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Hi All,
I was wondering if it's possible to perform a universe selection multiple times a day (i.e. different list of stocks in the algorithm universe every 15 minutes).
This is similar to intraday trading, and picking top percent gain stocks AT the time of trading. Since the list of top percent gainers for low cap stocks through out a day can varying significantly, that's why choosing a universe just once at the beginning is not appropriate for my strategy.
I thought about requesting historical data for all stocks every 15 minutes and calculate the top percent gainers that way, but do you think this will lead to poor performance?
Thanks in advance!
Rahul Chowdhury
Hi JiaJin Li,
It's not currently possible to choose a custom schedule for universe selection. For now, universe selection is restricted to occurring once a day. However, we are working on implementing custom universe selection schedules. You can follow the progress of the feature on the related GitHub issue.
Best
Rahul
James Li
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