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My universe selection runs 1 minute after market open via
AddUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.AfterMarketOpen("TSLA",1),
SelectSymbols // selection function in algorithm.
));and returns 10 equities.
The following OnSecuritiesChanged method is then executed.
public override void OnSecuritiesChanged(SecurityChanges changes)
{
var spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
_changes = changes;
//Debug($"{changes}");
var addedSymbols = changes.AddedSecurities;
var removedSymbols = changes.RemovedSecurities;
foreach (var c in addedSymbols){
if (c.Symbol == spy) break;
AddEquity(c.Symbol, Resolution.Minute);
//if(!c.HasData) {
if(! Securities[c.Symbol].HasData) {
Debug("no data:"+c.Symbol);
nodata++;
} else {
Debug("in:"+c.Symbol);
SetHoldings(c.Symbol, 0.05m);
data++;
}
if(nodata % 25 == 0 || data % 25 == 0){
Debug("d/nd/ni: "+data+"/"+nodata+"/"+notinvested);
}
}
foreach (var c in removedSymbols){
if (c.Invested){
Debug("out: "+c.Symbol);
Liquidate(c.Symbol);
} else {
Debug("was not invested !");
notinvested++;
}
}
}If I run this from 2021/1/1 I get the following information:
- Data was only available in 57 cases (1 minute after market open)
- The nodata counter is at 86
- The notinvested counter is at 39, which I do not understand. The SetHoldings method is only called when data is available.
What am I doing wrong here ?
Shile Wen
Hi Petra,
Here is the order of data flow:
1 - Universe Selection, calls SelectSymbols method
2 - OnSecuritiesChanged, notifies the selection in SelectSymbols
3 - OnData, where the first data point arrives.
We will be missing data in OnSecuritiesChanged for newly added securities as we haven't received a point of data at that time, thus I suggest moving the SetHoldings Logic to OnData. Alternatively, the following line of codeÂ
SetSecurityInitializer(x => x.SetMarketPrice(GetLastKnownPrice(x)));Â Âto the Initialize method to get data in OnSecuritiesChanged.Futhermore, Please do not call AddEquity as the Universe Selection already adds the securities to the universe.
Best,
Shile Wen
Petra Wagenbach
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