Hello,
Im trying to combine these two examples. I'm not sure how I can add new symbols from the universe to my symbol equity list. If my univerese updates daily will I need to initilize the indicators and consolidators daily too? I was trying to change line 70 to "for security in self._changes.AddedSecurities: " but I wasn't having any luck.
https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/CoarseFundamentalTop3Algorithm.py
Jack Simonson
Hi Eric,
Since the Securities are being added to the Universe during Universe Selection, then there is no need to have an EquitySymbols list in the Initialize() method or to create the SymbolData objects there. Instead, I would suggest moving the SymbolData object creation to the OnSecuritiesChanged() method. By doing this the algorithm can loop through changes.SecuritiesAdded as new Securities are added to the universe and create a SymbolData object for each one. Once the SymbolData objects have been initialized, the consolidator should take care of updating the Simple Moving Average and Rolling Window for each SymbolData object.
Eric Kirk
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