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Hello there,
I’ve got some questions about lean,
Broker being used is Oanda,
First question, what does the "data-provider": "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider" option do and is there a difference in behaviour between backtesting and live-oanda?
Second question, what does the "data-provider": "QuantConnect.Lean.Engine.DataFeeds.ApiDataProvider" option do and is there a difference in behaviour between backtesting and live-oanda?
Third question, What does the option "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed" do?
Fourth question, Is there a way that I can log any errors found during warm up to identify whether or not data was missed in a period in time if the algorithm is live?
Derek Melchin
Hi King Victor,
#1
The QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider is the default file provider that does not attempt to retrieve any data. There is no difference when using it in backtesting or live trading.
#2
The QuantConnect.Lean.Engine.DataFeeds.ApiDataProvider attempts to retrieve files not present on the local machine running lean. Refer to this tutorial. We can't live trade with this data provider but we can run backtests.
#3
The QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed is designed to deal with live, remote data sources. It's not used for backtesting.
#4
Yes, we recommend using the Log/Debug methods. Refer to the documentation here.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
KING VICTOR
Thank you for your response, but another question if I may,
Which data-provider do I use with live trading for warmup to succeed if “QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider” does not attempt to retrieve any data?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi King Victor,
The QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider is the correct one. This model actually does retrieve data. We've updated the notes in the source code to reflect this. For assistance with live algorithms, contact support@quantconnect.com with the algorithm attached.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
KING VICTOR
Hi Derek Melchin,
I will contact support@quantconnect.com, thank you.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Gerardo Salazar
Negative prices fixed, missing data between 00:39:00 - 06:24:00 still exists
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Ashutosh
There are some wrong data on 2018-08-10 for GDAX brokerage for BTCUSD.
Backtest Attached.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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