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Hi everyone, my code has a lot of stocks in its universe, probably 6000 or more, and in OnSecuritiesChanged, I have a history call that looks back 50 data points at Resolution.Minute.
I understand that universe selection runs between 4 am to 7 am in live trading, and I understand that currently there is no way to schedule universe selection for live trading, and also, that history calls take a relatively large chunk of time, especially in my case because I'm making a history call for 6000 stocks.
So here's my question, what happens when my algorithm is running its logic between 4 am to 7 am and universe selection happens at the same time? For example, if logic is running between 4 - 4.30 am, and universe selection happens at 4.30 am, will it just stop running its logic? What if new data is being pumped in to OnData while it is running universe selection?
Varad Kabade
Hi Li Cheng,
The logic won't be interrupted during the above scenario. Once the logic is completely executed, the Universe selection data will be streamed into the algorithm.
Best,
Varad Kabade
Li Cheng
Hi Varad, thank you so much for the explanation!
Just to clarify, you're saying that universe selection runs separately from the logic of the algorithm, hence, it does not require the main, I guess, Python processor (?), to process the universe selection criteria, hence, my universe will be updated once the algorithm finishes running its logic instead of having Python to choose whether to process universe selection first or run its logic first.
Varad Kabade
Hi Li Cheng,
Yes, you are right.
Best,
Varad Kabade
Li Cheng
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