Hi Art

We cannot reproduce the problem with insufficient information. Please share the code snippet of the Universe Selection Model for further assistance.

Best
Louis Szeto

Here is the Universe Selection Model I am using:
 

public class Top20SmallCapUniverse : FundamentalUniverseSelectionModel
   {
       public int lastMonth = -1;
       public Top20SmallCapUniverse(UniverseSettings universeSettings) : base(true, universeSettings)
       {
       }
       public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
       {
           var filtered = fine.Where(x => x.OperationRatios.GrossMargin.Value > 0 &&
                                          x.OperationRatios.QuickRatio.Value > 0 &&
                                          x.OperationRatios.DebttoAssets.Value > 0 &&
                                          x.ValuationRatios.BookValuePerShare > 0 &&
                                          x.ValuationRatios.CashReturn > 0 &&
                                          x.ValuationRatios.EarningYield > 0 &&
                                          x.MarketCap > 0)
                               .Select(x => x.Symbol);
           return filtered;
       }
       public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
       {
           if (algorithm.Time.Month == this.lastMonth)
           {
               return Universe.Unchanged;
           }
           this.lastMonth = algorithm.Time.Month;
           // Select only those with fundamental data and a sufficiently large price
           // Sort by top dollar volume: most liquid to least liquid
           var sortedByDollarVolume = coarse.OrderBy(x => x.DollarVolume);
           var selected = sortedByDollarVolume.Where(x => x.HasFundamentalData && x.Price > 5).Select(x => x.Symbol);
           return selected;
       }
   }
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I was bale to resolve the issue. It turns out I was not properly formatting the ‘selected’ variable in the SelectCoarse method in the Universe Selection Model. Previously, the assignment of the variable looked like this:

var selected = coarse.Where(x => x.HasFundamentalData && x.Price > 5).OrderByDescending(x => x.DollarVolume) as IEnumerable<Symbol>;

Once I switched it to the following, everything worked as expected:

var sortedByDollarVolume = coarse.OrderBy(x => x.DollarVolume);
var selected = sortedByDollarVolume.Where(x => x.HasFundamentalData && x.Price > 5).Select(x => x.Symbol);