I've been trying to figure out how to trade symbols that are the results of universes w/o the use of securities and can't figure it out and I can't find anything about it, I've tried setting it as a variable and using it

import numpy as np class MyCoarseUniverseAlgorithm(QCAlgorithm): def Initialize(self): self.AddUniverse(self.MyCoarseFilterFunction) self.UniverseSettings.Resolution = Resolution.Daily self.SetStartDate(2020, 6, 10) self.SetCash(100000) self.lookback = 20 self.ceiling, self.floor = 30, 10 self.initialStopRisk = 0.98 self.trailingStopRisk = 0.9 self.Schedule.On(self.DateRules.EveryDay(self.symbol), \ self.TimeRules.AfterMarketOpen(self.symbol, 20), \ Action(self.EveryMarketOpen)) def MyCoarseFilterFunction(self, coarse): pass class SelectionData(object): def __init__(self, symbol, period): self.volume = 0 self.symbol = symbol self.ema = ExponentialMovingAverage(period) self.is_above_ema = False def update(self, time, price, volume): self.volume = volume if self.ema.Update(time, price): self.is_above_ema = price > ema def MyCoarseFilterFunction(self, coarse): for c in coarse: if c.Symbol not in self.stateData: self.stateData[c.Symbol] = SelectionData(c.Symbol, 200) avg = self.stateData[c.Symbol] avg.update(c.EndTime, c.AdjustedPrice, c.DollarVolume) values = [x for x in self.stateData.values() if x.is_above_ema and x.volume > 10000000] values.sort(key=lambda x: x.volume, reverse=True) return [ x.symbol for x in values[:10] ] def OnData(self, data): self.Plot("Data Chart", self.symbol, self.Securities[self.symbol].Close) def EveryMarketOpen(self): close = self.History(self.symbol, 31, Resolution.Daily)["close"] todayvol = np.std(close[1:31]) yesterdayvol = np.std(close[0:30]) deltavol = (todayvol - yesterdayvol) / todayvol self.lookback = round(self.lookback * (1 + deltavol)) if self.lookback > self.ceiling: self.lookback = self.ceiling elif self.lookback < self.floor: self.lookback = self.floor self.high = self.History(self.symbol, self.lookback, Resolution.Daily)["high"] if not self.Securities[self.symbol].Invested and \ self.Securities[self.symbol].Close >= max(self.high[:-1]): self.SetHoldings(self.symbol, 1) self.breakoutlvl = max(self.high[:-1]) self.highestPrice = self.breakoutlvl if self.Securities[self.symbol].Invested: if not self.Transactions.GetOpenOrders(self.symbol): self.stopMarketTicket = self.StopMarketOrder(self.symbol, \ -self.Portfolio[self.symbol].Quantity, \ self.initialStopRisk * self.breakoutlvl) if self.Securities[self.symbol].Close > self.highestPrice and \ self.initialStopRisk * self.breakoutlvl < self.Securities[self.symbol].Close * self.trailingStopRisk: self.highestPrice = self.Securities[self.symbol].Close updateFields = UpdateOrderFields() updateFields.StopPrice = self.Securities[self.symbol].Close * self.trailingStopRisk self.stopMarketTicket.Update(updateFields) self.Debug(updateFields.StopPrice) self.Plot("Data Chart", "Stop Price", self.stopMarketTicket.Get(OrderField.StopPrice))

in the self.AddEquity and it won't work, any1 know how I would go about doing it?

Author

Caio Navarro

December 2020