

        self.AddUniverse(self.Coarse)

        

        

        

        

    def Coarse(self, coarse):

        sorted_list = []

    # sort descending by daily dollar volume

        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) 

    # we need to return only the symbol objects

        values = [ x.Symbol for x in sortedByDollarVolume[:50] ]

        return values

        #sorted_list.append(values)

        #print(sorted_list)

    

        

        

        

        



    

         

    

    def OnData(self, data):

Alethea Lin

7.5k ,

Hi Wesley,

In your OnData(),

self.ActiveSecurities[security]

would allow you to access the securities in your universe. This is automatically updated. Check out this and this documentation pages to get more familiar with the API. In addition, please spend some time working through the Boot Camp in Algorithm Lab for API practice as well :)

Hope this helps!

Wesley

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