We are currently trying to utilize the history function to get previous trading day's close price. However, our universe of SID's changes daily from a load using fetcher, and hence the same SID will NOT be in the universe two days in a row, which seems to make the history function fail miserably.
With a simple handle_data function doing nothing but
our algorithm fails if we do not have a fixed universe, e.g. by loading SID's using context.appl = sid(24) in our initialization.
How can we solve the problem?