Universe Selection / Scanner that can occur multiple times a day?

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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!

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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

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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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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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