I think I understand what's going on, but I'm not personally enough of a Python whiz to tell you the solution.
I turned the debugger on for the line
And then I stepped through from there. The debugger logs the return, which starts like this:
Returning from function with:
set([0, Equity(10240, symbol='OSBC', asset_name='OLD SECOND BANCORP INC', exchange='NASDAQ GLOBAL SELECT MARKET', start_date=Timestamp('1993-11-16 00:00:00+0000', tz='UTC'), end_date=Timestamp('2015-07-21 00:00:00+0000', tz='UTC'), first_traded=None), Equity(45960,
I believe the problem is that first entry in the set is '0' and that is blowing up the algo.
What you've got here is a repro case for a bug that I've seen in the logs, but not known what causes it. It was on my list of things to get fixed soon, and this will help fix it faster!
Until then, you need to modify your my_universe() function to remove that 0 from the set, and I bet it will work.
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