Downloading data during backtesting

Based on the information from the QuantConnect forum discussions, there is indeed a limit to the number of times you can use the self.Download method during backtesting. The limit is set to 100 downloads, after which all calls to Download(...) will return an empty string without any logged errors, warnings, or exceptions. This limit does not apply to live trading, where there is no such restriction on the number of calls.

Here is an extract from a forum discussion that confirms this:

When running backtests, all goes well until 100 downloads have been executed. From then on, all calls to Download(...) return an empty string, without any logged errors/warnings/exceptions.

This was mentioned by Uli Weltersbach in October 2020 and confirmed by Derek Melchin from QuantConnect, who also mentioned that they would update the documentation to reflect this information.

For live trading, as per Varad Kabade's response in September 2021, the limit is 20 calls per minute, similar to the web hook notification, and fair usage is applied. It is recommended to keep it around 100 calls, e.g., one call every 5 minutes, to avoid limitation.

If you are experiencing issues with self.Download returning an empty string during backtesting after a certain number of downloads, it is likely due to hitting this limit.

For more information, you can refer to the following forum discussions:

• Limitations of QCAlgorithm.Download()
• Self.download limits