Hello,

Thank you for this great tool. I'm new to QC and unfortunately I'm starting to get stuck.

I've followed the basics steps to set-up a strategy with a symbol, an indicator, a warm-up period...
Then, I've reached a point I want to try out a back-test with multiple symbols. This is where I'm stuck.

I've created a universe as such it is in the documentation.
 

/** * Coarse Universe Filtering */ public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) { // select only symbols with fundamental data and sort descending by daily dollar volume var sortedByDollarVolume = coarse .Where(x => x.HasFundamentalData) .OrderByDescending(x => x.DollarVolume); // take the top entries from our sorted collection var selection = sortedByDollarVolume.Take(CoarseNumberOfSymbols); // we need to return only the symbol objects return selection.Select(x => x.Symbol); } /** * sort the data by P/E ratio and take the top 'NumberOfSymbolsFine' */ public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine) { // sort descending by P/E ratio var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio); // take the top entries from our sorted collection var topFine = sortedByPeRatio.Take(FineNumberOfSymbols); // we need to return only the symbol objects return topFine.Select(x => x.Symbol); }

I understand how universe are working but it's not clear how we can use a universe of symbols with indicators since we have to register a symbol with an indicator. I thought the good way would be to handle it in the OnSecuritiesChanged. Whenever a new security is added to the universe I will screen it with an indicator. Nevertheless, it's not obvious how to create each time an indicator per new security added.

public override void OnSecuritiesChanged(SecurityChanges changes) { if (changes.AddedSecurities.Count > 0) { Debug("Securities added: " + string.Join(",", changes.AddedSecurities.Select(x => x.Symbol.Value))); foreach(var security in changes.AddedSecurities) { RegisterIndicator(security.Symbol, myindicator, Resolution.Minute, Field.Close); } } if (changes.RemovedSecurities.Count > 0) { Debug("Securities removed: " + string.Join(",", changes.RemovedSecurities.Select(x => x.Symbol.Value))); // UniverseManager.Remove(symbol); } }

I would like like to know:
- how can I use the indicator data for each symbol in the OnData method ?
- is this enough or should I update the indicator data manually in the OnData method ?
- should I use a Map of Symbol<->Indicator ?
- how can we unregister data of an indicator ?

Many thanks,

Author

UraharaKisuke

May 2019