Implement RemoveSecurities for Coarse and Fine Universes

EmilioFreire commented 5 years ago

Current Behaviour

Currently Lean only allows to remove securities from a User-Defined Universe

Requested Behavior

Allow to use RemoveSecurities also for Coarse and Fine Universes.

A Few Use Cases

At the moment, simple Long/Short strategies that use Coarse/Fine Universe can only be built in two ways:
1. Performing all the needed calculations within the Universe module to select securities to go Long and securities to go Short. Then, once this Universe is created, the same calculations need to be performed again within the Alpha module in order to know which securities were Longs and which ones were Shorts. This process is not elegant and slow. However, it allows for a much more thorough screening of securities than scenario 2 below as you could perform the calculations in Universe across hundreds of securities and then repeat them in Alpha for just the few securities you have already decided to trade.

A potential solution to this scenario would be the ability to tag the securities as Long/Short (or any other tags) in Universe in order for the Alpha to know what to do with them.

Performing a basic preliminary selection in Universe based on price, volume and fundamentals and keep a few hundred of assets. This Universe will then be sent to Alpha for calculations to select the few Longs and Shorts. This process looks more elegant as the calculations are only performed once, however the algorithm would be really slow and inefficient since most of the securities in the Universe won't be traded and therefore useless to stay in the Universe. Actually, with normal capacity, the maximum number of assets that could be in Universe with minute data would be around 100 and that with risk of crashing already.

I believe the second scenario makes a more general case, and that simply being able to get rid of the useless securities from the Universe (once the decision of trading has been made) would fix the issue.

Any strategies that need intraday data to make the trading decision. For example, selecting securities based on price, volume and fundamentals within Universe that could be interesting for the day. Then, waiting for the market open to make the final decision on which of those securities to trade based on behavior during the trading session. This is a similar issue to the second scenario mentioned above, in which only a few assets are traded and the remaining stay in Universe slowing down the algorithm and potentially causing a crash.

The solution would be again to remove those remaining securities from Universe.

Checklist

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jordizle commented 5 years ago

It would defiantly be beneficial to remove securities from the universe (intraday) in order to improve the general performance of algorithms that use universe selection.

jaredbroad commented 1 year ago

We're planning on a way to add any generic data to the security object; e.g. an indicator; or pair trading data; and then allowing access to that anywhere in QCA. This would solve many use cases.
Second issue of performance; agreed - ideally we will address this by pushing new selection criteria on demand: universe.ProcessSelection( symbol[] ) or ProcessSelection() triggered via a scheduled event .
In addition; adjust RemoveSecurity() to remove from all universes

QuantConnect / Lean