I want to know if it's possible to check for example at 10:00 the most traded stocks based on Volume of stocks traded. For what I understand this code is not doing that, because it checks for "yesterday" volume, not the volume up to 10:00 of the same day:


def MyCoarseFilterFunction(self, coarse):
sortedByVolume = sorted(coarse, key=lambda x: x.Volume, reverse=True)
filtered = [ x.Symbol for x in sortedByVolume if x.Price > 10 and x.Volume > 50000 ]
return filtered[:100]


What I want is to check for universe of stocks that have more than 50.000 volume traded (not dollars, number of stocks), at 10:00.

I can acomplish this only by setting up "MyCoarseFilterFunction" inside a scheluded function?

Appreciate someone can point me in the right direction.