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Can anyone tell me what's the best approach to warmup indicators for a universe selection function? When adding the universe, the indicators are declared in the scope of the function so presumably won't respond to SetWarmup(). Can I just call History<T>() in the selection function and manually update the indicators?
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James Reilly
SetWarmup will not work in your case. I have been messing around with this for quite a while now and calling History in the selection function was the easiest way to achieve this. The problem you will run into is with manually updating the indicators of all 9000 symbols in the coarse universe is a pretty big undertaking. In order to avoid the massive memory and time requirements to cycle throughthe entire coarse universe, I found it best to apply a simple filter or two (i used volume) to trim down the universe prior to using your selection functon and inficator filter. See attached example...
James Smith
Thanks, this is what I expected. You're right: the key here is the coarse fundamental selection. It would also make sense to me to have an event pipeline within the selection function to structure the Initialize and Update etc. Such a sub-algorithm might be more amenable to warmup. I suppose someone is free to do that themselves in the SelectionData class.
James Smith
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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