Universes and composites

The fixture demonstrates two native point-in-time universe products:

data/equity/sweden/universes/daily/sweden100/
data/index/sweden/universes/etf/omxs30/

Broad daily universe

Each sweden100/<date>.csv session file contains 100 ticker,SID rows:

AAA,AAA YDXSJNGP3GK1
AAB,AAB YDXSJNGP3GK1

Construct the universe with a constituent identifier whose final hyphen-delimited token matches the folder name:

universe_ticker = "constituents-universe-sweden100"
universe_symbol = Symbol(
    SecurityIdentifier.generate_constituent_identifier(
        universe_ticker,
        SecurityType.EQUITY,
        SWEDEN,
    ),
    universe_ticker,
)
self.add_universe(
    ConstituentsUniverse(universe_symbol, self.universe_settings)
)

OMXS30 Index universe

Current LEAN uses ETFConstituentUniverse as the shared six-column reader for ETF and Index constituent universes. A proper Index composite therefore uses:

data/index/sweden/universes/etf/omxs30/<date>.csv

A row contains:

AAA,AAA YDXSJNGP3GK1,20231201,0.064516129032,1000000,

The fields are ticker, full constituent SID, source update date, decimal weight, shares held, and optional market value.

Use the Index API rather than pretending OMXS30 is an ETF:

self.add_universe(
    self.universe.index(
        "OMXS30",
        market=SWEDEN,
        universe_settings=self.universe_settings,
        universe_filter_func=lambda constituents: [
            constituent.symbol for constituent in constituents
        ],
    )
)

The synthetic fixture has 30 weighted members and a July reconstitution. Replace those rows with licensed, point-in-time historical composition data for real research.

Non-session source files

Constituent universes use custom-data scheduling and request some Sundays and exchange holidays. A missing file creates failed universe requests. A repeated membership file can create duplicate callbacks, while NONE,NONE 0 clears membership.

The tested fixture writes zero-byte files on non-XSTO dates. They satisfy source resolution without selecting, duplicating, or removing members.

Run the validation

cd /home/hi/qrt
cd lean/demo-generated-data
uv run lean backtest universe_demo.py --no-update

A successful run logs SWEDEN_UNIVERSES_VERIFIED and reports:

  • 251 broad updates at 100 members;
  • 251 OMXS30 updates at 30 members;
  • two OMXS30 compositions;
  • all 100 unique equities added;
  • all 25,100 daily bars received;
  • 618 successful universe requests and zero failures.
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