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I tracked the count of course filter universe symbols where HasFundamentalData = true. For the most part it steadily increases over time as expected, except in August 5/6, 2020 it drops suddenly from 4,839 symbols to 3,698 then up to 4,796 on August 12/13
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Fred Painchaud
Hi Levi,
You might want to report that here: https://www.quantconnect.com/data/issues/open
Fred
Levi Freedman
Ok i will thanks
Aaron Eller
Hi Levi.
I'm working on another project where someone referenced your post here. You probably know this, but I wanted to make sure. To make the stocks going in and out of the universe filters smoother you can set the minimum time in universe property. Add a line like this:
self.UniverseSettings.MinimumTimeInUniverse = 63
This is the minimum amount of time that a stock stays in the universe until it can be removed (from your filter's logic). Note, this doesn't fix the data issue, but having this added should not remove those stocks that for some reason drop out.
Here's a link to the lean docs for this:
https://lean-api-docs.netlify.app/classQuantConnect_1_1Data_1_1UniverseSelection_1_1UniverseSettings.html#afffe491d9254b19df240493cec5b7d93
I hope you're doing great!
Best,
Aaron
Levi Freedman
Thanks Aaron. I was not aware of this property. I used some brute force logic to ignore the discrepancy, but the data does not appear to be missing anymore so I'm not sure what was going on.
Levi Freedman
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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