Unify alternative-data chain templates and fix non-chain bugs

03 Writing Algorithms/12 Universes/03 Equity/04 Chained Universes/05 Chain Fundamental and Alternative Data.html

@@ -7,90 +7,96 @@
  <a href="/docs/v2/writing-algorithms/datasets/quiver-quantitative/cnbc-trading#08-Universe-Selection">
   QuiverCNBCsUniverse alternative universe
  </a>
- . It first selects the 100 most liquid US Equities and then filters them down to those mentioned by CNBC commentator/trader Jim Cramer. The output of the alternative universe selection method is the output of the chained universe.
+ . It stores every US Equity fundamental, intersects them with the names CNBC commentator Jim Cramer mentions, and trades the 100 most liquid intersection members each morning.
 </p>
 <div class="section-example-container testable">
  <pre class="csharp">public class ChainedUniverseAlgorithm : QCAlgorithm
 {
-    private List&lt;Symbol&gt; _fundamental = new();
+    private List&lt;Fundamental&gt; _fundamental = [];
+    private Universe _universe;
 
     public override void Initialize()
     {
         SetStartDate(2024, 9, 1);
         SetEndDate(2024, 12, 31);
         SetCash(100000);
-
-        // Filter the top 100 liquid equities of the last trading day, and save the symbols for the next filtering.
+        Settings.SeedInitialPrices = true;
+        UniverseSettings.Resolution = Resolution.Minute;
+        // First universe: store all US Equity fundamentals; emits Universe.Unchanged.
         AddUniverse(fundamental =&gt;
         {
-            _fundamental = (from c in fundamental
-                orderby c.DollarVolume descending
-                select c.Symbol).Take(100).ToList();
+            _fundamental = [..fundamental];
             return Universe.Unchanged;
         });
-        // Filter the equities being commented on by CNBC analyst Cramer, then select the ones that intersect with the fundamental universe.
-        AddUniverse&lt;QuiverCNBCsUniverse&gt;(altCoarse =&gt;
+        // Second universe: equities mentioned by Cramer, ranked by dollar volume.
+        _universe = AddUniverse&lt;QuiverCNBCsUniverse&gt;(altCoarse =&gt;
         {
-            var followers = from d in altCoarse.OfType&lt;QuiverCNBCsUniverse&gt;()
-                where d.Traders.ToLower().Contains("cramer")
-                select d.Symbol;
-            return _fundamental.Intersect(followers);
+            var alt = altCoarse.OfType&lt;QuiverCNBCsUniverse&gt;()
+                .Where(d =&gt; d.Traders.ToLower().Contains("cramer"))
+                .Select(d =&gt; d.Symbol)
+                .ToHashSet();
+            Plot("Universe", "Raw", alt.Count);
+            return _fundamental
+                .Where(c =&gt; alt.Contains(c.Symbol))
+                .OrderByDescending(c =&gt; c.DollarVolume)
+                .Select(c =&gt; c.Symbol)
+                .Take(100);
         });
+        // Rebalance before market open to trade today's intersection.
+        Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 0, 0), Rebalance);
     }
 
-    public override void OnSecuritiesChanged(SecurityChanges changes)
-    {
-        // Request CNBC data for the selected stocks.
-        foreach (var added in changes.AddedSecurities)
-        {
-            AddData&lt;QuiverCNBCs&gt;(added.Symbol);
-        }
-    }
-
-    public override void OnData(Slice data)
+    private void Rebalance()
     {
-        foreach (var dataPoint in data.Get&lt;QuiverCNBCs&gt;().SelectMany(x=&gt; x.Value.OfType&lt;QuiverCNBC&gt;()))
+        if (_universe.Selected.Count == 0)
         {
-            Debug($"{dataPoint.Symbol} traders at {data.Time}: {dataPoint.Traders}");
+            return;
         }
+        var weight = _universe.Selected.Count &gt;= 10 ? 1m / _universe.Selected.Count : 0.1m;
+        var targets = _universe.Selected
+            .Select(symbol =&gt; new PortfolioTarget(symbol, weight))
+            .ToList();
+        SetHoldings(targets, true);
     }
 }</pre>
 <pre class="python">from AlgorithmImports import *
 
+
 class ChainedUniverseAlgorithm(QCAlgorithm):
 
-    _fundamental = []
+    _fundamental: List[Fundamental] = []
 
     def initialize(self) -&gt; None:
         self.set_start_date(2024, 9, 1)
         self.set_end_date(2024, 12, 31)
         self.set_cash(100000)
-        self.add_universe(self._fundamental_filter_function)
-        self.add_universe(QuiverCNBCsUniverse, self._mad_money_selection)
-
-    def _fundamental_filter_function(self, fundamental: List[Fundamental]) -&gt; List[Symbol]:
-        # Filter the top 100 liquid equities of the last trading day, and save the symbols for the next filtering.
-        sorted_by_dollar_volume = sorted(fundamental, key=lambda x: x.dollar_volume, reverse=True) 
-        self._fundamental = [c.symbol for c in sorted_by_dollar_volume[:100]]
+        self.settings.seed_initial_prices = True
+        self.universe_settings.resolution = Resolution.MINUTE
+        # First universe: store all US Equity fundamentals; emits Universe.UNCHANGED.
+        self.add_universe(self._fundamental_filter)
+        # Second universe: equities mentioned by Cramer, ranked by dollar volume.
+        self._universe = self.add_universe(QuiverCNBCsUniverse, self._select_assets)
+        # Rebalance before market open to trade today's intersection.
+        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]) -&gt; Universe.UnchangedUniverse:
+        self._fundamental = fundamental
         return Universe.UNCHANGED
-
-    def _mad_money_selection(self, alt_coarse: List[QuiverCNBCsUniverse]) -&gt; List[Symbol]:
-        # Filter the equities being commented on by CNBC analyst Cramer, then select the ones that intersect with the fundamental universe.
-        madmoney = [d.symbol for d in alt_coarse if 'Cramer' in d.traders]
-        return list(set(self._fundamental) &amp; set(madmoney))
-
-    def on_securities_changed(self, changes: SecurityChanges) -&gt; None:
-        # Request CNBC data for the selected stocks.
-        for added in changes.added_securities:
-            self.add_data(QuiverCNBCs, added.symbol)
-
-    def on_data(self, data: Slice) -&gt; None:
-        # Prices in the slice from the universe selection
-        # Alternative data in a slice from OnSecuritiesChanged Addition
-        # for ticker,bar in data.bars.items():
-        #     pass
-        for dataset_symbol, data_points in data.get(QuiverCNBCs).items():
-            for data_point in data_points:
-                self.debug(f"{dataset_symbol} traders at {data.time}: {data_point.traders}")
+
+    def _select_assets(self, alt_coarse: List[QuiverCNBCsUniverse]) -&gt; List[Symbol]:
+        # Keep symbols mentioned by Cramer.
+        alt = {d.symbol for d in alt_coarse if 'cramer' in d.traders.lower()}
+        self.plot('Universe', 'Raw', len(alt))
+        return [c.symbol for c in sorted(
+            [c for c in self._fundamental if c.symbol in alt],
+            key=lambda c: c.dollar_volume, reverse=True
+        )[:100]]
+
+    def _rebalance(self) -&gt; None:
+        if not self._universe.selected:
+            return
+        weight = min(1 / len(self._universe.selected), 0.1)
+        targets = [PortfolioTarget(symbol, weight) for symbol in self._universe.selected]
+        self.set_holdings(targets, True)
 </pre>
 </div>

03 Writing Algorithms/12 Universes/03 Equity/04 Chained Universes/08 Chain ETF and Alternative Data.html

@@ -7,90 +7,98 @@
  <a href="/docs/v2/writing-algorithms/datasets/quiver-quantitative/cnbc-trading#08-Universe-Selection">
   QuiverCNBCsUniverse alternative universe
  </a>
- . It first selects all constituents of SPY and then filters them down to those mentioned by CNBC commentator/trader Jim Cramer. The output of the alternative universe selection method is the output of the chained universe.
+ . It stores every SPY constituent, intersects them with the names CNBC commentator Jim Cramer mentions, and trades the 100 heaviest-weighted intersection members each morning. Names CNBC mentions but that aren't in SPY are dropped.
 </p>
 <div class="section-example-container testable">
  <pre class="csharp">public class ChainedUniverseAlgorithm : QCAlgorithm
 {
-    private List&lt;Symbol&gt; _etf = new();
+    private List&lt;ETFConstituentUniverse&gt; _etf = [];
+    private Universe _universe;
 
     public override void Initialize()
     {
         SetStartDate(2024, 9, 1);
         SetEndDate(2024, 12, 31);
         SetCash(100000);
-        UniverseSettings.Asynchronous = true;
-
-        // Save all SPY constituents for the next filtering.
+        Settings.SeedInitialPrices = true;
+        UniverseSettings.Resolution = Resolution.Minute;
+        // First universe: store all SPY constituents; emits Universe.Unchanged.
         AddUniverse(Universe.ETF("SPY", Market.USA, UniverseSettings, constituents =&gt;
         {
-            _etf = constituents.Select(c =&gt; c.Symbol).ToList();
+            _etf = [..constituents];
             return Universe.Unchanged;
         }));
-        // Filter the equities being commented on by CNBC analyst Cramer, then select the ones in SPY constituents.
-        AddUniverse&lt;QuiverCNBCsUniverse&gt;(altCoarse =&gt;
+        // Second universe: equities mentioned by Cramer that are in SPY, ranked by ETF weight.
+        _universe = AddUniverse&lt;QuiverCNBCsUniverse&gt;(altCoarse =&gt;
         {
-            var followers = from d in altCoarse.OfType&lt;QuiverCNBCsUniverse&gt;()
-                where d.Traders.ToLower().Contains("cramer")
-                select d.Symbol;
-            return _etf.Intersect(followers);
+            var alt = altCoarse.OfType&lt;QuiverCNBCsUniverse&gt;()
+                .Where(d =&gt; d.Traders.ToLower().Contains("cramer"))
+                .Select(d =&gt; d.Symbol)
+                .ToHashSet();
+            Plot("Universe", "Raw", alt.Count);
+            // Names not in SPY cannot be traded, so intersect with the ETF list.
+            return _etf
+                .Where(c =&gt; alt.Contains(c.Symbol))
+                .OrderByDescending(c =&gt; c.Weight)
+                .Select(c =&gt; c.Symbol)
+                .Take(100);
         });
+        // Rebalance before market open to trade today's intersection.
+        Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 0, 0), Rebalance);
     }
 
-    public override void OnSecuritiesChanged(SecurityChanges changes)
-    {
-        // Request CNBC data for the selected stocks.
-        foreach (var added in changes.AddedSecurities)
-        {
-            AddData&lt;QuiverCNBCs&gt;(added.Symbol);
-        }
-    }
-
-    public override void OnData(Slice data)
+    private void Rebalance()
     {
-        foreach (var dataPoint in data.Get&lt;QuiverCNBCs&gt;().SelectMany(x=&gt; x.Value.OfType&lt;QuiverCNBC&gt;()))
+        if (_universe.Selected.Count == 0)
         {
-            Debug($"{dataPoint.Symbol} traders at {data.Time}: {dataPoint.Traders}");
+            return;
         }
+        var weight = _universe.Selected.Count &gt;= 10 ? 1m / _universe.Selected.Count : 0.1m;
+        var targets = _universe.Selected
+            .Select(symbol =&gt; new PortfolioTarget(symbol, weight))
+            .ToList();
+        SetHoldings(targets, true);
     }
 }</pre>
 <pre class="python">from AlgorithmImports import *
 
+
 class ChainedUniverseAlgorithm(QCAlgorithm):
 
-    _etf = []
+    _etf: List[ETFConstituentUniverse] = []
 
-    def initialize(self):
+    def initialize(self) -&gt; None:
         self.set_start_date(2024, 9, 1)
         self.set_end_date(2024, 12, 31)
         self.set_cash(100000)
-        self.universe_settings.asynchronous = True
-        # Save all SPY constituents for the next filtering.
-        self.add_universe(self.universe.etf("SPY", Market.USA, self.universe_settings, self._etf_constituents_filter))
-        # Next filtering based on CNBC data.
-        self.add_universe(QuiverCNBCsUniverse, self._mad_money_selection)
+        self.settings.seed_initial_prices = True
+        self.universe_settings.resolution = Resolution.MINUTE
+        # First universe: store all SPY constituents; emits Universe.UNCHANGED.
+        self.add_universe(self.universe.etf("SPY", Market.USA, self.universe_settings, self._etf_filter))
+        # Second universe: equities mentioned by Cramer that are in SPY, ranked by ETF weight.
+        self._universe = self.add_universe(QuiverCNBCsUniverse, self._select_assets)
+        # Rebalance before market open to trade today's intersection.
+        self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.at(9, 0, 0), self._rebalance)
 
-    def _etf_constituents_filter(self, fundamental: List[Fundamental]) -&gt; List[Symbol]:
-        # Save all SPY constituents for the next filtering.
-        self._etf = [c.symbol for c in constituents]
+    def _etf_filter(self, constituents: List[ETFConstituentUniverse]) -&gt; Universe.UnchangedUniverse:
+        self._etf = constituents
         return Universe.UNCHANGED
 
-    def _mad_money_selection(self, alt_coarse: List[QuiverCNBCsUniverse]) -&gt; List[Symbol]:
-        # Filter the equities being commented on by CNBC analyst Cramer, then select the ones in SPY constituents.
-        madmoney = [d.symbol for d in alt_coarse if 'Cramer' in d.traders]
-        return list(set(self._etf) &amp; set(madmoney))
-
-    def on_securities_changed(self, changes):
-        # Request CNBC data for the selected stocks.
-        for added in changes.added_securities:
-            self.add_data(QuiverCNBCs, added.symbol)
+    def _select_assets(self, alt_coarse: List[QuiverCNBCsUniverse]) -&gt; List[Symbol]:
+        # Keep symbols mentioned by Cramer.
+        alt = {d.symbol for d in alt_coarse if 'cramer' in d.traders.lower()}
+        self.plot('Universe', 'Raw', len(alt))
+        # Names not in SPY cannot be traded, so intersect with the ETF list.
+        return [c.symbol for c in sorted(
+            [c for c in self._etf if c.symbol in alt],
+            key=lambda c: c.weight, reverse=True
+        )[:100]]
 
-    def on_data(self, data):
-        # Prices in the slice from the universe selection
-        # Alternative data in a slice from OnSecuritiesChanged Addition
-        # for ticker,bar in data.bars.items():
-        #     pass
-        for dataset_symbol, data_points in data.get(QuiverCNBCs).items():
-            for data_point in data_points:
-                self.debug(f"{dataset_symbol} traders at {data.time}: {data_point.traders}")</pre>
+    def _rebalance(self) -&gt; None:
+        if not self._universe.selected:
+            return
+        weight = min(1 / len(self._universe.selected), 0.1)
+        targets = [PortfolioTarget(symbol, weight) for symbol in self._universe.selected]
+        self.set_holdings(targets, True)
+</pre>
 </div>

project-templates/csharp/alternative-data-chain-universe-braincompanyfilinglanguagemetricsuniverseall/Main.cs

@@ -9,7 +9,7 @@ namespace QuantConnect.Algorithm.CSharp
 {
     public class BrainCompanyFilingLanguageMetricsChainedUniverseAlgorithm : QCAlgorithm
     {
-        private List<Symbol> _fundamental = [];
+        private List<Fundamental> _fundamental = [];
         private Universe _universe;
 
         public override void Initialize()
@@ -19,35 +19,40 @@ public override void Initialize()
             SetCash(100000);
             Settings.SeedInitialPrices = true;
             UniverseSettings.Resolution = Resolution.Minute;
-            // First universe: top 100 US Equities by dollar volume; emits Universe.Unchanged.
+            // First universe: store all US Equity fundamentals; emits Universe.Unchanged.
             AddUniverse(fundamental =>
             {
-                _fundamental = (from c in fundamental
-                                orderby c.DollarVolume descending
-                                select c.Symbol).Take(100).ToList();
+                _fundamental = [..fundamental];
                 return Universe.Unchanged;
             });
-            // Second universe: positive sentiment in latest SEC filings, intersected with the fundamental list.
+            // Second universe: positive sentiment in latest SEC filings, ranked by dollar volume.
             _universe = AddUniverse<BrainCompanyFilingLanguageMetricsUniverseAll>(altCoarse =>
             {
                 // Keep names with positive sentiment in both the report and MD&A sections.
-                var alt = from d in altCoarse.OfType<BrainCompanyFilingLanguageMetricsUniverseAll>()
-                          where d.ReportSentiment.Sentiment > 0m
-                             && d.ManagementDiscussionAnalyasisOfFinancialConditionAndResultsOfOperations.Sentiment > 0m
-                          select d.Symbol;
-                return _fundamental.Intersect(alt);
+                var alt = altCoarse.OfType<BrainCompanyFilingLanguageMetricsUniverseAll>()
+                    .Where(d => d.ReportSentiment != null && d.ReportSentiment.Sentiment > 0m
+                                && d.ManagementDiscussionAnalyasisOfFinancialConditionAndResultsOfOperations != null
+                                && d.ManagementDiscussionAnalyasisOfFinancialConditionAndResultsOfOperations.Sentiment > 0m)
+                    .Select(d => d.Symbol)
+                    .ToHashSet();
+                Plot("Universe", "Raw", alt.Count);
+                return _fundamental
+                    .Where(c => alt.Contains(c.Symbol))
+                    .OrderByDescending(c => c.DollarVolume)
+                    .Select(c => c.Symbol)
+                    .Take(100);
             });
             // Rebalance before market open to trade today's intersection.
             Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(9, 0, 0), Rebalance);
         }
 
         private void Rebalance()
         {
-            if (_universe.Selected == null || _universe.Selected.Count == 0)
+            if (_universe.Selected.Count == 0)
             {
                 return;
             }
-            var weight = 1m / _universe.Selected.Count;
+            var weight = _universe.Selected.Count >= 10 ? 1m / _universe.Selected.Count : 0.1m;
             var targets = _universe.Selected
                 .Select(symbol => new PortfolioTarget(symbol, weight))
                 .ToList();