debugging template

project-templates/python/alternative-data-universe-brainsentimentindicatoruniverse/main.py

@@ -3,30 +3,43 @@
 # endregion
 
 class BrainSentimentIndicatorUniverseAlgorithm(QCAlgorithm):
+    _fundamental: list[Symbol] = []
 
     def initialize(self) -> None:
         self.set_start_date(2024, 9, 1)
         self.set_end_date(2024, 12, 31)
         self.set_cash(100000)
 
         self.universe_settings.resolution = Resolution.DAILY
-        # Universe of US Equities with positive 7-day media sentiment and active mention coverage.
+        # Add a fundamental universe to track the most liquid US Equities by dollar volume.
+        self.add_universe(self._fundamental_filter)
+        # Add a Brain Sentiment universe, restricted to high-sentiment names within the fundamental list.
         self._universe = self.add_universe(BrainSentimentIndicatorUniverse, self._select_assets)
+        # Rebalance every day at 9am.
+        self.schedule.on(
+            self.date_rules.every_day("SPY"),
+            self.time_rules.at(9, 0),
+            self._rebalance
+        )
 
-        # Rebalance shortly after the open so today's universe is locked in.
-        self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.at(9, 0, 0), self._rebalance)
+    def _fundamental_filter(self, fundamental: List[Fundamental]) -> Universe.UnchangedUniverse:
+        self._fundamental = [c.symbol for c in sorted(fundamental, key=lambda x: x.dollar_volume)[-100:]]
+        return Universe.UNCHANGED
 
     def _select_assets(self, data: List[BrainSentimentIndicatorUniverse]) -> List[Symbol]:
         # Keep names with both active mention coverage and positive 7-day sentiment.
-        return [d.symbol for d in data
-                if d.total_article_mentions_7_days and d.total_article_mentions_7_days > 0
-                and d.sentiment_7_days and d.sentiment_7_days > 0]
+        alt = [d.symbol for d in data
+               if d.total_article_mentions_7_days and d.total_article_mentions_7_days > 0
+               and d.sentiment_7_days and d.sentiment_7_days > 0]
+        return [s for s in self._fundamental if s in alt]
 
     def _rebalance(self) -> None:
         if not self._universe.selected:
             return
-
-        weight = 1 / len(self._universe.selected)
-        targets = [PortfolioTarget(symbol, weight) for symbol in self._universe.selected]
-
-        self.set_holdings(targets, liquidate_existing_holdings=True)
+        # Filter to only securities with valid prices.
+        tradeable = [s for s in self._universe.selected if self.securities[s].price > 0]
+        if not tradeable:
+            return
+        weight = 1 / len(tradeable)
+        targets = [PortfolioTarget(symbol, weight) for symbol in tradeable]
+        self.set_holdings(targets, True)