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Hi All-
I've noticed adding NASDAQ Datalink custom data using self.AddData for a universe of 50 stocks has slowed my backtests to a crawl. I'm accessing Fred data (short interest) and add this data for each incoming stock in OnSecuritiesChanged. I have a few questions based on what I've learned and seen using this method.
- Should I be removing these data as stocks leave the universe upon rebalancing?
- Does self.AddData import the entire NASDAQ Datalink dataset or only ‘reach out’ to it when called to find the next incoming data?
- If #3 is true, does the slow backtest speed come from this initial download?
- Does this custom data avoid lookahead bias by only sending in data when the day is done (for daily data)?
- Lastly, can custom data only be called in OnData or can it be called in a scheduled event (BeforeMarketClose, etc.)?
Thanks,
Justin
Louis Szeto
Hi Justin
Best
Louis
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Justin E
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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