| name | universes |
| description | Base mechanics shared by EVERY dynamic universe in QuantConnect/LEAN — what universe selection returns is what QC subscribes to, the MINUTE resolution default, scheduling selection to the strategy's rebalance calendar, and what selection should return during warm-up. Load alongside the specific universe skill (fundamental-universes, indicator-universes, cross-sectional, alternative-data-universes) whenever an algorithm calls py`add_universe(...)`cs`AddUniverse(...)`. Skip when — the algorithm subscribes a fixed asset list directly (no universe selection). |
Dynamic universes — the mechanics every universe shares
Whatever your universe selection function returns is what QC subscribes to and streams every bar. Deselection does not always end the subscription: LEAN keeps a security that you still hold, that has an open order, or that has not yet met the pyminimum_time_in_universecsMinimumTimeInUniverse setting — so held names keep streaming after they leave the selection. This retention is automatic: do NOT union current holdings into the selection function's return value to "keep" held names — return only the selected names. Selection itself is where you filter, rank, and maintain per-symbol state; subscriptions are only for the names the algorithm actually trades or reads bar data for. The topical skills (fundamental-universes, indicator-universes, cross-sectional) cover what to compute in selection; the rules below apply regardless.
Set the universe resolution — the default is MINUTE
pyuniverse_settings.resolutioncsUniverseSettings.Resolution defaults to minute resolution: every selected name streams a full session of minute bars every day — ~390 for US Equities, up to ~1,440 for 24-hour asset classes. Match the resolution to where decisions and fills actually happen. A method that decides after the close and fills at the next open needs daily data only — the minute default streams hundreds of times the data for zero benefit and dominates backtest runtime. But a method that decides or fills DURING the session — an intraday signal time, market orders meant to fill immediately, an at-the-close entry — needs intraday data: daily bars only arrive after the session ends, so on daily data an intraday order cannot fill at the intended time (see the scheduled-events skill for the timing mechanics). Set it explicitly, before pyadd_universecsAddUniverse:
self.universe_settings.resolution = Resolution.DAILY
self._universe = self.add_universe(self._select_assets)
UniverseSettings.Resolution = Resolution.Daily;
_universe = AddUniverse(SelectAssets);
Schedule selection to the strategy's rebalance calendar
Unscheduled universes re-select EVERY day; a calendar-rebalanced strategy (weekly/monthly/quarterly formations) then discards almost every selection — wasted computation in backtests and unnecessary data fetches live. Anchor selection to the same date rule the rebalance uses:
date_rule = self.date_rules.month_end("SPY")
self.universe_settings.schedule.on(date_rule)
self.universe_settings.resolution = Resolution.DAILY
self._universe = self.add_universe(self._select_assets)
var dateRule = DateRules.MonthEnd("SPY");
UniverseSettings.Schedule.On(dateRule);
UniverseSettings.Resolution = Resolution.Daily;
_universe = AddUniverse(SelectAssets);
Two qualifications:
- Per-symbol indicators are denominated in selection fires — an N-period indicator updated by the selection function means "N selection periods," so match the selection cadence to the indicator's intended unit. A 21-DAY SMA or a 252-day return window needs daily selection (scheduling it monthly silently turns it into a 21-month SMA); a 12-MONTH rate-of-change is correctly — and most cheaply — fed by month-start selections. The unit MISMATCH is the bug, not the slower cadence itself; see the
indicator-universes skill's cadence section, including its bar-indicator caveats.
- A strategy that must sample data between rebalances (e.g. catching newly filed fundamentals) can schedule selection at the finer sampling cadence (e.g. monthly) and gate the heavy formation work inside the selection function to formation dates only.
Warm-up: return no symbols — except a sparse schedule's final pre-start selection
During pyset_warm_upcsSetWarmUp, selection functions still run and per-symbol state should accumulate — but returning symbols subscribes them, and there is nothing to trade yet. Return an empty list during warm-up. One exception, for SCHEDULED (sparse) universes: the final scheduled selection before warm-up ends must return the selected tradable names — otherwise the universe stays empty until the next scheduled fire after the start date, and the strategy sits flat for up to a full schedule period (a defect, not a warm-up artifact). Daily-cadence universes need no exception: the first live-day selection populates the universe immediately.
def _select_assets(self, fundamentals):
if self.is_warming_up and not final_prestart_fire:
return []
public IEnumerable<Symbol> SelectAssets(IEnumerable<Fundamental> fundamentals)
{
if (IsWarmingUp && !finalPrestartFire)
return Enumerable.Empty<Symbol>();
}
Per-symbol state lives in the selection function
State that outlives one selection (rolling price windows, indicators, accumulated fundamental snapshots) belongs in a per-symbol dict maintained inside the selection function: seed a symbol once on first sight, update it every fire from the data the callback hands you, and prune it when the symbol leaves the passed collection. Do not re-seed with pyhistory()csHistory() on every appearance, and do not keep names subscribed merely to feed state — the selection callback sees the whole cross-section without subscribing any of it.
