Unable to replicate EmaCrossAlphaModel with Local Data & LEAN

Hi,

I am trying to replicate EmaCrossAlphaModel with local trade bar data I have on Binance crypto pairs. However it doesn't seem to generate any insights or trades.

TradeBar custom class (alphamodel from github below)

class BinanceTradeBarData(TradeBar):
    def GetSource(self, config, date, isLiveMode):
        ticker = config.Symbol.Value
        date_str = date.strftime('%Y-%m')
        source = os.path.join(Globals.DataFolder, "qc-trial", "longshort", f"{ticker}-1m-{date_str}.csv")
        return SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile)
        
    def Reader(self, config, line, date, isLiveMode):
        coin = BinanceTradeBarData()
        coin.Symbol = config.Symbol

        data = line.split(",")
        coin.Time = pd.to_datetime(data[0],unit='ms')
        coin.EndTime = coin.Time + timedelta(minutes=1)
        coin.Value = data[4]
        coin.Open = float(data[1])
        coin.High = float(data[2])
        coin.Low = float(data[3])
        coin.Close = float(data[4])
        coin.Volume = float(data[5])
        return coin

Algorithm:

class EMAwithCustomLocalData(QCAlgorithmFramework):

    def Initialize(self):

        # Set requested data resolution
        self.UniverseSettings.Resolution = Resolution.Minute
        self.SetTimeZone("UTC")
        self.SetStartDate(2022, 2, 2)    #Set Start Date
        self.SetEndDate(2022, 3, 31)    #Set End Date

        self.SetCash(100000)               #Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)

        self.SetWarmUp(50)
        
        tickers = ['ADAUSDT','ALGOUSDT','ATOMUSDT','AVAXUSDT','AXSUSDT','BCHUSDT','BTCUSDT','DOGEUSDT','DOTUSDT','ETHUSDT']
        symbols = [self.AddData(type=BinanceTradeBarData, ticker=ticker, resolution=Resolution.Minute).Symbol for ticker in tickers]
        self.Debug(f"symbols: {symbols}")

        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
        
        self.SetAlpha(EmaCrossAlphaModel(12, 26, Resolution.Minute))
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        
        self.SetExecution(ImmediateExecutionModel())
        
        self.SetRiskManagement(NullRiskManagementModel())
        

class EmaCrossAlphaModel(AlphaModel):
    '''Alpha model that uses an EMA cross to create insights'''

    def __init__(self,
                 fastPeriod = 12,
                 slowPeriod = 26,
                 resolution = Resolution.Daily):
        '''Initializes a new instance of the EmaCrossAlphaModel class
        Args:
            fastPeriod: The fast EMA period
            slowPeriod: The slow EMA period'''
        self.fastPeriod = fastPeriod
        self.slowPeriod = slowPeriod
        self.resolution = resolution
        self.predictionInterval = Time.Multiply(Extensions.ToTimeSpan(resolution), fastPeriod)
        self.symbolDataBySymbol = {}

        resolutionString = Extensions.GetEnumString(resolution, Resolution)
        self.Name = '{}({},{},{})'.format(self.__class__.__name__, fastPeriod, slowPeriod, resolutionString)


    def Update(self, algorithm, data):
        '''Updates this alpha model with the latest data from the algorithm.
        This is called each time the algorithm receives data for subscribed securities
        Args:
            algorithm: The algorithm instance
            data: The new data available
        Returns:
            The new insights generated'''
        insights = []
        for symbol, symbolData in self.symbolDataBySymbol.items():
            if symbolData.Fast.IsReady and symbolData.Slow.IsReady:

                if symbolData.FastIsOverSlow:
                    if symbolData.Slow > symbolData.Fast:
                        insights.append(Insight.Price(symbolData.Symbol, self.predictionInterval, InsightDirection.Down))

                elif symbolData.SlowIsOverFast:
                    if symbolData.Fast > symbolData.Slow:
                        insights.append(Insight.Price(symbolData.Symbol, self.predictionInterval, InsightDirection.Up))

            symbolData.FastIsOverSlow = symbolData.Fast > symbolData.Slow
        algorithm.Debug(f"insights: {insights}")
        return insights

    def OnSecuritiesChanged(self, algorithm, changes):
        '''Event fired each time the we add/remove securities from the data feed
        Args:
            algorithm: The algorithm instance that experienced the change in securities
            changes: The security additions and removals from the algorithm'''
        for added in changes.AddedSecurities:
            symbolData = self.symbolDataBySymbol.get(added.Symbol)
            if symbolData is None:
                symbolData = SymbolData(added, self.fastPeriod, self.slowPeriod, algorithm, self.resolution)
                self.symbolDataBySymbol[added.Symbol] = symbolData
            else:
                # a security that was already initialized was re-added, reset the indicators
                symbolData.Fast.Reset()
                symbolData.Slow.Reset()

        for removed in changes.RemovedSecurities:
            data = self.symbolDataBySymbol.pop(removed.Symbol, None)
            if data is not None:
                # clean up our consolidators
                data.RemoveConsolidators()


class SymbolData:
    '''Contains data specific to a symbol required by this model'''
    def __init__(self, security, fastPeriod, slowPeriod, algorithm, resolution):
        self.Security = security
        self.Symbol = security.Symbol
        self.algorithm = algorithm

        self.FastConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)
        self.SlowConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)

        algorithm.SubscriptionManager.AddConsolidator(security.Symbol, self.FastConsolidator)
        algorithm.SubscriptionManager.AddConsolidator(security.Symbol, self.SlowConsolidator)

        # create fast/slow EMAs
        self.Fast = ExponentialMovingAverage(security.Symbol, fastPeriod, ExponentialMovingAverage.SmoothingFactorDefault(fastPeriod))
        self.Slow = ExponentialMovingAverage(security.Symbol, slowPeriod, ExponentialMovingAverage.SmoothingFactorDefault(slowPeriod))

        algorithm.RegisterIndicator(security.Symbol, self.Fast, self.FastConsolidator)
        algorithm.RegisterIndicator(security.Symbol, self.Slow, self.SlowConsolidator)

        algorithm.WarmUpIndicator(security.Symbol, self.Fast, resolution)
        algorithm.WarmUpIndicator(security.Symbol, self.Slow, resolution)

        # True if the fast is above the slow, otherwise false.
        # This is used to prevent emitting the same signal repeatedly
        self.FastIsOverSlow = False
        
    def RemoveConsolidators(self):
        self.algorithm.SubscriptionManager.RemoveConsolidator(self.Security.Symbol, self.FastConsolidator)
        self.algorithm.SubscriptionManager.RemoveConsolidator(self.Security.Symbol, self.SlowConsolidator)

    @property
    def SlowIsOverFast(self):
        return not self.FastIsOverSlow

Logs:

$ lean backtest strategies/test_strategy
←[?1h←=20220427 02:00:49.779 TRACE:: Config.Get(): Configuration key not found. Key: plugin-directory - Using default value:
20220427 02:00:49.797 TRACE:: Composer(): Loading Assemblies from /Lean/Launcher/bin/Debug
20220427 02:00:49.963 TRACE:: Python for .NET Assembly: Python.Runtime, Version=2.0.11.0, Culture=neutral, PublicKeyToken=5000fea6cba702dd
20220427 02:00:50.008 TRACE:: Config.Get(): Configuration key not found. Key: data-directory - Using default value: ../../../Data/
20220427 02:00:50.078 TRACE:: Config.Get(): Configuration key not found. Key: version-id - Using default value:
20220427 02:00:50.080 TRACE:: Config.Get(): Configuration key not found. Key: cache-location - Using default value: /Lean/Data
20220427 02:00:50.081 TRACE:: Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v2.5.0.0 Mode: DEBUG (64bit) Host: Atakan-SB2
20220427 02:00:50.101 TRACE:: Engine.Main(): Started 2:00 AM
20220427 02:00:50.109 TRACE:: Config.Get(): Configuration key not found. Key: lean-manager-type - Using default value: LocalLeanManager
20220427 02:00:50.142 TRACE:: JobQueue.NextJob(): Selected /LeanCLI/main.py
20220427 02:00:50.289 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-capacity - Using default value: 120
20220427 02:00:50.290 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-time-interval-minutes - Using default value: 1440
20220427 02:00:50.290 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-refill-amount - Using default value: 18
20220427 02:00:50.296 TRACE:: Config.Get(): Configuration key not found. Key: job-organization-id - Using default value:
20220427 02:00:50.298 TRACE:: Config.Get(): Configuration key not found. Key: data-permission-manager - Using default value: DataPermissionManager
20220427 02:00:50.323 TRACE:: AlgorithmManager.CreateTokenBucket(): Initializing LeakyBucket: Capacity: 120 RefillAmount: 18 TimeInterval: 1440
20220427 02:00:50.332 TRACE:: Config.GetValue(): algorithm-manager-time-loop-maximum - Using default value: 20
20220427 02:00:50.367 TRACE:: TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to 71582788 items
20220427 02:00:50.868 TRACE:: Config.GetValue(): algorithm-creation-timeout - Using default value: 90
20220427 02:00:50.873 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...
20220427 02:00:53.013 TRACE:: PythonInitializer.Initialize(): ended
20220427 02:00:53.025 TRACE:: AlgorithmPythonWrapper(): Python version 3.6.8 |Anaconda, Inc.| (default, Dec 30 2018, 01:25:33)
[GCC 7.3.0]: Importing python module main
20220427 02:00:56.660 TRACE:: AlgorithmPythonWrapper(): main successfully imported.
20220427 02:00:56.666 TRACE:: AlgorithmPythonWrapper(): Creating IAlgorithm instance.
20220427 02:00:56.685 TRACE:: Config.GetValue(): api-data-update-period - Using default value: 1
20220427 02:00:56.958 TRACE:: Config.GetValue(): mute-python-library-logging - Using default value: True
20220427 02:00:57.006 TRACE:: LocalObjectStore.Initialize(): Storage Root: /Storage/QCAlgorithm. StorageFileCount 100. StorageLimitMB 5
20220427 02:00:57.047 TRACE:: BacktestingSetupHandler.Setup(): Setting up job: UID: 0, PID: 926796063, Version: 2.5.0.0, Source: WebIDE
20220427 02:00:57.059 TRACE:: Config.Get(): Configuration key not found. Key: security-data-feeds - Using default value:
20220427 02:00:57.354 TRACE:: Cash.EnsureCurrencyDataFeed(): Adding BTCBUSD for cash BTC currency feed
20220427 02:00:57.398 TRACE:: Config.GetValue(): data-feed-max-work-weight - Using default value: 400
20220427 02:00:57.399 TRACE:: Config.GetValue(): data-feed-workers-count - Using default value: 8
20220427 02:00:57.400 TRACE:: WeightedWorkScheduler(): will use 8 workers and MaxWorkWeight is 400
20220427 02:00:57.456 TRACE:: Config.GetValue(): show-missing-data-logs - Using default value: False
20220427 02:00:57.488 TRACE:: Failed to assign conversion rates for the following cash: BTC. Attempting to request daily resolution history to resolve conversion rate
20220427 02:00:57.503 TRACE:: BaseSetupHandler.SetupCurrencyConversions():
Symbol      Quantity    Conversion = Value in USD
USD: $      100000.00 @       1.00 = $100000.0
BTC: ฿           0.00 @       0.00 = $0
BUSD: $           0.00 @       1.00 = $0.0
USDC: $           0.00 @       1.00 = $0.0
-------------------------------------------------
CashBook Total Value:                $100000.0

20220427 02:00:57.510 TRACE:: SetUp Backtesting: User: 0 ProjectId: 926796063 AlgoId: 1502134665
20220427 02:00:57.512 TRACE:: Dates: Start: 02/02/2022 End: 03/31/2022 Cash: ¤100,000.00 MaximumRuntime: 100.00:00:00 MaxOrders: 2147483647
20220427 02:00:57.520 TRACE:: BacktestingResultHandler(): Sample Period Set: 20.88
20220427 02:00:57.523 TRACE:: Time.TradeableDates(): Security Count: 11
20220427 02:00:57.530 TRACE:: Config.GetValue(): forward-console-messages - Using default value: True
20220427 02:00:57.536 TRACE:: JOB HANDLERS:
20220427 02:00:57.537 TRACE::          DataFeed:     QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed
20220427 02:00:57.537 TRACE::          Setup:        QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler
20220427 02:00:57.538 TRACE::          RealTime:     QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler
20220427 02:00:57.538 TRACE::          Results:      QuantConnect.Lean.Engine.Results.BacktestingResultHandler
20220427 02:00:57.539 TRACE::          Transactions: QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler
20220427 02:00:57.540 TRACE::          Alpha:        QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler
20220427 02:00:57.540 TRACE::          ObjectStore:  QuantConnect.Lean.Engine.Storage.LocalObjectStore
20220427 02:00:57.541 TRACE::          History Provider:     QuantConnect.Lean.Engine.HistoricalData.HistoryProviderManager
20220427 02:00:57.566 TRACE:: Debug: Launching analysis for 1502134665 with LEAN Engine v2.5.0.0
20220427 02:00:57.609 TRACE:: Event Name "Daily Sampling", scheduled to run at 2/2/2022 12:00:00 AM (UTC)...
20220427 02:00:57.609 TRACE:: AlgorithmManager.Run(): Begin DataStream - Start: 2/2/2022 12:00:00 AM Stop: 3/31/2022 11:59:59 PM
20220427 02:00:57.651 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: ALGOUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.651 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: AXSUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.652 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BCHUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.652 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: AVAXUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.653 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: ATOMUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.654 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: ETHUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.655 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: DOTUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.655 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: ADAUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.656 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: DOGEUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.657 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BTCUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:00:57.659 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BTCBUSD 18N: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute
20220427 02:01:07.894 TRACE:: Debug: symbols: [<QuantConnect.Symbol object at 0x7f527a964048>, <QuantConnect.Symbol object at 0x7f527a964320>, <QuantConnect.Symbol object at 0x7f527a964518>, <QuantConnect.Symbol object at 0x7f527a964710>, <QuantConnect.Symbol object at 0x7f527a964908>, <QuantConnect.Symbol object at 0x7f527a964b00>, <QuantConnect.Symbol object at 0x7f527a964cf8>, <QuantConnect.Symbol object at 0x7f527a964ef0>, <QuantConnect.Symbol object at 0x7f527a96e128>, <QuantConnect.Symbol object at 0x7f527a96e320>]
Algorithm warming up...
insights: []
20220427 02:01:07.917 TRACE:: AlgorithmManager.Stream(): Finished warmup
20220427 02:01:16.787 TRACE:: UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed BTCUSDC,#0,BTCUSDC,Hour,TradeBar,Trade,Adjusted,OpenInterest,Internal
20220427 02:01:17.270 TRACE:: Debug: Algorithm finished warming up.
insights: []
20220427 02:01:57.583 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 119, Sample: 251, App: 924, CurrentTimeStepElapsed: 00:00.000
20220427 02:02:57.598 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 313, Sample: 553, App: 1212, CurrentTimeStepElapsed: 00:00.000
20220427 02:03:57.609 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 334, Sample: 246, App: 1384, CurrentTimeStepElapsed: 00:00.000
20220427 02:04:57.611 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 334, Sample: 144, App: 1384, CurrentTimeStepElapsed: 00:00.000
20220427 02:05:57.623 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 282, Sample: 141, App: 1385, CurrentTimeStepElapsed: 00:00.000
20220427 02:06:57.640 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 214, Sample: 117, App: 1368, CurrentTimeStepElapsed: 00:00.000
20220427 02:07:57.652 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 157, Sample: 87, App: 1194, CurrentTimeStepElapsed: 00:00.000
20220427 02:08:57.664 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 121, Sample: 97, App: 1160, CurrentTimeStepElapsed: 00:00.000
20220427 02:09:57.676 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 110, Sample: 113, App: 1163, CurrentTimeStepElapsed: 00:00.000
20220427 02:10:57.689 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 103, Sample: 79, App: 1147, CurrentTimeStepElapsed: 00:00.000
20220427 02:11:49.028 TRACE:: Synchronizer.GetEnumerator(): Exited thread.
20220427 02:11:49.029 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm...
20220427 02:11:49.033 TRACE:: Engine.Run(): Exiting Algorithm Manager
20220427 02:11:49.038 TRACE:: FileSystemDataFeed.Exit(): Start. Setting cancellation token...
20220427 02:11:49.039 TRACE:: FileSystemDataFeed.Exit(): Exit Finished.
20220427 02:11:49.039 TRACE:: DefaultAlphaHandler.Exit(): Exiting...
20220427 02:11:49.046 TRACE:: DefaultAlphaHandler.Exit(): Ended
20220427 02:11:49.047 TRACE:: BacktestingResultHandler.Exit(): starting...
20220427 02:11:49.048 TRACE:: BacktestingResultHandler.Exit(): Saving logs...
20220427 02:11:49.055 TRACE:: Debug: Algorithm Id:(1502134665) completed in 651.49 seconds at 1k data points per second. Processing total of 836,812 data points.
20220427 02:11:49.055 TRACE:: StopSafely(): waiting for 'Result Thread' thread to stop...
20220427 02:11:49.055 TRACE:: Debug: Your log was successfully created and can be retrieved from: /Results/1502134665-log.txt
20220427 02:11:49.056 TRACE:: BacktestingResultHandler.Run(): Ending Thread...
20220427 02:11:49.175 TRACE::
STATISTICS:: Total Trades 0
STATISTICS:: Average Win 0%
STATISTICS:: Average Loss 0%
STATISTICS:: Compounding Annual Return 0%
STATISTICS:: Drawdown 0%
STATISTICS:: Expectancy 0
STATISTICS:: Net Profit 0%
STATISTICS:: Sharpe Ratio 0
STATISTICS:: Probabilistic Sharpe Ratio 0%
STATISTICS:: Loss Rate 0%
STATISTICS:: Win Rate 0%
STATISTICS:: Profit-Loss Ratio 0
STATISTICS:: Alpha 0
STATISTICS:: Beta 0
STATISTICS:: Annual Standard Deviation 0
STATISTICS:: Annual Variance 0
STATISTICS:: Information Ratio 0
STATISTICS:: Tracking Error 0
STATISTICS:: Treynor Ratio 0
STATISTICS:: Total Fees $0.00
STATISTICS:: Estimated Strategy Capacity $0
STATISTICS:: Lowest Capacity Asset
STATISTICS:: Fitness Score 0
STATISTICS:: Kelly Criterion Estimate 0
STATISTICS:: Kelly Criterion Probability Value 0
STATISTICS:: Sortino Ratio 79228162514264337593543950335
STATISTICS:: Return Over Maximum Drawdown 79228162514264337593543950335
STATISTICS:: Portfolio Turnover 0
STATISTICS:: Total Insights Generated 0
STATISTICS:: Total Insights Closed 0
STATISTICS:: Total Insights Analysis Completed 0
STATISTICS:: Long Insight Count 0
STATISTICS:: Short Insight Count 0
STATISTICS:: Long/Short Ratio 100%
STATISTICS:: Estimated Monthly Alpha Value $0
STATISTICS:: Total Accumulated Estimated Alpha Value $0
STATISTICS:: Mean Population Estimated Insight Value $0
STATISTICS:: Mean Population Direction 0%
STATISTICS:: Mean Population Magnitude 0%
STATISTICS:: Rolling Averaged Population Direction 0%
STATISTICS:: Rolling Averaged Population Magnitude 0%
STATISTICS:: OrderListHash d41d8cd98f00b204e9800998ecf8427e
20220427 02:11:49.175 TRACE:: BacktestingResultHandler.SendAnalysisResult(): Processed final packet
20220427 02:11:49.176 TRACE:: Engine.Run(): Disconnecting from brokerage...
20220427 02:11:49.177 TRACE:: Engine.Run(): Disposing of setup handler...
20220427 02:11:49.178 TRACE:: Engine.Main(): Analysis Completed and Results Posted.
Engine.Main(): Analysis Complete.
20220427 02:11:49.179 TRACE:: Engine.Main(): Packet removed from queue: 1502134665
20220427 02:11:49.180 TRACE:: LeanEngineSystemHandlers.Dispose(): start...
20220427 02:11:49.181 TRACE:: LeanEngineSystemHandlers.Dispose(): Disposed of system handlers.
20220427 02:11:49.182 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): start...
20220427 02:11:49.192 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers.
20220427 02:11:49.195 TRACE:: Program.Main(): Exiting Lean...
Successfully ran 'strategies\test_strategy' in the 'backtesting' environment and stored the output in 'strategies\test_strategy\backtests\2022-04-26_19-00-46'

It seems to process the data but nothing is happening.

Data processed line log:

20220427 02:11:49.055 TRACE:: Debug: Algorithm Id:(1502134665) completed in 651.49 seconds at 1k data points per second. Processing total of 836,812 data points.

Any help is greatly appreciated!

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Hi Notta,

Just a quick trial before I look at everything else.

Try with that code in your custom data class:

class BinanceTradeBarData(TradeBar):

changed to:

class BinanceTradeBarData(PythonData):

and also this:

coin.Open = float(data[1])
coin.High = float(data[2])
coin.Low = float(data[3])
coin.Close = float(data[4])
coin.Volume = float(data[5])

changed to:

coin["Open"] = float(data[1])
coin["High"] = float(data[2])
coin["Low"] = float(data[3])
coin["Close"] = float(data[4])
coin["Volume"] = float(data[5])

Fred

P.S. I'm not sure custom data will work with the framework. It might not be typed/tagged properly for LEAN, as in, it won't be SecurityType.Crypto or anything like that, it will be SecurityType.Base.

Thank you Fred Painchaud for the quick reply!

Similar results with no trades but the data points processed changed:

20220427 03:18:33.013 TRACE:: Debug: Algorithm Id:(1785509569) completed in 780.35 seconds at 1k data points per second. Processing total of 836,792 data points.

What do you mean by `P.S. I'm not sure custom data will work with the framework. It might not be typed/tagged properly for LEAN, as in, it won't be SecurityType.Crypto or anything like that, it will be SecurityType.Base.` ? So there is no way that I can use any kind of local csv data with the AlgorithmFramework?

class BinanceTradeBarData(PythonData): # read from local (multiple files) def GetSource(self, config, date, isLiveMode): ticker = config.Symbol.Value date_str = date.strftime('%Y-%m') source = os.path.join(Globals.DataFolder, "qc-trial", "longshort", f"{ticker}-1m-{date_str}.csv") return SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile) def Reader(self, config, line, date, isLiveMode): coin = BinanceTradeBarData() coin.Symbol = config.Symbol data = line.split(",") coin.Time = pd.to_datetime(data[0],unit='ms') # coin.EndTime = coin.Time + timedelta(hours=1) coin.EndTime = coin.Time + timedelta(minutes=1) coin.Value = data[4] coin["Open"] = float(data[1]) coin["High"] = float(data[2]) coin["Low"] = float(data[3]) coin["Close"] = float(data[4]) coin["Volume"] = float(data[5]) return coin

class SingleTickerSingleTechnicalIndicator(QCAlgorithm): def Initialize(self): self.SetStartDate(2022, 2, 1) # Set Start Date self.SetEndDate(2022, 4, 1) # Set End Date self.SetCash(100000) # Set Strategy Cash ## PARAMETERS self.ticker = "BTCUSDT" # "BTCUSDT" for binance / "BTCUSD" for coinbase (live) btc = self.AddData(type=BinanceTradeBarData, ticker=self.ticker,resolution=Resolution.Minute).Symbol self.macd_fast = int(self.GetParameter("macd_fast")) self.macd_slow = int(self.GetParameter("macd_slow")) self.macd_signal = int(self.GetParameter("macd_signal")) ## INDICATORS # MACD self.macd = MovingAverageConvergenceDivergence( fastPeriod = self.macd_fast, slowPeriod=self.macd_slow, signalPeriod=self.macd_signal,type=MovingAverageType.Exponential) self.RegisterIndicator(symbol = self.ticker, indicator = self.macd, resolution = None) def OnData(self, data): """OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data """ if not self.macd.IsReady: self.Debug(f"MACD is not ready") return else: indicator_value = self.macd.Current.Value # self.Debug(f"MACD: {indicator_value}") if not self.Portfolio.Invested: if indicator_value > 0: self.SetHoldings(self.ticker, 1.0) self.Debug("Opened Long Position") else: self.SetHoldings(self.ticker, -1.0) self.Debug("Opened Short Position (Or 0 if no shorting)") return else: # invested if self.Portfolio[self.ticker].Quantity > 0: # long if indicator_value < 0: self.SetHoldings(self.ticker, -1.0) self.Debug("Reverted Position to Short (Or 0 if no shorting)") else: # short if indicator_value > 0: self.SetHoldings(self.ticker, 1.0) self.Debug("Reverted Position to Long")

... 20220427 18:00:11.105 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.106 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.156 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.157 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.258 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.309 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.309 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.309 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.360 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.361 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.361 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.412 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) 20220427 18:00:11.462 TRACE:: Debug: Reverted Position to Long 20220427 18:00:11.463 TRACE:: Debug: Reverted Position to Short (Or 0 if no shorting) Waiting 1 minute for LEAN to exit gracefully, press Ctrl+C again to force stop 20220427 18:00:11.596 TRACE:: Program.ExitKeyPress(): Lean instance has been cancelled, shutting down safely now 20220427 18:00:11.601 ERROR:: AlgorithmManager.Run(): Algorithm state changed to Stopped at 02/27/2022 04:13:00 20220427 18:00:11.602 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm... 20220427 18:00:11.611 TRACE:: AlgorithmManager.Run(): Stopping algorithm... 20220427 18:00:11.612 TRACE:: Engine.Run(): Exiting Algorithm Manager 20220427 18:00:11.614 TRACE:: Log: Algorithm Stopped 20220427 18:00:11.619 TRACE:: FileSystemDataFeed.Exit(): Start. Setting cancellation token... 20220427 18:00:11.621 TRACE:: FileSystemDataFeed.Exit(): Exit Finished. 20220427 18:00:11.622 TRACE:: DefaultAlphaHandler.Exit(): Exiting... 20220427 18:00:11.633 TRACE:: DefaultAlphaHandler.Exit(): Ended 20220427 18:00:11.634 TRACE:: BacktestingResultHandler.Exit(): starting... 20220427 18:00:11.635 TRACE:: BacktestingResultHandler.Exit(): Saving logs... 20220427 18:00:11.651 TRACE:: Debug: Algorithm Id:(1600385325) completed in 68.39 seconds at 1k data points per second. Processing total of 37,393 data points. 20220427 18:00:11.652 TRACE:: Debug: Your log was successfully created and can be retrieved from: /Results/1600385325-log.txt 20220427 18:00:11.652 TRACE:: StopSafely(): waiting for 'Result Thread' thread to stop... 20220427 18:00:11.652 TRACE:: BacktestingResultHandler.Run(): Ending Thread... 20220427 18:00:12.023 TRACE:: STATISTICS:: Total Trades 1381 STATISTICS:: Average Win 0.33% STATISTICS:: Average Loss -0.16% STATISTICS:: Compounding Annual Return 1.343% STATISTICS:: Drawdown 12.100% STATISTICS:: Expectancy 0.002 STATISTICS:: Net Profit 0.095% STATISTICS:: Sharpe Ratio -0.191 STATISTICS:: Probabilistic Sharpe Ratio 35.586% STATISTICS:: Loss Rate 67% STATISTICS:: Win Rate 33% STATISTICS:: Profit-Loss Ratio 2.06 STATISTICS:: Alpha 0 STATISTICS:: Beta 0 STATISTICS:: Annual Standard Deviation 0.433 STATISTICS:: Annual Variance 0.187 STATISTICS:: Information Ratio -0.191 STATISTICS:: Tracking Error 0.433 STATISTICS:: Treynor Ratio 0 STATISTICS:: Total Fees $0.00 STATISTICS:: Estimated Strategy Capacity $0 STATISTICS:: Lowest Capacity Asset BTCUSDT.BinanceTradeBarData 2S STATISTICS:: Fitness Score 0.385 STATISTICS:: Kelly Criterion Estimate 0 STATISTICS:: Kelly Criterion Probability Value 0 STATISTICS:: Sortino Ratio -0.392 STATISTICS:: Return Over Maximum Drawdown -1.126 STATISTICS:: Portfolio Turnover 86.107 STATISTICS:: Total Insights Generated 0 STATISTICS:: Total Insights Closed 0 STATISTICS:: Total Insights Analysis Completed 0 STATISTICS:: Long Insight Count 0 STATISTICS:: Short Insight Count 0 STATISTICS:: Long/Short Ratio 100% STATISTICS:: Estimated Monthly Alpha Value $0 STATISTICS:: Total Accumulated Estimated Alpha Value $0 STATISTICS:: Mean Population Estimated Insight Value $0 STATISTICS:: Mean Population Direction 0% STATISTICS:: Mean Population Magnitude 0% STATISTICS:: Rolling Averaged Population Direction 0% STATISTICS:: Rolling Averaged Population Magnitude 0% STATISTICS:: OrderListHash 28043cbe64f6e706c1c2c4aae4e93e64 20220427 18:00:12.024 TRACE:: BacktestingResultHandler.SendAnalysisResult(): Processed final packet 20220427 18:00:12.025 TRACE:: Engine.Run(): Disconnecting from brokerage... 20220427 18:00:12.026 TRACE:: Engine.Run(): Disposing of setup handler... 20220427 18:00:12.027 TRACE:: Engine.Main(): Analysis Completed and Results Posted. Engine.Main(): Analysis Complete. 20220427 18:00:12.030 TRACE:: Engine.Main(): Packet removed from queue: 1600385325 20220427 18:00:12.031 TRACE:: LeanEngineSystemHandlers.Dispose(): start... 20220427 18:00:12.032 TRACE:: LeanEngineSystemHandlers.Dispose(): Disposed of system handlers. 20220427 18:00:12.033 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): start... 20220427 18:00:12.042 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers. 20220427 18:00:12.045 TRACE:: Program.Main(): Exiting Lean...

class LongShortMultipleTickerSingleTechnicalIndicator(QCAlgorithm): def Initialize(self): self.SetStartDate(2022, 2, 1) # Set Start Date self.SetEndDate(2022, 3, 31) # Set End Date self.SetCash(100000) # Set Strategy Cash ## PARAMETERS self.DebugMode = True self.num_go_longshort = 2 self.longs = set() ## UNIVERSE self.tickers = ['ADAUSDT','ALGOUSDT','ATOMUSDT','AVAXUSDT','AXSUSDT','BCHUSDT','BTCUSDT','DOGEUSDT','DOTUSDT','ETHUSDT'] ## DATA LOADING self.symbol_data = {} for ticker in self.tickers: security = self.AddData(type=BinanceTradeBarData, ticker=ticker, resolution=Resolution.Minute) self.symbol_data[ticker] = SymbolData(symbol = security.Symbol) def OnOrderEvent(self, orderEvent): if orderEvent.Status == OrderStatus.Filled: self.Debug(f"Order: {orderEvent.Symbol.Value} - {orderEvent.FillQuantity}") def OnData(self, data) -> None: for ticker in self.tickers: symbol_data_single = self.symbol_data[ticker] symbol_data_single.update(data[ticker].EndTime,data[ticker].Price) uptrends = list(filter(lambda x: x.is_uptrend, self.symbol_data.values())) uptrends.sort(key=lambda x: x.scale, reverse=True) curr_longs = set() for x in uptrends[:self.num_go_longshort]: # self.Log('symbol: ' + str(x.symbol.Value) + ' scale: ' + str(x.scale)) curr_longs.add(x.symbol) removed_symbols = self.longs - curr_longs added_symbols = curr_longs - self.longs for removed in removed_symbols: self.Log(f'Liquidating {removed.Value}') self.Liquidate(removed) for added in added_symbols: self.Log(f"Long\'ing {added.Value}") self.SetHoldings(added, 0.9 / self.num_go_longshort) self.longs = curr_longs class SymbolData(object): def __init__(self, symbol): self.symbol = symbol self.fast = ExponentialMovingAverage(100) self.slow = ExponentialMovingAverage(300) self.is_uptrend = False self.scale = 0 def update(self, time, value): if self.fast.Update(time, value) and self.slow.Update(time, value): fast = self.fast.Current.Value slow = self.slow.Current.Value self.is_uptrend = fast > slow if self.is_uptrend: self.scale = (fast - slow) / ((fast + slow) / 2.0)

... 20220427 18:16:18.519 TRACE:: Log: Liquidating AVAXUSDT Long'ing ATOMUSDT 20220427 18:16:19.121 TRACE:: Debug: Order: ATOMUSDT - -1596.0 Order: ALGOUSDT - 49319.0 20220427 18:16:19.122 TRACE:: Log: Liquidating ATOMUSDT Long'ing ALGOUSDT 20220427 18:16:20.728 TRACE:: Debug: Order: ALGOUSDT - -49319.0 Order: BCHUSDT - 152.0 20220427 18:16:20.728 TRACE:: Log: Liquidating ALGOUSDT Long'ing BCHUSDT 20220427 18:16:22.038 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 831, Sample: 1346, App: 2311, CurrentTimeStepElapsed: 00:00.000 Waiting 1 minute for LEAN to exit gracefully, press Ctrl+C again to force stop 20220427 18:16:23.667 TRACE:: Program.ExitKeyPress(): Lean instance has been cancelled, shutting down safely now 20220427 18:16:23.721 ERROR:: AlgorithmManager.Run(): Algorithm state changed to Stopped at 02/06/2022 09:26:00 20220427 18:16:23.723 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm... 20220427 18:16:23.741 TRACE:: AlgorithmManager.Run(): Stopping algorithm... 20220427 18:16:23.742 TRACE:: Engine.Run(): Exiting Algorithm Manager 20220427 18:16:23.755 TRACE:: FileSystemDataFeed.Exit(): Start. Setting cancellation token... 20220427 18:16:23.767 TRACE:: FileSystemDataFeed.Exit(): Exit Finished. 20220427 18:16:23.768 TRACE:: DefaultAlphaHandler.Exit(): Exiting... 20220427 18:16:23.787 TRACE:: Log: Algorithm Stopped 20220427 18:16:23.788 TRACE:: DefaultAlphaHandler.Exit(): Ended 20220427 18:16:23.788 TRACE:: Debug: Algorithm Id:(1605955370) completed in 182.05 seconds at 0k data points per second. Processing total of 74,651 data points. 20220427 18:16:23.790 TRACE:: BacktestingResultHandler.Exit(): starting... 20220427 18:16:23.791 TRACE:: BacktestingResultHandler.Exit(): Saving logs... 20220427 18:16:23.801 TRACE:: Debug: Your log was successfully created and can be retrieved from: /Results/1605955370-log.txt 20220427 18:16:23.802 TRACE:: StopSafely(): waiting for 'Result Thread' thread to stop... 20220427 18:16:23.802 TRACE:: BacktestingResultHandler.Run(): Ending Thread... 20220427 18:16:24.004 TRACE:: STATISTICS:: Total Trades 186 STATISTICS:: Average Win 0.65% STATISTICS:: Average Loss -0.37% STATISTICS:: Compounding Annual Return 47418.998% STATISTICS:: Drawdown 9.300% STATISTICS:: Expectancy 0.198 STATISTICS:: Net Profit 9.149% STATISTICS:: Sharpe Ratio 180.42 STATISTICS:: Probabilistic Sharpe Ratio 72.307% STATISTICS:: Loss Rate 57% STATISTICS:: Win Rate 43% STATISTICS:: Profit-Loss Ratio 1.76 STATISTICS:: Alpha 0 STATISTICS:: Beta 0 STATISTICS:: Annual Standard Deviation 0.681 STATISTICS:: Annual Variance 0.463 STATISTICS:: Information Ratio 180.42 STATISTICS:: Tracking Error 0.681 STATISTICS:: Treynor Ratio 0 STATISTICS:: Total Fees $0.00 STATISTICS:: Estimated Strategy Capacity $0 STATISTICS:: Lowest Capacity Asset ATOMUSDT.BinanceTradeBarData 2S STATISTICS:: Fitness Score 0.999 STATISTICS:: Kelly Criterion Estimate 0 STATISTICS:: Kelly Criterion Probability Value 0 STATISTICS:: Sortino Ratio 4342.446 STATISTICS:: Return Over Maximum Drawdown 8095.754 STATISTICS:: Portfolio Turnover 14.446 STATISTICS:: Total Insights Generated 0 STATISTICS:: Total Insights Closed 0 STATISTICS:: Total Insights Analysis Completed 0 STATISTICS:: Long Insight Count 0 STATISTICS:: Short Insight Count 0 STATISTICS:: Long/Short Ratio 100% STATISTICS:: Estimated Monthly Alpha Value $0 STATISTICS:: Total Accumulated Estimated Alpha Value $0 STATISTICS:: Mean Population Estimated Insight Value $0 STATISTICS:: Mean Population Direction 0% STATISTICS:: Mean Population Magnitude 0% STATISTICS:: Rolling Averaged Population Direction 0% STATISTICS:: Rolling Averaged Population Magnitude 0% STATISTICS:: OrderListHash 252042ede19cf2b151dfce86c149d68f 20220427 18:16:24.005 TRACE:: BacktestingResultHandler.SendAnalysisResult(): Processed final packet 20220427 18:16:24.007 TRACE:: Engine.Run(): Disconnecting from brokerage... 20220427 18:16:24.008 TRACE:: Engine.Run(): Disposing of setup handler... 20220427 18:16:24.011 TRACE:: Engine.Main(): Analysis Completed and Results Posted. Engine.Main(): Analysis Complete. 20220427 18:16:24.016 TRACE:: Engine.Main(): Packet removed from queue: 1605955370 20220427 18:16:24.018 TRACE:: LeanEngineSystemHandlers.Dispose(): start... 20220427 18:16:24.019 TRACE:: LeanEngineSystemHandlers.Dispose(): Disposed of system handlers. 20220427 18:16:24.021 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): start... 20220427 18:16:24.035 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers. 20220427 18:16:24.043 TRACE:: Program.Main(): Exiting Lean...

class EMAwithCustomLocalData(QCAlgorithmFramework): def Initialize(self): # Set requested data resolution self.UniverseSettings.Resolution = Resolution.Minute self.SetTimeZone("UTC") self.SetStartDate(2022, 2, 2) #Set Start Date self.SetEndDate(2022, 3, 31) #Set End Date # self.SetAccountCurrency("USDT") self.SetCash(100000) #Set Strategy Cash self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin) self.SetWarmUp(50) # tickers = ['ADAUSDT','ALGOUSDT','ATOMUSDT','AVAXUSDT','AXSUSDT','BCHUSDT','BTCUSDT','DOGEUSDT','DOTUSDT','ETHUSDT'] # symbols = [self.AddData(type=BinanceTradeBarData, ticker=ticker, resolution=Resolution.Minute).Symbol for ticker in tickers] symbols = self.AddData(type=BinanceTradeBarData, ticker="BTCUSDT", resolution=Resolution.Minute).Symbol self.Debug(f"symbols: {symbols}") self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) ) self.SetAlpha(EmaCrossAlphaModel(12, 26, Resolution.Minute)) self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) self.SetExecution(ImmediateExecutionModel()) self.SetRiskManagement(NullRiskManagementModel()) class EmaCrossAlphaModel(AlphaModel): '''Alpha model that uses an EMA cross to create insights''' def __init__(self, fastPeriod = 12, slowPeriod = 26, resolution = Resolution.Daily): '''Initializes a new instance of the EmaCrossAlphaModel class Args: fastPeriod: The fast EMA period slowPeriod: The slow EMA period''' self.fastPeriod = fastPeriod self.slowPeriod = slowPeriod self.resolution = resolution self.predictionInterval = Time.Multiply(Extensions.ToTimeSpan(resolution), fastPeriod) self.symbolDataBySymbol = {} resolutionString = Extensions.GetEnumString(resolution, Resolution) self.Name = '{}({},{},{})'.format(self.__class__.__name__, fastPeriod, slowPeriod, resolutionString) def Update(self, algorithm, data): '''Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities Args: algorithm: The algorithm instance data: The new data available Returns: The new insights generated''' insights = [] for symbol, symbolData in self.symbolDataBySymbol.items(): if symbolData.Fast.IsReady and symbolData.Slow.IsReady: if symbolData.FastIsOverSlow: if symbolData.Slow > symbolData.Fast: insights.append(Insight.Price(symbolData.Symbol, self.predictionInterval, InsightDirection.Down)) elif symbolData.SlowIsOverFast: if symbolData.Fast > symbolData.Slow: insights.append(Insight.Price(symbolData.Symbol, self.predictionInterval, InsightDirection.Up)) symbolData.FastIsOverSlow = symbolData.Fast > symbolData.Slow algorithm.Log(f"insights: {insights}") return insights def OnSecuritiesChanged(self, algorithm, changes): '''Event fired each time the we add/remove securities from the data feed Args: algorithm: The algorithm instance that experienced the change in securities changes: The security additions and removals from the algorithm''' for added in changes.AddedSecurities: algorithm.Log(f"Added security: {added}") symbolData = self.symbolDataBySymbol.get(added.Symbol) if symbolData is None: symbolData = SymbolData(added, self.fastPeriod, self.slowPeriod, algorithm, self.resolution) self.symbolDataBySymbol[added.Symbol] = symbolData else: # a security that was already initialized was re-added, reset the indicators symbolData.Fast.Reset() symbolData.Slow.Reset() for removed in changes.RemovedSecurities: algorithm.Log(f"Removed security: {removed}") data = self.symbolDataBySymbol.pop(removed.Symbol, None) if data is not None: # clean up our consolidators data.RemoveConsolidators() class SymbolData: '''Contains data specific to a symbol required by this model''' def __init__(self, security, fastPeriod, slowPeriod, algorithm, resolution): self.Security = security self.Symbol = security.Symbol self.algorithm = algorithm self.FastConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution) self.SlowConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution) algorithm.SubscriptionManager.AddConsolidator(security.Symbol, self.FastConsolidator) algorithm.SubscriptionManager.AddConsolidator(security.Symbol, self.SlowConsolidator) # create fast/slow EMAs self.Fast = ExponentialMovingAverage(security.Symbol, fastPeriod, ExponentialMovingAverage.SmoothingFactorDefault(fastPeriod)) self.Slow = ExponentialMovingAverage(security.Symbol, slowPeriod, ExponentialMovingAverage.SmoothingFactorDefault(slowPeriod)) algorithm.RegisterIndicator(security.Symbol, self.Fast, self.FastConsolidator) algorithm.RegisterIndicator(security.Symbol, self.Slow, self.SlowConsolidator) algorithm.WarmUpIndicator(security.Symbol, self.Fast, resolution) algorithm.WarmUpIndicator(security.Symbol, self.Slow, resolution) # True if the fast is above the slow, otherwise false. # This is used to prevent emitting the same signal repeatedly self.FastIsOverSlow = False def RemoveConsolidators(self): self.algorithm.SubscriptionManager.RemoveConsolidator(self.Security.Symbol, self.FastConsolidator) self.algorithm.SubscriptionManager.RemoveConsolidator(self.Security.Symbol, self.SlowConsolidator) @property def SlowIsOverFast(self): return not self.FastIsOverSlow

←[?1h←=20220427 19:35:51.684 TRACE:: Config.Get(): Configuration key not found. Key: plugin-directory - Using default value: 20220427 19:35:51.715 TRACE:: Composer(): Loading Assemblies from /Lean/Launcher/bin/Debug 20220427 19:35:51.910 TRACE:: Python for .NET Assembly: Python.Runtime, Version=2.0.11.0, Culture=neutral, PublicKeyToken=5000fea6cba702dd 20220427 19:35:51.978 TRACE:: Config.Get(): Configuration key not found. Key: data-directory - Using default value: ../../../Data/ 20220427 19:35:52.008 TRACE:: Config.Get(): Configuration key not found. Key: version-id - Using default value: 20220427 19:35:52.009 TRACE:: Config.Get(): Configuration key not found. Key: cache-location - Using default value: /Lean/Data 20220427 19:35:52.010 TRACE:: Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v2.5.0.0 Mode: DEBUG (64bit) Host: Atakan-SB2 20220427 19:35:52.020 TRACE:: Engine.Main(): Started 7:35 PM 20220427 19:35:52.026 TRACE:: Config.Get(): Configuration key not found. Key: lean-manager-type - Using default value: LocalLeanManager 20220427 19:35:52.069 TRACE:: JobQueue.NextJob(): Selected /LeanCLI/main.py 20220427 19:35:52.231 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-capacity - Using default value: 120 20220427 19:35:52.231 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-time-interval-minutes - Using default value: 1440 20220427 19:35:52.232 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-refill-amount - Using default value: 18 20220427 19:35:52.240 TRACE:: Config.Get(): Configuration key not found. Key: job-organization-id - Using default value: 20220427 19:35:52.242 TRACE:: Config.Get(): Configuration key not found. Key: data-permission-manager - Using default value: DataPermissionManager 20220427 19:35:52.266 TRACE:: AlgorithmManager.CreateTokenBucket(): Initializing LeakyBucket: Capacity: 120 RefillAmount: 18 TimeInterval: 1440 20220427 19:35:52.270 TRACE:: Config.GetValue(): algorithm-manager-time-loop-maximum - Using default value: 20 20220427 19:35:52.298 TRACE:: TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to 71582788 items 20220427 19:35:53.057 TRACE:: Config.GetValue(): algorithm-creation-timeout - Using default value: 90 20220427 19:35:53.067 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... 20220427 19:35:55.828 TRACE:: PythonInitializer.Initialize(): ended 20220427 19:35:55.840 TRACE:: AlgorithmPythonWrapper(): Python version 3.6.8 |Anaconda, Inc.| (default, Dec 30 2018, 01:25:33) [GCC 7.3.0]: Importing python module main 20220427 19:36:04.467 TRACE:: AlgorithmPythonWrapper(): main successfully imported. 20220427 19:36:04.481 TRACE:: AlgorithmPythonWrapper(): Creating IAlgorithm instance. 20220427 19:36:04.516 TRACE:: Config.GetValue(): api-data-update-period - Using default value: 1 20220427 19:36:04.897 TRACE:: Config.GetValue(): mute-python-library-logging - Using default value: True 20220427 19:36:04.940 TRACE:: LocalObjectStore.Initialize(): Storage Root: /Storage/QCAlgorithm. StorageFileCount 100. StorageLimitMB 5 20220427 19:36:04.986 TRACE:: BacktestingSetupHandler.Setup(): Setting up job: UID: 0, PID: 926796063, Version: 2.5.0.0, Source: WebIDE 20220427 19:36:05.005 TRACE:: Config.Get(): Configuration key not found. Key: security-data-feeds - Using default value: 20220427 19:36:05.345 TRACE:: Cash.EnsureCurrencyDataFeed(): Adding BTCBUSD for cash BTC currency feed 20220427 19:36:05.402 TRACE:: Config.GetValue(): data-feed-max-work-weight - Using default value: 400 20220427 19:36:05.403 TRACE:: Config.GetValue(): data-feed-workers-count - Using default value: 8 20220427 19:36:05.404 TRACE:: WeightedWorkScheduler(): will use 8 workers and MaxWorkWeight is 400 20220427 19:36:05.470 TRACE:: Config.GetValue(): show-missing-data-logs - Using default value: False 20220427 19:36:05.513 TRACE:: Failed to assign conversion rates for the following cash: BTC. Attempting to request daily resolution history to resolve conversion rate 20220427 19:36:05.537 TRACE:: BaseSetupHandler.SetupCurrencyConversions(): Symbol Quantity Conversion = Value in USD BUSD: $ 0.00 @ 0.00 = $0 USDC: $ 0.00 @ 1.00 = $0.0 USD: $ 100000.00 @ 1.00 = $100000.0 BTC: ฿ 0.00 @ 0.00 = $0 ------------------------------------------------- CashBook Total Value: $100000.0 20220427 19:36:05.554 TRACE:: SetUp Backtesting: User: 0 ProjectId: 926796063 AlgoId: 1122505664 20220427 19:36:05.556 TRACE:: Dates: Start: 02/02/2022 End: 03/31/2022 Cash: ¤100,000.00 MaximumRuntime: 100.00:00:00 MaxOrders: 2147483647 20220427 19:36:05.569 TRACE:: BacktestingResultHandler(): Sample Period Set: 20.88 20220427 19:36:05.572 TRACE:: Time.TradeableDates(): Security Count: 2 20220427 19:36:05.580 TRACE:: Config.GetValue(): forward-console-messages - Using default value: True 20220427 19:36:05.588 TRACE:: JOB HANDLERS: 20220427 19:36:05.589 TRACE:: DataFeed: QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed 20220427 19:36:05.590 TRACE:: Setup: QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler 20220427 19:36:05.591 TRACE:: RealTime: QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler 20220427 19:36:05.592 TRACE:: Results: QuantConnect.Lean.Engine.Results.BacktestingResultHandler 20220427 19:36:05.593 TRACE:: Transactions: QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler 20220427 19:36:05.594 TRACE:: Alpha: QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler 20220427 19:36:05.594 TRACE:: ObjectStore: QuantConnect.Lean.Engine.Storage.LocalObjectStore 20220427 19:36:05.595 TRACE:: History Provider: QuantConnect.Lean.Engine.HistoricalData.HistoryProviderManager 20220427 19:36:05.635 TRACE:: Debug: Launching analysis for 1122505664 with LEAN Engine v2.5.0.0 20220427 19:36:05.700 TRACE:: Event Name "Daily Sampling", scheduled to run at 2/2/2022 12:00:00 AM (UTC)... 20220427 19:36:05.701 TRACE:: AlgorithmManager.Run(): Begin DataStream - Start: 2/2/2022 12:00:00 AM Stop: 3/31/2022 11:59:59 PM 20220427 19:36:05.764 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BTCBUSD 18N: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute 20220427 19:36:05.765 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BTCUSDT: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute 20220427 19:36:08.195 TRACE:: Debug: symbols: BTCUSDT.BinanceTradeBarData Algorithm warming up... 20220427 19:36:08.196 TRACE:: Log: insights: [] 20220427 19:36:08.198 TRACE:: AlgorithmManager.Stream(): Finished warmup 20220427 19:36:09.700 TRACE:: UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed BTCUSDC,#0,BTCUSDC,Hour,TradeBar,Trade,Adjusted,OpenInterest,Internal 20220427 19:36:10.302 TRACE:: Debug: Algorithm finished warming up. 20220427 19:36:10.304 TRACE:: Log: insights: [] 20220427 19:37:05.628 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 199, Sample: 539, App: 1189, CurrentTimeStepElapsed: 00:00.000 20220427 19:37:05.655 TRACE:: Log: insights: [] 20220427 19:38:05.641 TRACE:: Isolator.ExecuteWithTimeLimit(): Used: 315, Sample: 509, App: 1347, CurrentTimeStepElapsed: 00:00.000 20220427 19:38:05.669 TRACE:: Log: insights: [] 20220427 19:38:06.750 TRACE:: Synchronizer.GetEnumerator(): Exited thread. 20220427 19:38:06.751 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm... 20220427 19:38:06.757 TRACE:: Engine.Run(): Exiting Algorithm Manager 20220427 19:38:06.764 TRACE:: FileSystemDataFeed.Exit(): Start. Setting cancellation token... 20220427 19:38:06.766 TRACE:: FileSystemDataFeed.Exit(): Exit Finished. 20220427 19:38:06.767 TRACE:: DefaultAlphaHandler.Exit(): Exiting... 20220427 19:38:06.778 TRACE:: DefaultAlphaHandler.Exit(): Ended 20220427 19:38:06.779 TRACE:: BacktestingResultHandler.Exit(): starting... 20220427 19:38:06.782 TRACE:: BacktestingResultHandler.Exit(): Saving logs... 20220427 19:38:06.799 TRACE:: Log: insights: [] 20220427 19:38:06.800 TRACE:: Debug: Algorithm Id:(1122505664) completed in 121.16 seconds at 1k data points per second. Processing total of 83,681 data points. 20220427 19:38:07.019 TRACE:: Debug: Your log was successfully created and can be retrieved from: /Results/1122505664-log.txt 20220427 19:38:07.020 TRACE:: StopSafely(): waiting for 'Result Thread' thread to stop... 20220427 19:38:07.020 TRACE:: BacktestingResultHandler.Run(): Ending Thread... 20220427 19:38:07.217 TRACE:: STATISTICS:: Total Trades 0 STATISTICS:: Average Win 0% STATISTICS:: Average Loss 0% STATISTICS:: Compounding Annual Return 0% STATISTICS:: Drawdown 0% STATISTICS:: Expectancy 0 STATISTICS:: Net Profit 0% STATISTICS:: Sharpe Ratio 0 STATISTICS:: Probabilistic Sharpe Ratio 0% STATISTICS:: Loss Rate 0% STATISTICS:: Win Rate 0% STATISTICS:: Profit-Loss Ratio 0 STATISTICS:: Alpha 0 STATISTICS:: Beta 0 STATISTICS:: Annual Standard Deviation 0 STATISTICS:: Annual Variance 0 STATISTICS:: Information Ratio 0 STATISTICS:: Tracking Error 0 STATISTICS:: Treynor Ratio 0 STATISTICS:: Total Fees $0.00 STATISTICS:: Estimated Strategy Capacity $0 STATISTICS:: Lowest Capacity Asset STATISTICS:: Fitness Score 0 STATISTICS:: Kelly Criterion Estimate 0 STATISTICS:: Kelly Criterion Probability Value 0 STATISTICS:: Sortino Ratio 79228162514264337593543950335 STATISTICS:: Return Over Maximum Drawdown 79228162514264337593543950335 STATISTICS:: Portfolio Turnover 0 STATISTICS:: Total Insights Generated 0 STATISTICS:: Total Insights Closed 0 STATISTICS:: Total Insights Analysis Completed 0 STATISTICS:: Long Insight Count 0 STATISTICS:: Short Insight Count 0 STATISTICS:: Long/Short Ratio 100% STATISTICS:: Estimated Monthly Alpha Value $0 STATISTICS:: Total Accumulated Estimated Alpha Value $0 STATISTICS:: Mean Population Estimated Insight Value $0 STATISTICS:: Mean Population Direction 0% STATISTICS:: Mean Population Magnitude 0% STATISTICS:: Rolling Averaged Population Direction 0% STATISTICS:: Rolling Averaged Population Magnitude 0% STATISTICS:: OrderListHash d41d8cd98f00b204e9800998ecf8427e 20220427 19:38:07.218 TRACE:: BacktestingResultHandler.SendAnalysisResult(): Processed final packet 20220427 19:38:07.219 TRACE:: Engine.Run(): Disconnecting from brokerage... 20220427 19:38:07.220 TRACE:: Engine.Run(): Disposing of setup handler... 20220427 19:38:07.223 TRACE:: Engine.Main(): Analysis Completed and Results Posted. Engine.Main(): Analysis Complete. 20220427 19:38:07.225 TRACE:: Engine.Main(): Packet removed from queue: 1122505664 20220427 19:38:07.226 TRACE:: LeanEngineSystemHandlers.Dispose(): start... 20220427 19:38:07.227 TRACE:: LeanEngineSystemHandlers.Dispose(): Disposed of system handlers. 20220427 19:38:07.228 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): start... 20220427 19:38:07.241 TRACE:: LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers. 20220427 19:38:07.245 TRACE:: Program.Main(): Exiting Lean... Successfully ran 'strategies\test_strategy' in the 'backtesting' environment and stored the output in 'strategies\test_strategy\backtests\2022-04-27_12-35-48'

Fred Painchaud

12.3k ,

Nottakumasato

575 ,

Here is the class that inherits from PythonData:

Fred Painchaud following up on the AlgorithmFramework and custom data discrepancy: is there any preprocessing that I can do on the custom data or change something in the configuration to make it work with AlgorithmFramework?

Sorry, I can't load the code and play with it right now.

I'm thinking about some hack which would be to add that line:

coin["SecurityType"] = SecurityType.Crypto

after that line:

coin["Volume"] = float(data[5])

in your custom data class. Worth a try. Maybe it will shadow the real SecurityType which does not point to the proper enum value when you use custom data.

The problem is that custom data is not crypto, equity, or anything else - it is a special case. Thus, when LEAN processes that data, it does not look like a common type of data (equity, etc) and is not treated like common types.

You may need to format your data like normal crypto data is formatted within LEAN, put that formatted data in the data folder, and then use it like it was normal LEAN data. But then, you are more or less on your own.

Thank you Fred Painchaud however after adding the `SecurityType` line to the PythonData inherited class and the results are again empty.

The weird thing is if I use the custom data class in a single ticker & single indicator QCAlgorithm class, it works without any problems

which suggests to me that the custom data class is working when there is a single ticker and within QCAlgorithm but something breaks when there are multiple tickers within a QCAlgorithmFramework.

I will also try multiple ticker in QCAlgorithm shortly and post back.

It was just a test. No luck.

2 different lines of code |→ 2 different behaviors.

So yes, it can work under QCAlgorithm because it handles data differently than QCAlgorithmFramework. The latter could have been designed without custom data in mind.

Did not have time to check that out myself in detail so far in the code.

Does it work with a single ticker under Framework?

Here is a basic multiple ticker algorithm with the same custom data class

So it looks like there is something wrong with QCAlgorithmFramework?

Fred Painchaud will try single ticker under Framework shortly too

Fred Painchaud I tried single ticker (BTCUSDT) within QCAlgorithm Framework (full code and logs at the bottom)

I also noticed two other lines in logs that warrants deeper investigations:

I did not add BTCBUSD as a symbol to this algorithm:

20220427 19:36:05.764 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: BTCBUSD 18N: Start: 2/1/2022 11:10:00 PM End: 2/2/2022 12:00:00 AM Resolution: Minute

I also did not add a benchmark of BTCUSDC:

20220427 19:36:09.700 TRACE:: UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed BTCUSDC,#0,BTCUSDC,Hour,TradeBar,Trade,Adjusted,OpenInterest,Internal

Full code:

Fred Painchaud Seems I forgot to mention it above, but no trades again

Yep, pretty much confirms that you cannot use the Custom Data idiom to trade with the Framework.

Data will need to come from the "front door" instead of the “Custom Data door”. To do it locally, you'll need to buy QC data or format your data into QC's so LEAN uses it like any other data and not the particular way Custom Data was designed.

Sorry.

Fred Painchaud great, nice to confirm this at least 😊

I will try the “format data into QC format” way. I looked at 3 examples from the data that LEAN downloads locally.

gdax

location: data/crypto/gdax/second/btcusd

files: YYYYMMDD_trade.zip

file format: no header. columns: time in milliseconds, open, high, low, close, volume

same format for the minute data of gdax except its location is under minute/btcusd/ instead of second/btcusd/

binance

location: data/crypto/binance/hour/

files: btcusdt_trade.zip

file format: no header. columns: datetime in YYYYMMDD mm:ss format, open, high, low, close, volume

So I should reformat my local files in these ways and put them under

For sub-hour data: data/crypto/{BROKER_NAME}/{BAR_PERIOD}/{TICKER} with
For hour and larger interval data: data/crypto/{BROKER_NAME}/{BAR_PERIOD}/

Couple of questions:

Should the directory naming and data organization convention follow above rules at all times? or can they be relaxed a bit? (e.g. can I put sub-hour data into data/crypto/{BROKER_NAME}/ ?
In terms of the divider for the formatting (sub-hour vs sup-hour), is it on hourly data? Or something less like 5 min bars etc.?

Spoiler alert: you will do it for sure - you're on the right track.

Follow the Data Explorer structure: https://www.quantconnect.com/data/tree .

You can only relax the structure if you edit the source code to let you do so. Else, the structure is more or less hardcoded. The root is a config param.
Not sure I understand. The sub-hour vs sup-hour divider is on hour data, yes. There's no such thing built-in as 5-min bars on disk, or 4-hour, etc. There're ticks, 1-seconds, 1-minutes, 1-hours, 1-days. Other resolutions are consolidated from those.

I see, that seems like a fragile option so will stay with the hardcoded structure from

2. Understood.

One last question (I hope!): After formatting the data and putting them in their respective directories, what is the suggested way of adding that data to the AlgorithmFramework instance? Through `AddData()` or `AddCrypto` (Assuming its a crypto symbol)?

AddData will only work if you pass it, and thus if you define, a custom data class/type. So back to square one. Thus, once you format your data into LEAN, you basically add your data to LEAN. So you will then use AddCrypto.

Fred Painchaud thank you! Will try this reformatting way and open a new thread if it doesn't work 😊

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