Securities

To create an Equity subscription, call the AddEquityadd_equity method and pass the ticker argument. The ticker argument represents the current ticker.

// Add the SPY ETF.
var equity = AddEquity("SPY");

# Add the SPY ETF.
equity = self.add_equity("SPY")

The AddEquityadd_equity method creates a subscription for a single Equity asset and adds it to your user-defined universe.

For more information about adding assets, see Asset Classes.

Universe selection is the process of selecting a basket of assets you may trade. When you add a universe to your algorithm, LEAN sends a large dataset into a filter function you define. LEAN automatically subscribes to these new assets and adds them to your algorithm.

// Use the FundamentalFilterFunction to add the 100 most liquid stocks to the universe.
public class MyFundamentalUniverseAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        UniverseSettings.Asynchronous = true;
        AddUniverse(FundamentalFilterFunction);
    }

    // Get the top 100 stocks by dollar volume.
    private IEnumerable<Symbol> FundamentalFilterFunction(IEnumerable<Fundamental> fundamental)
    {
        return (from c in fundamental
            orderby c.DollarVolume descending
            select c.Symbol).Take(100);
    }
}

# Use the _fundamental_filter_function to add the 100 most liquid stocks to the universe.
class MyFundamentalUniverseAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.universe_settings.asynchronous = True
        self.add_universe(self._fundamental_filter_function)

    # Get the top 100 stocks by dollar volume.
    def _fundamental_filter_function(self, fundamental: List[Fundamental]) -> List[Symbol]:
        sorted_by_dollar_volume = sorted(fundamental, key=lambda x: x.dollar_volume, reverse=True) 
        return [c.symbol for c in sorted_by_dollar_volume[:100]]

For more information about universes, see Universes.

Resolution is the duration of time that's used to sample a data source. Market data is sampled and saved in disk with five resolutions. The Resolution enumeration has the following members:

• Resolution.TickResolution.TICK
• Resolution.SecondResolution.SECOND
• Resolution.MinuteResolution.MINUTE
• Resolution.HourResolution.HOUR
• Resolution.DailyResolution.DAILY

For more information about the resolutions of each asset class, follow these steps:

1. Open the Asset Classes documentation.
2. Click an asset class.
3. Click Requesting Data.
4. Scroll down to the Resolutions section.

You can subscribe to daily resolution for an asset for updating indicator and subscribe to another asset for denser resolution for trading using the indicator.

public override void Initialize()
{
    AddEquity("VIX", Resolution.Daily);
    AddEquity("SPY", Resolution.Minute);
}

def initialize(self):
    self.add_equity("VIX", Resolution.DAILY)
    self.add_equity("SPY", Resolution.MINUTE)

To get data with multiple or customizable resolutions for an asset, use consolidators.

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

For more information about how to enable and disable fill forward for each asset class, follow these steps:

1. Open the Asset Classes documentation.
2. Click an asset class.
3. Click Requesting Data.
4. Scroll down to the Fill Forward section.

Example: Disable Fill Forward Data

For some illiquid securities or alternative data, using forward filled data might not be an accurate estimation nor usable information. To avoid this, disable fill forward.

public override void Initialize()
{
    AddData<BrainSentiment7Days>(symbol, fillForward: false);
}

def initialize(self):
    self.add_data(BrainSentiment7Days, symbol, fill_forward=False)

When you add and remove assets, LEAN notifies your algorithm through the OnSecuritiesChangedon_securities_changed event handler. The event handler receives a SecurityChanges object, which contains references to the added and removed securities. To access the added securities, iterate the changes.AddedSecuritieschanges.added_securities property. To get the removed securities, iterate the changes.RemovedSecuritieschanges.removed_securities property.

// Use OnSecuritiesChanged to know when an asset is added or removed.
public override void OnSecuritiesChanged(SecurityChanges changes)
{
    // Iterate through the added assets.
    foreach (var security in changes.AddedSecurities)
    {
        Debug($"{Time}: Added {security.Symbol}");
    }

    // Iterate through the removed assets.
    foreach (var security in changes.RemovedSecurities)
    {
        Debug($"{Time}: Removed {security.Symbol}");
        
        if (security.Invested)
        {
            Liquidate(security.Symbol, "Removed from Universe");
        }
    }
}

# Use on_securities_changed to know when an asset is added or removed.
def on_securities_changed(self, changes: SecurityChanges) -> None:
    # Iterate through the added assets.
    for security in changes.added_securities:
        self.debug(f"{self.time}: Added {security.symbol}")

    # Iterate through the removed assets.
    for security in changes.removed_securities:
        self.debug(f"{self.time}: Removed {security.symbol}")
        
        if security.invested:
            self.liquidate(security.symbol, "Removed from Universe")

The preceding example liquidates securities that leave the universe. You can use this event to create indicators when a new security enters the universe.

To remove a security subscription, call the RemoveSecurityremove_security method.

// Remove the security subscription.
RemoveSecurity(_symbol);

# Remove the security subscription.
self.remove_security(self._symbol)

The RemoveSecurityremove_security method cancels your open orders for the security and liquidates your holdings.

The following examples demonstrate some common practices on the subject of requesting data.

Example 1: Add Linked Alternative Data for Universe Constituents

Many traders select universe constituents and then allocate positions with two independent sets of logic. Position sizing usually requires additional information, like alternative data factors. To manage alternative data subscriptions for all the universe constituents, subscribe and unsubscribe from the data in the OnSecuritiesChanged on_securities_changed method. The following example demonstrates adds the KavoutCompositeFactorBundle when assets enter the universe.

public class RequestSecuritiesDataAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // Add a universe of the 10 most liquid US Equities.
        AddUniverse(Universe.DollarVolume.Top(10));
    }

    public override void OnData(Slice slice)
    {
        // Invest by the updated Kavout Factor data.
        var factorData = slice.Get<KavoutCompositeFactorBundle>();
        if (factorData.Count > 0)
        {
            // Obtain the top 10 factor sum score symbols.
            // Invest by equal weighting to dissipate capital risks.
            var topFactorTargets = factorData.OrderByDescending(x => 
                    x.Value.Growth + x.Value.ValueFactor + x.Value.Quality + x.Value.Momentum + x.Value.LowVolatility
                )
                .Take(10)
                .Select(x => new PortfolioTarget(x.Key.Underlying, 0.1m))
                .ToList();
            SetHoldings(topFactorTargets);
        }
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        // Iterate securities that entered the universe.
        foreach (dynamic security in changes.AddedSecurities)
        {
            // Subscribe to the factor data for the new security.
            // Save the alternative data symbol in the security object.
            security.AltDataSymbol = AddData<KavoutCompositeFactorBundle>(security.Symbol, Resolution.Daily).Symbol;
        }
        
        // Iterate securities that left the universe.
        foreach (dynamic security in changes.RemovedSecurities)
        {
            // Unsubscribe from the altnerative data updates.
            RemoveSecurity(security.AltDataSymbol);
        }
    }
}