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Hey guys, looking for some insight/direction on the best way to handle universe/stock selection intraday.
Basically, we have a number of strategies that select stocks to trade based on their behavior during pre-market/market open. For example, small cap stocks that increase 40% from market open might be canidates for an intraday mean reversion trade, but we don't know that ahead of time and so a daily UniverseSelection doesn't make sense.
We're currently managing this using Trade-Ideas to instruct our algos (running on an in-house platform) of which stocks they should subscribe to and start monitoring real-time price action for (using polygon.io as a price data provider). The algos will then use that real-time steam to make trade decisions based on pre-defined rules and apply our strategy logic.
Am I thinking about this the wrong way with regard to QuantConnect? Maybe UniverseSelection doesn't make sense in this context, and should be ignored? My current hunch is that we should create a custom data feed for Trade-Ideas and use that data/those signals to generate a universe manually or simply add the securities on an ad-hoc basis using AddStrategy.
Any thoughts/feedback is much appreciated; thanks guys!
Derek Melchin
Hi Charles,
If Trade-Ideas determines the universe at a fixed time each trading day, we can setup a custom data source to read in the tickers from Trade-Ideas and configure a scheduled universe selection model to subscribe the algorithm to the corresponding symbols. The LEAN engine isn't currently equipped to perform fundamental universe selection intraday.
Best,
Derek Melchin
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.
Charles Naccio
Hey Derek Melchin
Basically, Trade-Ideas makes tickers available randomly throughout the data as configured alerts hit. i.e. If you have an SMA crossover alert configured for stocks with less than 1mil float, and a 2+ RVOL on the day, you'd get the alert from Trade-Ideas as soon as the cross over happened. Trade-Ideas is essentially monitoring a real-time market data feed throughout the day, and will alert as needed.
Although it doesn't look like it makes sense for us to use the daily universe selection pattern within QC, we're having luck with simply registering the securities on the fly using AddSecurity as we receive alerts from Trade-Ideas. We'll share as much as we can once we get things fully up and running.
Thanks for the insight!
Tate Linzel
Hi Charles Naccio
Looking to see if you made any successful progress with bringing securities into the platform from Trade Ideas? I am looking to do something similar to what you have suggested above with having a scanner look for a particular setup and then alerted to trade those securities.
Def returns
I'm looking to do something similar with parsed email alerts. Has anyone had success adding securities intraday from custom data? I'd assumed piping the data into universe selection would work, but just came across the docs talking about once-a-day updates… I'm fairly new, so a framework to base my code off of would be very helpful.
Varad Kabade
Hi Tomes,
We can store the email alerts in a dropbox and use scheduled universe selection multiple times during the day. We recommend going through the following algorithms as a starting point[1, 2] and going through the doc on universe selection.
Best,
Varad Kabade
Charles Naccio
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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