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Just ask if someone has met this situation, or has something changed recently.
We have a filtering algorithm which requires backtesting a large number of symbols. We use a simple ManualUniverseSelectionModel to select 500~1000 symbols for backtesting.
The backtest run fine for 400 symbols, sometimes 500, but if the number of symbols get increased, then there will be no trade at all, no order get executed, the charts run flat.
Has anyone met this situation, or how anything about this.
Thanks
TR - QuantResearcher1
Mia Alissi
Based on the information provided in the extracts, it seems like you're encountering an issue with the universe selection when the number of symbols increases. This could be due to a variety of reasons, such as limitations in the data feed, computational resources, or the algorithm itself.
One potential issue could be related to the data resolution. As mentioned in the discussion 4665, if you're using daily resolution data, all market orders will be converted to MarketOnOpen() orders. If you're trying to place a market order a few minutes before the market close, there might not be minute price data available because you're only requesting daily data. This could result in an error message like "The order quantity for XXX cannot be calculated: the price of the security is zero".
Another potential issue could be related to the execution of the orders. As mentioned in the discussion 16221, if your universe selection function is complex, it could slow down your algorithm. QuantConnect calculates everything "online" and uses identical code for backtesting and live trading. If you're doing complex calculations in your universe selection function, it could slow down your algorithm.
If none of these suggestions help, it would be beneficial to share your algorithm with the QuantConnect support team so they can help identify the root cause of the issue.
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Quant Researcher1
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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