Debugging template

project-templates/csharp/alternative-data-universe-eodhdupcomingdividends/Main.cs

@@ -1,3 +1,4 @@
+using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Data.UniverseSelection;
@@ -7,26 +8,37 @@ namespace QuantConnect.Algorithm.CSharp
 {
     public class EODHDUpcomingDividendsUniverseAlgorithm : QCAlgorithm
     {
+        private List<Symbol> _fundamental = [];
         private Universe _universe;
 
         public override void Initialize()
         {
             SetStartDate(2024, 9, 1);
             SetEndDate(2024, 12, 31);
             SetCash(100000);
-
-            UniverseSettings.Resolution = Resolution.Daily;
-            // Universe of US Equities going ex-dividend in the next day with a meaningful payout.
-            _universe = AddUniverse<EODHDUpcomingDividends>(data =>
+            Settings.SeedInitialPrices = true;
+            // Add a fundamental universe to track the most liquid US equities by dollar volume.
+            AddUniverse(fundamental =>
             {
-                // Keep names with a dividend over $0.05 paying within one day.
-                return from d in data.OfType<EODHDUpcomingDividends>()
-                       where d.DividendDate <= Time.AddDays(1) && d.Dividend > 0.05m
-                       select d.Symbol;
+                // Store the top 50 equities by dollar volume without changing the active universe.
+                _fundamental = fundamental
+                    .OrderByDescending(f => f.DollarVolume)
+                    .Take(50)
+                    .Select(f => f.Symbol)
+                    .ToList();
+                return Universe.Unchanged;
             });
-
-            // Rebalance shortly after the open so today's universe is locked in.
-            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 0, 0), Rebalance);
+            // Add a dividend universe restricted to high-payout names within the fundamental list.
+            _universe = AddUniverse<EODHDUpcomingDividends>(
+                // Filter for symbols with dividends over $0.05 paying within one day.
+                data => data
+                    .OfType<EODHDUpcomingDividends>()
+                    .Where(d => d.DividendDate <= Time.AddDays(1) && d.Dividend > 0.05m)
+                    .Select(d => d.Symbol)
+                    .Where(s => _fundamental.Contains(s))
+            );
+            // Schedule daily rebalancing at 9:31 AM to trade the current universe selection.
+            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 31), Rebalance);
         }
 
         private void Rebalance()
@@ -35,13 +47,12 @@ private void Rebalance()
             {
                 return;
             }
-
+            // Create an equal weight portfolio with selected securities.
             var weight = 1m / _universe.Selected.Count;
             var targets = _universe.Selected
                 .Select(symbol => new PortfolioTarget(symbol, weight))
                 .ToList();
-
-            SetHoldings(targets, liquidateExistingHoldings: true);
+            SetHoldings(targets, true);
         }
     }
 }

project-templates/csharp/alternative-data-universe-eodhdupcomingearnings/Main.cs

@@ -1,3 +1,4 @@
+using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Data.UniverseSelection;
@@ -7,26 +8,37 @@ namespace QuantConnect.Algorithm.CSharp
 {
     public class EODHDUpcomingEarningsUniverseAlgorithm : QCAlgorithm
     {
+        private List<Symbol> _fundamental = [];
         private Universe _universe;
 
         public override void Initialize()
         {
             SetStartDate(2024, 9, 1);
             SetEndDate(2024, 12, 31);
             SetCash(100000);
-
-            UniverseSettings.Resolution = Resolution.Daily;
-            // Universe of US Equities reporting earnings in the next 3 days with a positive estimate.
-            _universe = AddUniverse<EODHDUpcomingEarnings>(data =>
+            Settings.SeedInitialPrices = true;
+            // Add a fundamental universe to track the most liquid US equities by dollar volume.
+            AddUniverse(fundamental =>
             {
-                // Keep names with a positive analyst estimate ahead of the report.
-                return from d in data.OfType<EODHDUpcomingEarnings>()
-                       where d.ReportDate <= Time.AddDays(3) && d.Estimate > 0m
-                       select d.Symbol;
+                // Store the top 50 equities by dollar volume without changing the active universe.
+                _fundamental = fundamental
+                    .OrderByDescending(f => f.DollarVolume)
+                    .Take(50)
+                    .Select(f => f.Symbol)
+                    .ToList();
+                return Universe.Unchanged;
             });
-
-            // Rebalance shortly after the open so today's universe is locked in.
-            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 0, 0), Rebalance);
+            // Add an earnings universe restricted to upcoming reporters within the fundamental list.
+            _universe = AddUniverse<EODHDUpcomingEarnings>(
+                // Filter for symbols with a positive analyst estimate reporting within the next 3 days.
+                data => data
+                    .OfType<EODHDUpcomingEarnings>()
+                    .Where(d => d.ReportDate <= Time.AddDays(3) && d.Estimate > 0m)
+                    .Select(d => d.Symbol)
+                    .Where(s => _fundamental.Contains(s))
+            );
+            // Schedule daily rebalancing at 9:31 AM to trade the current universe selection.
+            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 31), Rebalance);
         }
 
         private void Rebalance()
@@ -35,12 +47,11 @@ private void Rebalance()
             {
                 return;
             }
-
+            // Create an equal weight portfolio with selected securities.
             var weight = 1m / _universe.Selected.Count;
             var targets = _universe.Selected
                 .Select(symbol => new PortfolioTarget(symbol, weight))
                 .ToList();
-
             SetHoldings(targets, liquidateExistingHoldings: true);
         }
     }

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

@@ -41,7 +41,7 @@ def _rebalance(self) -> None:
         if not self._universe.selected:
             return
         # Filter for securities with valid prices.
-        securities = [s for s in self._universe.selected if self.securities[s].price > 0]
+        securities = [s for s in self._universe.selected if self.securities[s].price]
         if not securities:
             return
         weight = 1 / len(securities)

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

@@ -2,31 +2,42 @@
 from AlgorithmImports import *
 # endregion
 
+
 class EODHDUpcomingDividendsUniverseAlgorithm(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 going ex-dividend in the next day with a meaningful payout.
+        self.set_cash(100_000)
+        self.settings.seed_initial_prices = True
+        # Add a fundamental universe to track the most liquid US equities by dollar volume.
+        self.add_universe(self._fundamental_filter)
+        # Add a dividend universe restricted to high-payout names within the fundamental list.
         self._universe = self.add_universe(EODHDUpcomingDividends, self._select_assets)
-
-        # 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)
+        # Schedule daily rebalancing at 9:31 AM to trade the current universe selection.
+        self.schedule.on(
+            self.date_rules.every_day("SPY"), 
+            self.time_rules.at(9, 31), 
+            self._rebalance
+        )
+
+    def _fundamental_filter(self, fundamental: List[Fundamental]) -> Universe.UnchangedUniverse:
+        # Store the top 50 equities by dollar volume without changing the active universe.
+        self._fundamental = [f.symbol for f in sorted(fundamental, key=lambda f: f.dollar_volume)[-50:]]
+        return Universe.UNCHANGED
 
     def _select_assets(self, data: List[EODHDUpcomingDividends]) -> List[Symbol]:
-        # Keep names with a dividend over $0.05 paying within one day.
-        return [d.symbol for d in data
-                if d.dividend_date and d.dividend
-                and d.dividend_date <= self.time + timedelta(1) and d.dividend > 0.05]
+        # Filter for symbols with dividends over $0.05 paying within one day.
+        alt = [d.symbol for d in data
+               if d.dividend_date and d.dividend and
+               d.dividend_date <= self.time + timedelta(1) and d.dividend > 0.05]
+        return [s for s in self._fundamental if s in alt]
 
     def _rebalance(self) -> None:
         if not self._universe.selected:
             return
-
+        # Create an equal weight portfolio with selected securities.
         weight = 1 / len(self._universe.selected)
         targets = [PortfolioTarget(symbol, weight) for symbol in self._universe.selected]
-
-        self.set_holdings(targets, liquidate_existing_holdings=True)
+        self.set_holdings(targets, True)

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

@@ -2,31 +2,42 @@
 from AlgorithmImports import *
 # endregion
 
+
 class EODHDUpcomingEarningsUniverseAlgorithm(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 reporting earnings in the next 3 days with a positive estimate.
+        self.set_cash(100_000)
+        self.settings.seed_initial_prices = True
+        # Add a fundamental universe to track the most liquid US equities by dollar volume.
+        self.add_universe(self._fundamental_filter)
+        # Add an earnings universe restricted to upcoming reporters within the fundamental list.
         self._universe = self.add_universe(EODHDUpcomingEarnings, self._select_assets)
-
-        # 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)
+        # Schedule daily rebalancing at 9:00 AM to trade the current universe selection.
+        self.schedule.on(
+            self.date_rules.every_day("SPY"),
+            self.time_rules.at(9, 31),
+            self._rebalance
+        )
+
+    def _fundamental_filter(self, fundamental: List[Fundamental]) -> Universe.UnchangedUniverse:
+        # Store the top 50 equities by dollar volume without changing the active universe.
+        self._fundamental = [f.symbol for f in sorted(fundamental, key=lambda f: f.dollar_volume)[-50:]]
+        return Universe.UNCHANGED
 
     def _select_assets(self, data: List[EODHDUpcomingEarnings]) -> List[Symbol]:
-        # Keep names with a positive analyst estimate ahead of the report.
-        return [d.symbol for d in data
-                if d.report_date and d.estimate
-                and d.report_date <= self.time + timedelta(3) and d.estimate > 0]
+        # Filter for symbols with a positive analyst estimate reporting within the next 3 days.
+        alt = [d.symbol for d in data
+               if d.report_date and d.estimate and
+               d.report_date <= self.time + timedelta(3) and d.estimate > 0]
+        return [s for s in self._fundamental if s in alt]
 
     def _rebalance(self) -> None:
         if not self._universe.selected:
             return
-
+        # Create an equal weight portfolio with selected securities.
         weight = 1 / len(self._universe.selected)
         targets = [PortfolioTarget(symbol, weight) for symbol in self._universe.selected]
-
-        self.set_holdings(targets, liquidate_existing_holdings=True)
+        self.set_holdings(targets, True)