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I am attempting to run the code from the options tutorial on local SPY data (purchased from QC and downloaded using Lean CLI). The backtest runs fine in the cloud, but it doesn't run on any of my local data. How do I get the backtest to use local data?
Attached is the backtest, a directory listing showing I have the local data, and the output of the backtest when I run it.
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friley@macbook options-backest % ls -l data/option/usa/minute/spy/20200[23]*-rw-r--r-- 1 friley staff 47753589 Aug 14 12:01 data/option/usa/minute/spy/20200203_quote_american.zip-rw-r--r-- 1 friley staff 2252931 Aug 14 15:51 data/option/usa/minute/spy/20200203_trade_american.zip-rw-r--r-- 1 friley staff 43408726 Aug 14 12:01 data/option/usa/minute/spy/20200204_quote_american.zip-rw-r--r-- 1 friley staff 1661104 Aug 14 15:51 data/option/usa/minute/spy/20200204_trade_american.zip-rw-r--r-- 1 friley staff 45523617 Aug 14 12:01 data/option/usa/minute/spy/20200205_quote_american.zip-rw-r--r-- 1 friley staff 2173078 Aug 14 15:51 data/option/usa/minute/spy/20200205_trade_american.zip-rw-r--r-- 1 friley staff 43711398 Aug 14 12:01 data/option/usa/minute/spy/20200206_quote_american.zip-rw-r--r-- 1 friley staff 1844780 Aug 14 15:51 data/option/usa/minute/spy/20200206_trade_american.zip-rw-r--r-- 1 friley staff 46206075 Aug 14 12:02 data/option/usa/minute/spy/20200207_quote_american.zip-rw-r--r-- 1 friley staff 1617675 Aug 14 15:51 data/option/usa/minute/spy/20200207_trade_american.zip-rw-r--r-- 1 friley staff 43411037 Aug 14 12:02 data/option/usa/minute/spy/20200210_quote_american.zip-rw-r--r-- 1 friley staff 1737519 Aug 14 15:51 data/option/usa/minute/spy/20200210_trade_american.zip-rw-r--r-- 1 friley staff 45229931 Aug 14 12:01 data/option/usa/minute/spy/20200211_quote_american.zip-rw-r--r-- 1 friley staff 2005208 Aug 14 15:51 data/option/usa/minute/spy/20200211_trade_american.zip-rw-r--r-- 1 friley staff 43465788 Aug 14 12:02 data/option/usa/minute/spy/20200212_quote_american.zip-rw-r--r-- 1 friley staff 1654295 Aug 14 15:51 data/option/usa/minute/spy/20200212_trade_american.zip-rw-r--r-- 1 friley staff 46707493 Aug 14 12:01 data/option/usa/minute/spy/20200213_quote_american.zip-rw-r--r-- 1 friley staff 1814891 Aug 14 15:51 data/option/usa/minute/spy/20200213_trade_american.zip-rw-r--r-- 1 friley staff 44893676 Aug 14 12:01 data/option/usa/minute/spy/20200214_quote_american.zip-rw-r--r-- 1 friley staff 1708356 Aug 14 15:51 data/option/usa/minute/spy/20200214_trade_american.zip-rw-r--r-- 1 friley staff 45510506 Aug 14 12:01 data/option/usa/minute/spy/20200218_quote_american.zip-rw-r--r-- 1 friley staff 1789260 Aug 14 15:51 data/option/usa/minute/spy/20200218_trade_american.zip-rw-r--r-- 1 friley staff 41052719 Aug 14 12:01 data/option/usa/minute/spy/20200219_quote_american.zip-rw-r--r-- 1 friley staff 1908741 Aug 14 15:51 data/option/usa/minute/spy/20200219_trade_american.zip-rw-r--r-- 1 friley staff 49083886 Aug 14 12:02 data/option/usa/minute/spy/20200220_quote_american.zip-rw-r--r-- 1 friley staff 1890454 Aug 14 15:51 data/option/usa/minute/spy/20200220_trade_american.zip-rw-r--r-- 1 friley staff 49308095 Aug 14 12:01 data/option/usa/minute/spy/20200221_quote_american.zip-rw-r--r-- 1 friley staff 1901786 Aug 14 15:51 data/option/usa/minute/spy/20200221_trade_american.zip-rw-r--r-- 1 friley staff 52308392 Aug 14 12:02 data/option/usa/minute/spy/20200224_quote_american.zip-rw-r--r-- 1 friley staff 2579073 Aug 14 15:51 data/option/usa/minute/spy/20200224_trade_american.zip-rw-r--r-- 1 friley staff 57102045 Aug 14 12:02 data/option/usa/minute/spy/20200225_quote_american.zip-rw-r--r-- 1 friley staff 3286304 Aug 14 15:51 data/option/usa/minute/spy/20200225_trade_american.zip-rw-r--r-- 1 friley staff 59239969 Aug 14 12:02 data/option/usa/minute/spy/20200226_quote_american.zip-rw-r--r-- 1 friley staff 3340062 Aug 14 15:51 data/option/usa/minute/spy/20200226_trade_american.zip-rw-r--r-- 1 friley staff 62674560 Aug 14 12:02 data/option/usa/minute/spy/20200227_quote_american.zip-rw-r--r-- 1 friley staff 3917201 Aug 14 15:51 data/option/usa/minute/spy/20200227_trade_american.zip-rw-r--r-- 1 friley staff 66142167 Aug 14 12:02 data/option/usa/minute/spy/20200228_quote_american.zip-rw-r--r-- 1 friley staff 4937108 Aug 14 15:51 data/option/usa/minute/spy/20200228_trade_american.zip-rw-r--r-- 1 friley staff 67192788 Aug 14 12:02 data/option/usa/minute/spy/20200302_quote_american.zip-rw-r--r-- 1 friley staff 3589811 Aug 14 15:51 data/option/usa/minute/spy/20200302_trade_american.zip-rw-r--r-- 1 friley staff 69995087 Aug 14 12:02 data/option/usa/minute/spy/20200303_quote_american.zip-rw-r--r-- 1 friley staff 4096797 Aug 14 15:51 data/option/usa/minute/spy/20200303_trade_american.zip-rw-r--r-- 1 friley staff 66557093 Aug 14 12:02 data/option/usa/minute/spy/20200304_quote_american.zip-rw-r--r-- 1 friley staff 3578004 Aug 14 15:51 data/option/usa/minute/spy/20200304_trade_american.zip-rw-r--r-- 1 friley staff 66961410 Aug 14 12:02 data/option/usa/minute/spy/20200305_quote_american.zip-rw-r--r-- 1 friley staff 3079844 Aug 14 15:51 data/option/usa/minute/spy/20200305_trade_american.zip-rw-r--r-- 1 friley staff 67663035 Aug 14 12:02 data/option/usa/minute/spy/20200306_quote_american.zip-rw-r--r-- 1 friley staff 3823665 Aug 14 15:51 data/option/usa/minute/spy/20200306_trade_american.zip-rw-r--r-- 1 friley staff 67367211 Aug 14 12:02 data/option/usa/minute/spy/20200309_quote_american.zip-rw-r--r-- 1 friley staff 5299952 Aug 14 15:51 data/option/usa/minute/spy/20200309_trade_american.zip-rw-r--r-- 1 friley staff 72618504 Aug 14 12:03 data/option/usa/minute/spy/20200310_quote_american.zip-rw-r--r-- 1 friley staff 5215660 Aug 14 15:51 data/option/usa/minute/spy/20200310_trade_american.zip-rw-r--r-- 1 friley staff 73658247 Aug 14 12:02 data/option/usa/minute/spy/20200311_quote_american.zip-rw-r--r-- 1 friley staff 4463397 Aug 14 15:51 data/option/usa/minute/spy/20200311_trade_american.zip-rw-r--r-- 1 friley staff 75814709 Aug 14 12:02 data/option/usa/minute/spy/20200312_quote_american.zip-rw-r--r-- 1 friley staff 5580114 Aug 14 15:51 data/option/usa/minute/spy/20200312_trade_american.zip-rw-r--r-- 1 friley staff 84783685 Aug 14 12:02 data/option/usa/minute/spy/20200313_quote_american.zip-rw-r--r-- 1 friley staff 6315289 Aug 14 15:51 data/option/usa/minute/spy/20200313_trade_american.zip-rw-r--r-- 1 friley staff 79088637 Aug 14 12:02 data/option/usa/minute/spy/20200316_quote_american.zip-rw-r--r-- 1 friley staff 5667808 Aug 14 15:51 data/option/usa/minute/spy/20200316_trade_american.zip-rw-r--r-- 1 friley staff 85346745 Aug 14 12:02 data/option/usa/minute/spy/20200317_quote_american.zip-rw-r--r-- 1 friley staff 5184423 Aug 14 15:51 data/option/usa/minute/spy/20200317_trade_american.zip-rw-r--r-- 1 friley staff 82526499 Aug 14 12:04 data/option/usa/minute/spy/20200318_quote_american.zip-rw-r--r-- 1 friley staff 6341258 Aug 14 15:51 data/option/usa/minute/spy/20200318_trade_american.zip-rw-r--r-- 1 friley staff 85257852 Aug 14 12:03 data/option/usa/minute/spy/20200319_quote_american.zip-rw-r--r-- 1 friley staff 5225139 Aug 14 15:51 data/option/usa/minute/spy/20200319_trade_american.zip-rw-r--r-- 1 friley staff 83015867 Aug 14 12:03 data/option/usa/minute/spy/20200320_quote_american.zip-rw-r--r-- 1 friley staff 4982689 Aug 14 15:51 data/option/usa/minute/spy/20200320_trade_american.zip-rw-r--r-- 1 friley staff 79801472 Aug 14 12:03 data/option/usa/minute/spy/20200323_quote_american.zip-rw-r--r-- 1 friley staff 5286225 Aug 14 15:51 data/option/usa/minute/spy/20200323_trade_american.zip-rw-r--r-- 1 friley staff 77881731 Aug 14 12:03 data/option/usa/minute/spy/20200324_quote_american.zip-rw-r--r-- 1 friley staff 5203366 Aug 14 15:51 data/option/usa/minute/spy/20200324_trade_american.zip-rw-r--r-- 1 friley staff 80118422 Aug 14 12:03 data/option/usa/minute/spy/20200325_quote_american.zip-rw-r--r-- 1 friley staff 5964632 Aug 14 15:51 data/option/usa/minute/spy/20200325_trade_american.zip-rw-r--r-- 1 friley staff 77821358 Aug 14 12:02 data/option/usa/minute/spy/20200326_quote_american.zip-rw-r--r-- 1 friley staff 5229676 Aug 14 15:51 data/option/usa/minute/spy/20200326_trade_american.zip-rw-r--r-- 1 friley staff 77634822 Aug 14 12:03 data/option/usa/minute/spy/20200327_quote_american.zip-rw-r--r-- 1 friley staff 4643357 Aug 14 15:51 data/option/usa/minute/spy/20200327_trade_american.zip-rw-r--r-- 1 friley staff 69634631 Aug 14 12:03 data/option/usa/minute/spy/20200330_quote_american.zip-rw-r--r-- 1 friley staff 4662889 Aug 14 15:51 data/option/usa/minute/spy/20200330_trade_american.zip-rw-r--r-- 1 friley staff 69880097 Aug 14 12:03 data/option/usa/minute/spy/20200331_quote_american.zip-rw-r--r-- 1 friley staff 4187819 Aug 14 15:51 data/option/usa/minute/spy/20200331_trade_american.zip
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friley@macbook options-backest % lean backtest --data-provider Local --verbose "Options Tutorial"Running 'lean-cli/engine:latest' with the following configuration:{'environment': {},'stop_signal': 'SIGINT','mounts': [{'Target': '/Lean/Launcher/bin/Debug/config.json', 'Source':'/var/folders/_l/4zfgdljs7ld7f7b3n8grzmt00000gn/T/lean-cli-5k29rt7t/config.json', 'Type': 'bind', 'ReadOnly': True},{'Target': '/lean-cli-start.sh', 'Source':'/var/folders/_l/4zfgdljs7ld7f7b3n8grzmt00000gn/T/lean-cli-poi5gw8j/lean-cli-start.sh', 'Type': 'bind', 'ReadOnly': True}],'volumes': {'/Users/friley/PycharmProjects/options-backest/data': {'bind': '/Lean/Data', 'mode': 'rw'},'/Users/friley/PycharmProjects/options-backest/Options Tutorial/backtests/2021-08-14_16-55-45': {'bind': '/Results','mode': 'rw'},'/Users/friley/PycharmProjects/options-backest/Options Tutorial/storage': {'bind': '/Storage', 'mode': 'rw'},'/Users/friley/PycharmProjects/options-backest/Options Tutorial': {'bind': '/LeanCLI', 'mode': 'rw'}},'ports': {},'name': 'lean_cli_2d4a32865c9747628ab57cc2524345ec','entrypoint': ['bash', '/lean-cli-start.sh'],'detach': True,'hostname': 'macbook.lan','tty': True,'stdin_open': True,'network': 'lean_cli'}+ exec dotnet QuantConnect.Lean.Launcher.dll20210814 23:55:46.952 TRACE:: Config.Get(): Configuration key not found. Key: plugin-directory - Using default value:20210814 23:55:46.966 TRACE:: Composer(): Loading Assemblies from /Lean/Launcher/bin/Debug20210814 23:55:47.023 TRACE:: Python for .NET Assembly: Python.Runtime, Version=2.0.5.0, Culture=neutral,PublicKeyToken=5000fea6cba702dd20210814 23:55:47.108 TRACE:: Config.Get(): Configuration key not found. Key: data-directory - Using default value:../../../Data/20210814 23:55:47.113 TRACE:: Config.Get(): Configuration key not found. Key: version-id - Using default value:20210814 23:55:47.114 TRACE:: Config.Get(): Configuration key not found. Key: cache-location - Using default value: /Lean/Data20210814 23:55:47.115 TRACE:: Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v2.5.0.0 Mode: DEBUG (64bit) Host: macbook20210814 23:55:47.122 TRACE:: Engine.Main(): Started 11:55 PM20210814 23:55:47.125 TRACE:: Config.Get(): Configuration key not found. Key: lean-manager-type - Using default value:LocalLeanManager20210814 23:55:47.148 TRACE:: JobQueue.NextJob(): Selected /LeanCLI/main.py20210814 23:55:47.239 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-capacity - Using default value: 12020210814 23:55:47.240 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-time-interval-minutes - Using default value: 144020210814 23:55:47.241 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-refill-amount - Using default value: 1820210814 23:55:47.245 TRACE:: Config.Get(): Configuration key not found. Key: job-organization-id - Using default value:20210814 23:55:47.248 TRACE:: Config.Get(): Configuration key not found. Key: data-permission-manager - Using default value:DataPermissionManager20210814 23:55:47.269 TRACE:: AlgorithmManager.CreateTokenBucket(): Initializing LeakyBucket: Capacity: 120 RefillAmount: 18TimeInterval: 144020210814 23:55:47.273 TRACE:: Config.GetValue(): algorithm-manager-time-loop-maximum - Using default value: 2020210814 23:55:47.283 TRACE:: TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to 71582788 items20210814 23:55:47.581 TRACE:: Config.GetValue(): algorithm-creation-timeout - Using default value: 9020210814 23:55:47.586 TRACE:: PythonInitializer.Initialize(): start...PythonEngine.Initialize(): Runtime.Initialize()...Runtime.Initialize(): Py_Initialize...Runtime.Initialize(): PyEval_InitThreads...Runtime.Initialize(): Initialize types...Runtime.Initialize(): Initialize types end.Runtime.Initialize(): AssemblyManager.Initialize()...Runtime.Initialize(): AssemblyManager.UpdatePath()...PythonEngine.Initialize(): GetCLRModule()...PythonEngine.Initialize(): clr GetManifestResourceStream...20210814 23:55:48.411 TRACE:: PythonInitializer.Initialize(): ended20210814 23:55:48.416 TRACE:: AlgorithmPythonWrapper(): Python version 3.6.8 |Anaconda, Inc.| (default, Dec 30 2018, 01:25:33)[GCC 7.3.0]: Importing python module main20210814 23:55:48.692 TRACE:: AlgorithmPythonWrapper(): main successfully imported.20210814 23:55:48.696 TRACE:: AlgorithmPythonWrapper(): Creating IAlgorithm instance.20210814 23:55:48.710 TRACE:: Config.GetValue(): api-data-update-period - Using default value: 120210814 23:55:49.581 TRACE:: Config.GetValue(): mute-python-library-logging - Using default value: True20210814 23:55:49.621 TRACE:: LocalObjectStore.Initialize(): Storage Root: /Storage/QCAlgorithm20210814 23:55:49.646 TRACE:: BacktestingSetupHandler.Setup(): Setting up job: Plan: Free, UID: 29444, PID: 709879848, Version:2.5.0.0, Source: WebIDE20210814 23:55:49.655 TRACE:: Config.Get(): Configuration key not found. Key: security-data-feeds - Using default value:20210814 23:55:49.684 TRACE:: LocalZipMapFileProvider.Get(usa): Fetched map files for: 8/13/2021 NY20210814 23:55:51.457 TRACE:: Config.GetValue(): data-feed-max-work-weight - Using default value: 40020210814 23:55:51.459 DEBUG:: DataManager.AddSubscription(): Added ?SPY,SPY,Minute,ZipEntryName,Quote,Raw. Start: 2/1/20205:00:00 AM. End: 4/1/2020 3:59:59 AM20210814 23:55:51.459 TRACE:: Config.GetValue(): data-feed-workers-count - Using default value: 620210814 23:55:51.460 TRACE:: WeightedWorkScheduler(): will use 6 workers and MaxWorkWeight is 40020210814 23:55:51.466 DEBUG:: DataManager.AddSubscription(): AddedQC-UNIVERSE-USERDEFINED-USA-EQUITY,QC-UNIVERSE-USERDEFINED-USA-EQUITY,Minute,TradeBar,Trade,Adjusted,Internal. Start: 2/1/20205:00:00 AM. End: 4/1/2020 3:59:59 AM20210814 23:55:51.482 TRACE:: Config.GetValue(): show-missing-data-logs - Using default value: False20210814 23:55:51.485 TRACE:: BaseSetupHandler.SetupCurrencyConversions():Symbol Quantity Conversion = Value in USDUSD: $ 100000.00 @ 1.00 = $100000.0-------------------------------------------------CashBook Total Value: $100000.020210814 23:55:51.492 TRACE:: SetUp Backtesting: User: 29444 ProjectId: 709879848 AlgoId: 187899098720210814 23:55:51.494 TRACE:: Dates: Start: 02/01/2020 End: 03/31/2020 Cash: ¤100,000.0020210814 23:55:51.498 TRACE:: BacktestingResultHandler(): Sample Period Set: 21.6020210814 23:55:51.500 TRACE:: Time.TradeableDates(): Security Count: 220210814 23:55:51.509 TRACE:: Config.GetValue(): forward-console-messages - Using default value: True20210814 23:55:51.516 TRACE:: JOB HANDLERS:20210814 23:55:51.518 TRACE:: DataFeed: QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed20210814 23:55:51.519 TRACE:: Setup: QuantConnect.Lean.Engine.Setup.ConsoleSetupHandler20210814 23:55:51.521 TRACE:: RealTime: QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler20210814 23:55:51.523 TRACE:: Results: QuantConnect.Lean.Engine.Results.BacktestingResultHandler20210814 23:55:51.524 TRACE:: Transactions: QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler20210814 23:55:51.526 TRACE:: Alpha: QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler20210814 23:55:51.527 TRACE:: ObjectStore: QuantConnect.Lean.Engine.Storage.LocalObjectStore20210814 23:55:51.529 TRACE:: History Provider:QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider20210814 23:55:51.557 TRACE:: Debug: Launching analysis for 1878990987 with LEAN Engine v2.5.0.020210814 23:55:51.561 TRACE:: AlgorithmManager.Run(): Begin DataStream - Start: 2/1/2020 12:00:00 AM Stop: 3/31/2020 11:59:59 PM20210814 23:55:59.368 DEBUG:: DataManager.RemoveSubscription(): Removed ?SPY,SPY,Minute,ZipEntryName,Quote,Raw20210814 23:55:59.392 DEBUG:: Synchronizer.SubscriptionFinished(): Finished subscription:?SPY,SPY,Minute,ZipEntryName,Quote,Rawat 2/1/2020 5:00:00 AM UTC20210814 23:56:01.693 TRACE:: LocalZipFactorFileProvider.Get(usa): Fetched factor files for: 8/13/2021 NY20210814 23:56:01.695 DEBUG:: DataManager.AddSubscription(): Added SPY,SPY,Minute,TradeBar,Trade,Raw. Start: 2/1/2020 5:00:00AM. End: 4/1/2020 3:59:59 AM20210814 23:56:01.698 DEBUG:: DataManager.AddSubscription(): Added SPY,SPY,Minute,QuoteBar,Quote,Raw. Start: 2/1/2020 5:00:00AM. End: 4/1/2020 3:59:59 AM20210814 23:56:01.703 DEBUG:: UniverseSelection.ApplyUniverseSelection(): 2/1/2020 5:00:00 AM: SecurityChanges: Added: SPYR735QTJ8XC9X20210814 23:56:01.758 DEBUG:: DataManager.AddSubscription(): Added GOOG,GOOG,Hour,TradeBar,Trade,Adjusted,Internal. Start:1/31/2020 5:00:00 AM. End: 4/1/2020 3:59:59 AM20210814 23:56:01.759 TRACE:: UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feedGOOG,GOOG,Hour,TradeBar,Trade,Adjusted,Internal20210814 23:56:01.763 DEBUG:: DataManager.RemoveSubscription(): Removed GOOG,GOOG,Hour,TradeBar,Trade,Adjusted,Internal20210814 23:56:01.764 DEBUG:: Synchronizer.SubscriptionFinished(): Finishedsubscription:GOOG,GOOG,Hour,TradeBar,Trade,Adjusted,Internal at 2/1/2020 5:00:00 AM UTC20210814 23:56:01.821 DEBUG:: BaseResultsHandler.SamplePerformance(): 5:00 AM >020210814 23:56:01.824 TRACE:: Debug: Warning: SetBenchmark(GOOG): no existing symbol found, benchmark security will be addedwith Equity type.Warning: The following securities were set to raw price normalization mode to work with options: SPY...20210814 23:56:01.889 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:01.932 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:01.967 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:01.998 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.030 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.059 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.089 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.120 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.152 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.186 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.211 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.239 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.262 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.290 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.317 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.341 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.371 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.396 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.425 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.449 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.474 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.498 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.524 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.555 DEBUG:: BaseResultsHandler.SamplePerformance(): 9:00 PM >020210814 23:56:02.582 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.608 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.636 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.658 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.690 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.721 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.745 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.773 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.803 DEBUG:: DataManager.RemoveSubscription(): Removed SPY,SPY,Minute,TradeBar,Trade,Raw20210814 23:56:02.804 DEBUG:: Synchronizer.SubscriptionFinished(): Finished subscription:SPY,SPY,Minute,TradeBar,Trade,Raw at3/20/2020 4:00:00 AM UTC20210814 23:56:02.806 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.808 DEBUG:: AlgorithmManager.Run(): 3/20/2020 12:00:00 AM: Applying Dividend: Dividend: SPY: 1.41 | 240.5120210814 23:56:02.839 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >0.0020210814 23:56:02.861 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.887 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.913 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.939 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.964 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:02.987 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:03.013 DEBUG:: DataManager.RemoveSubscription(): Removed SPY,SPY,Minute,QuoteBar,Quote,Raw20210814 23:56:03.015 DEBUG:: Synchronizer.SubscriptionFinished(): Finished subscription:SPY,SPY,Minute,QuoteBar,Quote,Raw at3/31/2020 8:00:00 PM UTC20210814 23:56:03.018 TRACE:: Synchronizer.GetEnumerator(): Exited thread.20210814 23:56:03.020 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm...20210814 23:56:03.025 DEBUG:: BaseResultsHandler.SamplePerformance(): 8:00 PM >020210814 23:56:03.027 TRACE:: Engine.Run(): Exiting Algorithm Manager20210814 23:56:03.030 DEBUG:: DataManager.RemoveSubscription(): RemovedQC-UNIVERSE-USERDEFINED-USA-EQUITY,QC-UNIVERSE-USERDEFINED-USA-EQUITY,Minute,TradeBar,Trade,Adjusted,Internal20210814 23:56:03.034 TRACE:: FileSystemDataFeed.Exit(): Start. Setting cancellation token...20210814 23:56:03.038 TRACE:: FileSystemDataFeed.Exit(): Exit Finished.20210814 23:56:03.041 TRACE:: DefaultAlphaHandler.Exit(): Exiting...20210814 23:56:03.048 TRACE:: DefaultAlphaHandler.Exit(): Ended20210814 23:56:03.050 TRACE:: Debug: Algorithm Id:(1878990987) completed in 11.50 seconds at 1k data points per second.Processing total of 15,936 data points.20210814 23:56:03.050 TRACE:: BacktestingResultHandler.Exit(): starting...20210814 23:56:03.053 TRACE:: BacktestingResultHandler.Exit(): Saving logs...20210814 23:56:03.061 TRACE:: Debug: Your log was successfully created and can be retrieved from: /Results/1878990987-log.txt20210814 23:56:03.061 TRACE:: StopSafely(): waiting for 'Result Thread' thread to stop...20210814 23:56:03.062 TRACE:: BacktestingResultHandler.Run(): Ending Thread...20210814 23:56:03.211 TRACE:: Config.GetValue(): regression-update-statistics - Using default value: False20210814 23:56:03.213 TRACE::STATISTICS:: Total Trades 0STATISTICS:: Average Win 0%STATISTICS:: Average Loss 0%STATISTICS:: Compounding Annual Return 0%STATISTICS:: Drawdown 0%STATISTICS:: Expectancy 0STATISTICS:: Net Profit 0%STATISTICS:: Sharpe Ratio 0STATISTICS:: Probabilistic Sharpe Ratio 0%STATISTICS:: Loss Rate 0%STATISTICS:: Win Rate 0%STATISTICS:: Profit-Loss Ratio 0STATISTICS:: Alpha 0STATISTICS:: Beta 0STATISTICS:: Annual Standard Deviation 0STATISTICS:: Annual Variance 0STATISTICS:: Information Ratio 0STATISTICS:: Tracking Error 0STATISTICS:: Treynor Ratio 0STATISTICS:: Total Fees $0.00STATISTICS:: Estimated Strategy Capacity $0STATISTICS:: Lowest Capacity AssetSTATISTICS:: Fitness Score 0STATISTICS:: Kelly Criterion Estimate 0STATISTICS:: Kelly Criterion Probability Value 0STATISTICS:: Sortino Ratio 79228162514264337593543950335STATISTICS:: Return Over Maximum Drawdown 79228162514264337593543950335STATISTICS:: Portfolio Turnover 0STATISTICS:: Total Insights Generated 0STATISTICS:: Total Insights Closed 0STATISTICS:: Total Insights Analysis Completed 0STATISTICS:: Long Insight Count 0STATISTICS:: Short Insight Count 0STATISTICS:: Long/Short Ratio 100%STATISTICS:: Estimated Monthly Alpha Value $0STATISTICS:: Total Accumulated Estimated Alpha Value $0STATISTICS:: Mean Population Estimated Insight Value $0STATISTICS:: Mean Population Direction 0%STATISTICS:: Mean Population Magnitude 0%STATISTICS:: Rolling Averaged Population Direction 0%STATISTICS:: Rolling Averaged Population Magnitude 0%STATISTICS:: OrderListHash d41d8cd98f00b204e9800998ecf8427e20210814 23:56:03.214 TRACE:: BacktestingResultHandler.SendAnalysisResult(): Processed final packet20210814 23:56:03.216 TRACE:: Engine.Run(): Disconnecting from brokerage...20210814 23:56:03.217 TRACE:: Engine.Run(): Disposing of setup handler...20210814 23:56:03.219 TRACE:: Engine.Main(): Analysis Completed and Results Posted.Engine.Main(): Analysis Complete.20210814 23:56:03.222 TRACE:: Engine.Main(): Packet removed from queue: 187899098720210814 23:56:03.224 TRACE:: LeanEngineSystemHandlers.Dispose(): start...20210814 23:56:03.225 TRACE:: LeanEngineSystemHandlers.Dispose(): Disposed of system handlers.20210814 23:56:03.226 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): start...20210814 23:56:03.233 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers.20210814 23:56:03.235 TRACE:: Program.Main(): Exiting Lean...Successfully ran 'Options Tutorial' in the 'backtesting' environment and stored the output in 'OptionsTutorial/backtests/2021-08-14_16-55-45'friley@macbook options-backest %
Jasper van Merle
Hi Frank,
To make your algorithm work locally like it does in the cloud you'll need equity data for the option's underlying security. In the case of your attached backtest that means you need minute SPY trade data, which you can download using the following command:
lean data download --dataset "US Equities" --organization "<your organization>" --data-type "Trade" --ticker "SPY" --resolution "Minute" --start "20200201" --end "20200331"
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.
Frank Riley
I had actually already thought of that and downloaded the SPY data. It still doesn't work. Here is an ls of the SPY 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.
Frank Riley
Ok, got it to work. I ran your CLI command, and it looks like it added the trade data in addition to the quote data. I guess both are needed to do a backtest? Why does the CLI download both, but when I downloaded the data interactively, it asked me to choose on only 1?
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.
Jasper van Merle
Hi Frank,
“I guess both are needed to do a backtest?”
For your algorithm you only need SPY equity trade data.
“Why does the CLI download both, but when I downloaded the data interactively, it asked me to choose on only 1?”
I'm not sure what you mean by this. There are basically two ways of downloading 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.
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