class ModulatedOptimizedEngine(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 22)  # Set Start Date
        self.SetEndDate(2019,1,31)
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.SetUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelectionFunction))

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)

    # sort the data by daily dollar volume and take the top '5'
    def CoarseSelectionFunction(self, coarse):
        # sort descending by daily dollar volume
        
        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
        # return the symbol objects of the top entries from our sorted collection
        for x in sortedByDollarVolume[:5]:
            self.Log(x.Time) 
        return [ x.Symbol for x in sortedByDollarVolume[:5] ]