QuantConnect / QuantConnect/Lean

Extends Universe Selection Models to Support Chained Universe

Open
#7,019 0 comments 0 reactions 0 assignees View on GitHub

Nobody has claimed this yet.

feature framework
Dominant language
C#
Stars
21.7k
Forks
5.3k
Avg merge
2d 22h
Merged PRs (30d)
34

Description

Expected Behavior

We can create a FineFundamentalUniverseSelectionModel that accepts, for example, an ETF Universe to chain the universe selection.

A Universe Selection version of Chain ETF and Fundamental:

self.AddUniverse(self.Universe.ETF("QQQ", Market.USA, self.UniverseSettings, self.ETFConstituentsFilter), self.FundamentalSelection)
Actual Behavior

We can add multiple Universe Selection Models with CompositeUniverseSelectionModel but they are not chained.

Potential Solution

For the FundamentalUniverseSelectionModel we can add an additional parameter to accept other universes.

Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start with FineFundamentalUniverseSelectionModel, FundamentalUniverseSelectionModel, and CompositeUniverseSelectionModel, then compare their behavior with the chained ETF and Fundamental example linked in the issue. Trace how AddUniverse receives the ETF universe and FundamentalSelection, and consider the work complete when a fundamental selection model can accept another universe and chain selection as described.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp, python
Domain
backend, data
Issue type
Feature
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
25/100

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.