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Introduction

Create Universes

Date Rules

Time Rules

Selection Frequency

Examples

Universes

Dataless Scheduled Universes

Introduction

A dataless scheduled universe let's you select a set of assets on a specific schedule. You can control which days the other types of universe run by adjusting the Schedule universe setting. However, the Scheduleschedule universe setting doesn't accept a TimeRule argument, so you can't control the time of the day they run. In contrast, a dataless scheduled universe accepts a TimeRule argument, but its selection function only receives the algorithm time.

Create Universes

To add a dataless scheduled universe, in the Initializeinitialize method, call the AddUniverseadd_universe method with a ScheduledUniverse object.

Select Language:

public class MyUniverseAlgorithm : QCAlgorithm {
    private Universe _universe;
    public override void Initialize()
    {
        UniverseSettings.Asynchronous = true;
        _universe = AddUniverse(new ScheduledUniverse(DateRules.MonthStart(), TimeRules.At(8, 0), SelectSymbols));
    }

        
    private IEnumerable<Symbol> SelectSymbols(DateTime dt) 
    {
        return new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) };
    }
}

class MyUniverseAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.universe_settings.asynchronous = True
        self._universe = self.add_universe(
            ScheduledUniverse(
                self.date_rules.month_start(), 
                self.time_rules.at(8, 0), 
                self._select_symbols
            )
        )
        
    def _select_symbols(self, dt):
        return [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]

The following table describes the arguments the model accepts:

Argument	Data Type	Description	Default Value
`dateRuledate_rule`	`IDateRule`	Date rule that defines what days the universe selection function runs
`timeRuletime_rule`	`ITimeRule`	Time rule that defines what times on each day selected by date rule the universe selection function runs
`Func<DateTime, IEnumerable< Symbol>>` `Callable[[datetime], list[Symbol]]`	`selector`	Selector function that accepts the current date time and returns the universe's `Symbol` objects
`settings`	`UniverseSettings`	The universe settings. If you don't provide an argument, the model uses the `algorithm.UniverseSettingsalgorithm.universe_settings` by default.	`nullNone`

Date Rules

The following table describes the supported DateRules:

Member	Description
`self.date_rules.set_default_time_zone(time_zone: DateTimeZone)DateRules.SetDefaultTimeZone(DateTimeZone timeZone);`	Sets the time zone for the `DateRules` object used in all methods in this table. The default time zone is the algorithm time zone.
`self.date_rules.on(year: int, month: int, day: int)DateRules.On(int year, int month, int day)`	Trigger an event on a specific date.
`self.date_rules.on(dates: list[datetime])` `DateRules.On(params DateTime[] dates)`	Trigger an event on specific dates.
`self.date_rules.every_day()` `DateRules.EveryDay()`	Trigger an event every day.
`self.date_rules.every_day(symbol: Symbol, extended_market_hours: bool = False)` `DateRules.EveryDay(Symbol symbol, bool extendedMarketHours = false)`	Trigger an event every day a specific symbol is trading.
`self.date_rules.every(days: list[DayOfWeek])` `DateRules.Every(params DayOfWeek[] days)`	Trigger an event on specific days throughout the week. To view the `DayOfWeek` enum members, see DayOfWeek Enum in the .NET documentation.
`self.date_rules.month_start(days_offset: int = 0)` `DateRules.MonthStart(int daysOffset = 0)`	Trigger an event on the first day of each month plus an offset.
`self.date_rules.month_start(symbol: Symbol, daysOffset: int = 0)` `DateRules.MonthStart(Symbol symbol, int daysOffset = 0)`	Trigger an event on the first tradable date of each month for a specific symbol plus an offset.
`self.date_rules.month_end(days_offset: int = 0)` `DateRules.MonthEnd(int daysOffset = 0)`	Trigger an event on the last day of each month minus an offset.
`self.date_rules.month_end(symbol: Symbol, daysOffset: int = 0)` `DateRules.MonthEnd(Symbol symbol, int daysOffset = 0)`	Trigger an event on the last tradable date of each month for a specific symbol minus an offset.
`self.date_rules.week_start(days_offset: int = 0)` `DateRules.WeekStart(int daysOffset = 0)`	Trigger an event on the first day of each week plus an offset.
`self.date_rules.week_start(symbol: Symbol, days_offset: int = 0)` `DateRules.WeekStart(Symbol symbol, int daysOffset = 0)`	Trigger an event on the first tradable date of each week for a specific symbol plus an offset.
`self.date_rules.week_end(days_offset: int = 0)` `DateRules.WeekEnd(int daysOffset = 0)`	Trigger an event on the last day of each week minus an offset.
`self.date_rules.week_end(symbol: Symbol, days_offset: int = 0)` `DateRules.WeekEnd(Symbol symbol, int daysOffset = 0)`	Trigger an event on the last tradable date of each week for a specific symbol minus an offset.
`self.date_rules.year_start(days_offset: int = 0)` `DateRules.YearStart(int daysOffset = 0)`	Trigger an event on the first day of each year plus an offset.
`self.date_rules.year_start(symbol: Symbol, days_offset: int = 0)` `DateRules.YearStart(Symbol symbol, int daysOffset = 0)`	Trigger an event on the first tradable date of each year for a specific symbol plus an offset.
`self.date_rules.year_end(days_offset: int = 0)` `DateRules.YearEnd(int daysOffset = 0)`	Trigger an event on the last day of each year minus an offset.
`self.date_rules.year_end(symbol: Symbol, days_offset: int = 0)` `DateRules.YearEnd(Symbol symbol, int daysOffset = 0)`	Trigger an event on the last tradable date of each year for a specific symbol minus an offset.
`self.date_rules.todayDateRules.Today`	Trigger an event once today.
`self.date_rules.tomorrowDateRules.Tomorrow`	Trigger an event once tomorrow.

To define custom date rules, create a FuncDateRule object. The FuncDateRule constructor expects a name argument of type stringstr and a getDatesFunctionget_dates_function argument of type Func<DateTime, DateTime, IEnumerable<DateTime>>Callable[[datetime, datetime], list[datetime]]. The getDatesFunctionget_dates_function function receives the start and end dates of the algorithm and returns a list of dates for the date rule. In live trading, the end date is 12/31/2025. The following example demonstrates how to define a date rule that represents the 10th day of each month:

Select Language:

// Create a date rule that specifies the 10th day of each month.
var dateRule = new FuncDateRule(
    name: "10th_day_of_the_month",
    getDatesFunction: (start, end) => Enumerable.Range(start.Year, end.Year - start.Year + 1)
        .SelectMany(year => Enumerable.Range(1, 12).Select(month => new DateTime(year, month, 10)))
);

# Create a date rule that specifies the 10th day of each month.
date_rule = FuncDateRule(
    name="10th_day_of_the_month", 
    get_dates_function=lambda start, end: [
        datetime(year, month, 10) 
        for year in range(start.year, end.year) for month in range(1,12)
    ]
)

Time Rules

The following table describes the supported TimeRules:

Member	Description
`self.time_rules.set_default_time_zone(time_zone: DateTimeZone)TimeRules.SetDefaultTimeZone(DateTimeZone timeZone)`	Sets the time zone for the `TimeRules` object used in all methods in this table, except when a different time zone is given. The default time zone is the algorithm time zone.
`self.time_rules.before_market_open(symbol: Symbol, minutes_before_open: float = 0, extended_market_open: bool = False)` `TimeRules.BeforeMarketOpen(Symbol symbol, double minutesBeforeOpen = 0, bool extendedMarketOpen = false)`	Trigger an event a few minutes before market open for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
`self.time_rules.after_market_open(symbol: Symbol, minutes_after_open: float = 0, extended_market_open: bool = False)` `TimeRules.AfterMarketOpen(Symbol symbol, double minutesAfterOpen = 0, bool extendedMarketOpen = false)`	Trigger an event a few minutes after market open for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
`self.time_rules.before_market_close(symbol: Symbol, minutes_before_close: float = 0, extended_market_open: bool = False)` `TimeRules.BeforeMarketClose(Symbol symbol, double minutesBeforeClose = 0, bool extendedMarketOpen = false)`	Trigger an event a few minutes before market close for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
`self.time_rules.after_market_close(symbol: Symbol, minutes_after_close: float = 0, extended_market_open: bool = False)` `TimeRules.AfterMarketClose(Symbol symbol, double minutesAfterClose = 0, bool extendedMarketOpen = false)`	Trigger an event a few minutes after market close for a specific symbol (default is 0). This rule doesn't work for Crypto securities or custom data.
`self.time_rules.every(interval: timedelta)` `TimeRules.Every(TimeSpan interval)`	Trigger an event every period interval starting at midnight.
`self.time_rules.nowTimeRules.Now`	Trigger an event at the current time of day.
`self.time_rules.midnightTimeRules.Midnight`	Trigger an event at midnight.
`self.time_rules.noonTimeRules.Noon`	Trigger an event at noon.
`self.time_rules.at(hour: int, minute: int, second: int = 0)` `TimeRules.At(int hour, int minute, int second = 0)`	Trigger an event at a specific time of day (e.g. 13:10).
`self.time_rules.at(hour: int, minute: int, second: int, time_zone: DateTimeZone)` `TimeRules.At(int hour, int minute, int second, DateTimeZone timeZone)`	Trigger an event at a specific time of day in the given time zone (e.g. 13:10 UTC).

To define custom time rules, create a FuncTimeRule object. The FuncTimeRule constructor expects a name argument of type stringstr and a createUtcEventTimesFunctioncreate_utc_event_times_function argument of type Func<IEnumerable<DateTime>, IEnumerable<DateTime>>Callable[[list[datetime]], list[datetime]]. The function receives the list of dates from the date rule and then returns a list of DateTimedatetime that define the time rule.

Select Language:

var timeRule = new FuncTimeRule(
    name: "CustomTimeRule",
    createUtcEventTimesFunction: dates => dates.Select(d => d.AddHours(10)));

time_rule = FuncTimeRule(
    name="CustomTimeRule", 
    create_utc_event_times_function=lambda dates: [d + timedelta(hours=10) for d in dates]
)

Selection Frequency

Dataless scheduled universes run at whatever selection schedule you define by the dateRuledate_rule and timeRuletime_rule arguments.

Examples

The following examples demonstrate some common practices for dataless scheduled universes.

Example 1: Download External Universe Files

The following algorithm downloads a CSV file from Dropbox. The first column in the file contains the universe date. The second column in the file contains a list of Equity tickers that represents the universe for the day. The dataless scheduled universe parses the file contents each trading day and adds the universe constituents.

Select Language:

public class DatalessScheduledUniverseExampleAlgorithm : QCAlgorithm
{
    // Create a dictionary for the universe data where the key is the date and
    // the value is a comma-separated string of stock tickers.
    private Dictionary<DateTime, string> _tickersByDate = new();
    private Universe _universe;

    public override void Initialize()
    {
        SetStartDate(2015, 1, 1);
        SetEndDate(2016, 1, 1);

        // Download the initial universe file.
        DownloadUniverseFile();
        // Add the custom universe.
        UniverseSettings.ExtendedMarketHours = true;
        var spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
        var dateRule = DateRules.EveryDay(spy);
        _universe = AddUniverse(new ScheduledUniverse(dateRule, TimeRules.At(8, 0), SelectAssets));
        // Schedule rebalances for market open.
        Schedule.On(dateRule, TimeRules.AfterMarketOpen(spy, 0), Rebalance);
    }

    private void DownloadUniverseFile()
    {
        // Download the universe CSV file. Dropbox links require the "dl=1" URL parameter.
        var file = Download(
            "https://www.dropbox.com/scl/fi/fbrxitk4ec3w91nse1raa/df.csv?rlkey=7r042rukzkthp7y1srloyhkov&st=5r4sdfwd&dl=1"
        );
        // Convert the CSV file data into a dictionary where the key is the date and
        // the value is a comma-separated string of stock tickers.
        foreach (var line in file.Split('\n').Skip(1))
        {
            // Skip empty lines.
            if (line.IsNullOrEmpty())
            {
                continue;
            }
            var items = line.Split("\"");
            var date = Parse.DateTimeExact(items[0].Split(",")[0], "yyyy-MM-dd").Date;
            _tickersByDate[date] = items[1];
        }
    }

    private IEnumerable<Symbol> SelectAssets(DateTime dt)
    {
        // When live trading, re-download the CSV file each day to get the new rows.
        if (LiveMode)
        {
            DownloadUniverseFile();
        }
        // Get the current day's data from the CSV file.
        if (!_tickersByDate.TryGetValue(dt.Date, out var tickers))
        {
            // If there isn't an entry for the current date, return an empty universe.
            return Enumerable.Empty<Symbol>();
        }
        // Convert the stock tickers in the CSV file to Symbol objects.
        return tickers
            .Split(',')
            .Select(x => QuantConnect.Symbol.Create(x, SecurityType.Equity, Market.USA));
    }

    private void Rebalance()
    {
        // Form an equal-weighted portfolio of all the universe constituents.
        var weight = 1m / _universe.Selected.Count;
        SetHoldings(_universe.Selected.Select(symbol => new PortfolioTarget(symbol, weight)).ToList(), true);
    }
}

from io import StringIO


class DatalessScheduledUniverseExampleAlgorithm(QCAlgorithm):
    
    def initialize(self) -> None:
        self.set_start_date(2015, 1, 1)
        self.set_end_date(2016, 1, 1)

        # Download the initial universe file.
        self._download_universe_file()
        # Add the custom universe.
        self.universe_settings.extended_market_hours = True
        spy = Symbol.create('SPY', SecurityType.EQUITY, Market.USA)
        date_rule = self.date_rules.every_day(spy)
        self._universe = self.add_universe(
            ScheduledUniverse(date_rule, self.time_rules.at(8, 0), self._select_assets)
        )
        # Schedule rebalances for market open.
        self.schedule.on(date_rule, self.time_rules.after_market_open(spy, 0), self._rebalance)
    
    def _download_universe_file(self):
        # Download the universe CSV file. Dropbox links require the "dl=1" URL parameter.
        file = self.download(
            "https://www.dropbox.com/scl/fi/fbrxitk4ec3w91nse1raa/df.csv?rlkey=7r042rukzkthp7y1srloyhkov&st=5r4sdfwd&dl=1"
        )
        # Convert the CSV file data into a dictionary where the key is the date and
        # the value is a comma-separated string of stock tickers.
        df = pd.read_csv(StringIO(file), index_col=0).iloc[:, 0]
        df.index = pd.to_datetime(df.index).date
        self._tickers_by_date = df.to_dict()

    def _select_assets(self, dt: datetime) -> list[Symbol]:
        # When live trading, re-download the CSV file each day to get the new rows.
        if self.live_mode:
            self._download_universe_file()
        # Get the current day's data from the CSV file.
        data = self._tickers_by_date.get(dt.date(), '')
        # If there isn't an entry for the current date, return an empty universe.
        if not data:
            return []
        # Convert the stock tickers in the CSV file to Symbol objects.
        return [Symbol.create(x, SecurityType.EQUITY, Market.USA) for x in data.split(",")]

    def _rebalance(self) -> None:
        # Form an equal-weighted portfolio of all the universe constituents.
        symbols = list(self._universe.selected)
        weight = 1 / len(symbols)
        self.set_holdings([PortfolioTarget(symbol, weight) for symbol in symbols], True)

Example 2: Quarter End Selection

The following algorithm selects SPY on the last month of each quarter. For the remaining months, it selects no assets.

Select Language:

public class DatalessScheduledUniverseDemoAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        AddUniverse(new ScheduledUniverse(
            DateRules.MonthStart(), 
            TimeRules.At(8, 0), 
            (dt) => 
            {
                if (dt.Month % 3 == 0)
                {
                    return new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) };
                }
                return Enumerable.Empty<Symbol>();
            }
        ));
    }
}

class DatalessScheduledUniverseDemoAlgorithm(QCAlgorithm):

    def initialize(self):
        self.add_universe(
            ScheduledUniverse(
                self.date_rules.month_start(), 
                self.time_rules.at(8, 0), 
                self._select_assets
            )
        )
        
    def _select_assets(self, dt: datetime) -> list[Symbol]:
        if dt.month % 3 == 0:
            return [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]
        return []

Example 3: Third Week VIX

Standard Options expire at end of the third week of each month. The following algorithm selects VIX-related products on the third week to trade the foreseeable increase in volatility.

Select Language:

public class DatalessScheduledUniverseDemoAlgorithm : QCAlgorithm
{
    private int _month = -1;
    private int _week = -1;
        
    public override void Initialize()
    {
        AddUniverse(new ScheduledUniverse(
            DateRules.WeekStart(), 
            TimeRules.At(8, 0), 
            (dt) => 
            {
                if (dt.Month == _month)
                {
                    if (++_week == 3)
                    {
                        return new[] { QuantConnect.Symbol.Create("VXZ", SecurityType.Equity, Market.USA) };
                    }
                    return Enumerable.Empty<Symbol>();
                }
                _month = dt.Month;
                _week = 0;
                return Enumerable.Empty<Symbol>();
            }
        ));
    }
}

class DatalessScheduledUniverseDemoAlgorithm(QCAlgorithm):

    def initialize(self):
        self._month = -1
        self._week = -1

        self.add_universe(
            ScheduledUniverse(
                self.date_rules.week_start(), 
                self.time_rules.at(8, 0), 
                self._select_assets
            )
        )
        
    def _select_assets(self, dt: datetime) -> list[Symbol]:
        if dt.month == self._month:
            self._week += 1
            if self._week == 3:
                return [Symbol.create("VXZ", SecurityType.EQUITY, Market.USA)]
            return []
        
        self._month = dt.month
        self._week = 0
        return []

Other Examples

For more examples, see the following algorithms:

Demonstration Algorithms

CustomDataUniverseScheduledRegressionAlgorithm.py Python

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Hello

Universes

Dataless Scheduled Universes

Introduction

Create Universes

Date Rules

Time Rules

Selection Frequency

Examples

Example 1: Download External Universe Files

Example 2: Quarter End Selection

Example 3: Third Week VIX

Other Examples

▶
Key Concepts

▶
Securities

▶
Portfolio

▶
Universes

▶
Datasets

▶
Importing Data

▶
Consolidating Data

▶
Historical Data

▶
Trading and Orders

▶
Reality Modeling

▶
Indicators

▶
Optimization

▶
Machine Learning

▶
Algorithm Framework

▶
Statistics

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Live Trading

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Migrations