Hi QC Support,
I am trying to design a single algo with a LongAlpha and a ShortAlpha. However, the universe of assets in each are completely different. The assets in LongAlpha are [L1, L2] and the assets in ShortAlpha are [S1, S2]. Please advise how to separate/set the two universes and also class SymbolData for each.
Thanks / Sheikh
Varad Kabade
Hi Sheikh,
When using two universe selection models and two alpha models we need to note that OnSecuritiesChanged event handler will recieve the same changes therefore we need to pass the list of Symbols relevant to the respective alpha model during initialization. Refer to the attached backtest.
Best,
Varad Kabade
Sheikh Pancham
Thanks for all of your responses on my support requests, Varad!
Sheikh Pancham
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