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I'm very new to coding but have worked in the capital markets my entire career, so I'm a half newbie to all of this. I'd like to understand what's possible on the road to live trading, meaning I'm going to work my way up gradually. For example, I'd like to have my algo scan the market real time and notify me of specific stocks that meet certain criteria (e.g., indicators, patterns, etc.) via charts of those stocks, and providing me with some functionality that I'm not able to get from my current chart provider. Is this possible? Is there any latency issues to doing such scans in real time? Thanks in advance for feedback :)
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Rahul Chowdhury
Hey Candace,
I highly recommend completing the bootcamps to get a grasp of how Lean works and what the best practices are.
You can scan the market using universe selection. Universe selection is called only once a day, so you would not be able to filter stocks in real time using universe selection. The 200-50 EMA Crossover boot camp covers scanning for stocks which have had a EMA crossover.
Instead if you want to filter for properties real time, you should do it in OnData, which is called every time step. In this case, we can use universe selection to do a first round of filtering to narrow down the stocks we are looking at. Instead of scanning all 8000+ stocks, we can take a look at the top 1000 liquid stocks using universe selection. Then in OnData, we can filter those top 1000 stocks by other properties.
In this example, we filter our universe first to pick the top 1000 liquid stocks and then we further filter by RSI. We store our RSI indicator in a SymbolData class so that we can warm the indicator up with historical data.
CandaceB
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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