class UniverseSelectionMarketCap(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 6, 1)  # Set Start Date
        self.SetEndDate(2019, 6, 15) # Set End Date
        
        self.UniverseSettings.Resolution = Resolution.Daily
        
        # coarse and fine selection
        self.AddUniverseSelection(
          FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine)
        )
        
        # self.SetUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.SelectCoarse)) # only coarse selection
        
        self.numberOfSymbolsFine = 500

    def OnData(self, data):
        # log the selected stocks if you want
        for key in data.Keys:
            self.Log(key.Value)
        
    def SelectCoarse(self, coarse):
        # select stocks with fundamental data
        coarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
        sortByVolume = sorted(coarseWithFundamental, key = lambda x: x.Volume, reverse = True)
        return [ x.Symbol for x in sortByVolume]
        
    def SelectFine(self, fine):
        # select stocks with the highest market cap
        sortByMarketCap = sorted(fine, key = lambda x: x.CompanyProfile.MarketCap, reverse = True)
        return [ x.Symbol for x in sortByMarketCap[:self.numberOfSymbolsFine] ]