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I am selecting a Universe of 20 stocks using the CoarseUniverse function. When I later try to get the price of one of these assets, I get the error
The error was Exception : This asset symbol (AAPL R735QTJ8XC9X) was not found in your security list. Please add this security or check it exists before using it with 'Securities.ContainsKey("AAPL R735QTJ8XC9X")What did I do wrong? Here is the complete code:
class Algorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2012,1,1)
self.SetEndDate(2012,2,5)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)
self.AddEquity('SPY', Resolution.Daily)
self.Schedule.On(self.DateRules.MonthStart("SPY"),
self.TimeRules.AfterMarketOpen("SPY", 60),
Action(self.Rebalance))
def CoarseSelectionFunction(self, coarse):
CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
self.universe = [x.Symbol for x in sortedByDollarVolume[:20]]
return self.universe
def Rebalance(self):
self.Securities[self.universe[0]].Price
Gurumeher Sawhney
When creating an algorithm using AddUniverse(), you want to track the removed securities and added securities and execute actions on them. In the attached backtest below the above code was taken and rearranged to follow this protocol. The Debug() statements print out what is trying to be attempted above. I recommend cloning the backtest and using this as the structure for future algorithms. The UniverseManager will also help find symbols from the universe selection. The documentation on Universes and this sample code should be useful.
Alexandre Georges
Filib Uster
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