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I'm facing an issue, DataQueueHandler always call Subscribe with "SPY", is there any way I can stop it, I tried SetUniverseSelection(new NullUniverseSelectionModel()); but still trying to subscribe SPY.
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Hi Miguel,
The "Is this necessary?" comment was just accidentally left behind during development of the backtest above. The comment can be removed. Calling Liquidate does sell the positions in the portfolio.
In regards to the data normalization error, the underlying issue is that the is only called once, when a security is created. When a security is added/removed to/from the universe, we don't delete the security, we only add/remove data subscriptions, which are created by using the properties. Therefore, to resolve the data normalization error, we should remove
if security.Type == SecurityType.Equity:
security.SetDataNormalizationMode(DataNormalizationMode.Raw)from the and instead add
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.RawSee the attached backtest for reference.
Best,
Derek Melchin
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