QuantConnect QC500 Universe Model Adapted for New Morningstar Data

QuantConnect Lean engine updated QC500UniverseSelectionModel to handle new Morningstar data format. The new data codes NYSE as 'NYSE', has missing primary excha

QuantConnect Lean — C#/Python Backtest & Live Engine · Release 18161: Adapt QC500UniverseSelectionModel to the new Morningstar data (#9868) · 2026-10-05

QuantConnect Lean engine updated QC500UniverseSelectionModel to handle new Morningstar data format. The new data codes NYSE as 'NYSE', has missing primary exchange info, and lacks market cap data before October 2009, causing the old model to limit selection to 3–313 NASDAQ-only stocks. Now falls back to listing exchange and calculates market cap as price × split factor × shares outstanding to normalize the universe.

weltiq perspective: weltiq strategies using Morningstar data-based QC500 universe can now achieve accurate stock selection in pre-2009 backtests and exchange filtering.

Release Note Excerpt

The new generation codes the NYSE as "NYSE", leaves some primary exchanges empty and has no market cap before 2009-10, so the model returned a NASDAQ-only universe of 3 to 313 names. Fall back to the listing exchange and to price * split factor * shares outstanding. Co-authored-by: Claude Opus 5.5 noreply@anthropic.com

Source: https://github.com/QuantConnect/Lean/releases/tag/18161