Hello,

I am facing some difficulty trying to figure coarse selection and fine selection universe. I am trying to list all stocks that trade in NYSE. 

However, i am noticing that coarse seem to print approx 5K stocks however, fine always shows as an empty field. Could some one let me know what is that i am obviously doing wrong in this code?

This is what my code is:

class CoarseFineFundamentalRegressionAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2019,1,3) #Set Start Date self.SetEndDate(2019,1,4) #Set End Date self.SetCash(50000) #Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Minute # this add universe method accepts two parameters: # - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol> # - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol> self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) self.changes = None # return a list of three fixed symbol objects def CoarseSelectionFunction(self, coarse): Coarse_filtered_stocks = filter(lambda x: x.DollarVolume >0,coarse) Coarse_filtered_stocks = filter(lambda x: x.HasFundamentalData,Coarse_filtered_stocks) Coarse_filtered_stocks = filter(lambda x: x.Price >0,Coarse_filtered_stocks) count = 0 for stock in Coarse_filtered_stocks: count += 1 self.Debug(' coarse # of stocks {}'.format(count)) return [stock.symbol for stock in Coarse_filtered_stocks] # sort the data based on what trades on NYSE def FineSelectionFunction(self, fine): count1 = 0 for stock in fine: count1 += 1 self.Debug(' fine # of stocks {}'.format(count1)) filtered_fine = filter(lambda x: x.CompanyReference.PrimaryExchangeID == "NYS",fine) return [ x.Symbol for x in filtered_fine]

 

Author

Narayanan Doraiswamy

July 2019