Expected Behavior
When we use universe selection to select the security with the highest sentiment, the security should still have the highest sentiment by the time we can actually trade the security.
Actual Behavior
In backtests, universe selection runs at 12 AM Eastern Time (ET).
During universe selection, the BrainSentimentIndicatorUniverse objects contain the latest sentiment values at that moment in time, which is from the previous day at 7 AM ET.
After we select assets for the universe, we receive new sentiment values in the Update method at 7 AM ET.
As a result, the sentiment values we have during universe selection don't provide much utility. If we try to select the security with the highest sentiment in universe selection, by the time we can actually trade the security at 9:31 AM ET, we've received a new Brain Sentiment Indicator data point and the security likely won't have the highest sentiment out of all the securities in the dataset. In fact, the security could have the lowest sentiment.
Reproducing the Problem
Run this backtest. During universe selection, the security we select has positive sentiment, but by the time we can actually trade the security at market open, the security has negative sentiment.
Expected Behavior
When we use universe selection to select the security with the highest sentiment, the security should still have the highest sentiment by the time we can actually trade the security.
Actual Behavior
In backtests, universe selection runs at 12 AM Eastern Time (ET).
During universe selection, the
BrainSentimentIndicatorUniverseobjects contain the latest sentiment values at that moment in time, which is from the previous day at 7 AM ET.After we select assets for the universe, we receive new sentiment values in the
Updatemethod at 7 AM ET.As a result, the sentiment values we have during universe selection don't provide much utility. If we try to select the security with the highest sentiment in universe selection, by the time we can actually trade the security at 9:31 AM ET, we've received a new Brain Sentiment Indicator data point and the security likely won't have the highest sentiment out of all the securities in the dataset. In fact, the security could have the lowest sentiment.
Reproducing the Problem
Run this backtest. During universe selection, the security we select has positive sentiment, but by the time we can actually trade the security at market open, the security has negative sentiment.