Can you have multiple scheduled Universe selections?

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UniverseSettings.Resolution = Resolution.Minute;
SetTimeZone("America/New_York");


SetUniverseSelection(
new ScheduledUniverseSelectionModel(
DateRules.EveryDay(),
TimeRules.At(9, 29),
SelectSymbols
)
);
SetUniverseSelection(
new ScheduledUniverseSelectionModel(
DateRules.EveryDay(),
TimeRules.At(9, 44),
SelectSymbols
)
);

 

Can you have multiple scheduled Univers selections?

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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.


Hi SherpaTrader,

Yes, but we need to use the AddUniverseSelection method. Note that the algorithm will subscribe to data for symbols in the union of the universes. See the attached backtest for reference.

See this related thread for more information.

Best,
Derek Melchin

1

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 SherpaTrader,

To remove all the securities from a universe, we return an empty list in the universe selection method. Note that in this case, since the universe selection methods are run more than once per day, we need to set a shorter `MinimumTimeInUniverse`.

self.UniverseSettings.MinimumTimeInUniverse = timedelta(hours=1)

See the attached backtest for reference.

Best,
Derek Melchin

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.


Update Backtest





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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