Void OnData(Slice slice) not triggered

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Void OnData(Slice slice) not triggered

Last comment by - May 2019

Void OnData(Slice slice) not triggered

OnData() not working in QC algo despite successful implementation of IBrokerage and IDataQueueHandler.

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Void OnData(Slice slice) not triggered

Meghdoot dhameliya | meghdoot dhameliya | May 2019

I am new to QC and creating new brokerage I have successfully implemented IBrokerage and IDataQueueHandler
In the algorithm, ondata method does not called,

public override void OnData(Slice slice)

where as contineously getting tick data in

private void OnTradeReceived(Tick trade)

Author

Meghdoot dhameliya

May 2019

Upvote

1 person upvoted this

Douglas Stridsberg INVESTOR

May 2019

Without further details on your code, the custom brokerages and the data you have subscribed to, it's virtually impossible to tell what's wrong.

Upvote

Meghdoot dhameliya INVESTOR

May 2019

Hi Douglas Stridsberg you can find git repository here
https://github.com/meghs91/Alphamatic.git

Upvote

Douglas Stridsberg INVESTOR

May 2019

Hey, sorry, I don't have time to do private bug testing of closed repos and I declined your invitation. If you seek help on forums, you need to (at the very least) be able to provide a minimal example of your code so people can study it and find out what's going on.

You need to look at a working version of LEAN and break at the OnData method to see what is calling it, and work your way backwards through it to compare what is happening in master vs what is happening in your code.

Upvote

Meghdoot dhameliya INVESTOR

May 2019

thanks, Douglas Stridsberg for the tip. here is the gist for brokerage and IDataQueueHandler

Gist Link MyBrokerage.cs

using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Logging;
using QuantConnect.Packets;
using RestSharp;
using KTick = KiteConnect.Tick;
using Tick = QuantConnect.Data.Market.Tick;

namespace QuantConnect.Brokerages.MyBrokerage
{
    public partial class MyBrokerage : Brokerage, IDataQueueHandler
    {
        /// <summary>
        /// The list of ticks received
        /// </summary>
        private readonly List<Tick> _ticks = new List<Tick>();

        private readonly ConcurrentDictionary<string, Symbol> _subscribedSymbols = new ConcurrentDictionary<string, Symbol>();

        #region IDataQueueHandler implementation

        /// <summary>
        /// Get the next ticks from the live trading data queue
        /// </summary>
        /// <returns>IEnumerable list of ticks since the last update.</returns>
        public IEnumerable<BaseData> GetNextTicks()
        {
            lock (_ticks)
            {
                var copy = _ticks.ToArray();
                _ticks.Clear();
                return copy;
            }
        }

        /// <summary>
        /// Adds the specified symbols to the subscription
        /// </summary>
        /// <param name="job">Job we're subscribing for:</param>
        /// <param name="symbols">The symbols to be added keyed by SecurityType</param>
        public void Subscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
        {
            var symbolsToSubscribe = symbols.Where(x => !_subscribedSymbols.ContainsKey(x.Value));

            foreach (var symbol in symbolsToSubscribe.Where(CanSubscribe))
            {
                //FOLLOWING CODE JUST TO SUBSCRIBLE ONLY TCS SPECIFIC SECURITIES FOR TESTING PURPOSE
                Log.Trace($"MyBrokerage.Subscribe(): {symbol}");
                Symbol sym = Symbol.Create("TCS", SecurityType.Equity, Market.USA);
                _subscribedSymbols.TryAdd(sym.Value, symbol);
                ticker.Subscribe(Tokens: new UInt32[] { 2953217 }); // SUBSCRIBE TO BROKER DATA FEED
            }

        }

        /// <summary>
        /// Removes the specified symbols from the subscription
        /// </summary>
        /// <param name="job">Job we're processing.</param>
        /// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
        public void Unsubscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
        {
            var symbolsToUnsubscribe = symbols.Where(x => _subscribedSymbols.ContainsKey(x.Value));

            foreach (var symbol in symbolsToUnsubscribe.Where(CanSubscribe))
            {
                Log.Trace($"MyBrokerage.Unsubscribe(): {symbol}");

                Symbol removed;
                _subscribedSymbols.TryRemove(symbol.Value, out removed);
            }
            ticker.UnSubscribe(symbolsToUnsubscribe.Select((Symbol arg) => UInt32.Parse(arg.Value)).ToArray());

        }

        /// <summary>
        /// Returns true if this brokerage supports the specified symbol
        /// </summary>
        private static bool CanSubscribe(Symbol symbol)
        {
            // ignore unsupported security types
            if (symbol.ID.SecurityType != SecurityType.Equity)
                return false;

            return symbol.Value.ToLower().IndexOf("universe", StringComparison.Ordinal) == -1;
        }

        /// <summary>
        /// Event handler for streaming trade ticks
        /// </summary>
        /// <param name="trade">The data object containing the received tick</param>
        private void OnTradeReceived(KTick trade)
        {
            Symbol symbol = Symbol.Create("TCS", SecurityType.Equity, Market.NSE);

            var time = DateTime.Now;

            // live ticks timestamps must be in exchange time zone
            DateTimeZone exchangeTimeZone;
            if (!_symbolExchangeTimeZones.TryGetValue(key: symbol, value: out exchangeTimeZone))
            {
                exchangeTimeZone = _marketHours.GetExchangeHours(Market.USA, symbol, SecurityType.Equity).TimeZone;
                _symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
            }
            time = time.ConvertFromUtc(exchangeTimeZone);

            var tick = new Tick(System.DateTime.Now, symbol, trade.LastPrice, trade.LastPrice, trade.LastPrice)
            {
                TickType = TickType.Trade,
                Quantity = trade.LastQuantity
            };
            //WE RECEIVED DATA HERE 
            Log.Trace($"Tick : { tick.LastPrice}");
            lock (_ticks)
            {
                _ticks.Add(tick);
            }
        }

        #endregion
        
        #region IBrokerage implementation
                public MyBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string appID, string appSecret, string accessToken, string userID) : base("MyBrokerage")
        {
            MyAPIKey = appID;
            MySecret = appSecret;
            MyAccessToken = accessToken;
            MyUserId = userID;

            kite = new Kite(MyAPIKey, Debug: true);
            kite.SetAccessToken(MyAccessToken);


            _orderProvider = orderProvider;
            _securityProvider = securityProvider;

            _marketHours = MarketHoursDatabase.FromDataFolder();
            
        }
        
        /// <summary>
        /// Connects the client to the broker's remote servers
        /// </summary>
        public override void Connect()
        {
            ticker.OnTick += (TickData) => OnTick(TickData);
        }
        
        //Other stub method implemented
        
        #endregion
    }
}

Upvote

Jared Broad INVESTOR

QuantConnect | May 2019

Cool! For Kite Brokerage? Write to us in the slack channel Meghdoot, we'd be happy to help. Will you contribute the integration back to the open source?

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Upvote

Meghdoot dhameliya INVESTOR

May 2019

Jared Broad Yes, I'm working on Kite Brokerage, definitely love to contribute.

for those facing the same issue, this is due to timezone and data resolution cause the issue

Time resolution changed to .Second from .Tick and

set timezone to local timezone previously it was default "America/New_York"

Upvote

Dennis Howell INVESTOR

September 2013

Hello, Jared & the QC Team. I am a business analyst for a tree fruit producer in the US, primarily doing crop and market analysis for proprietary business data. I've been working on a new web application in C#/ASP.NET/JS in our company for about a year to support our proprietary data. I have no previous trading experience, but I have been studying automated trading lately and would like to backtest a couple of ideas. I really like the QC concept. I've downloaded the QC project from Github, and submitted a couple of test runs to get a feel for the data. I do have a couple of questions, but I'll post those as separate threads. Thanks for the great platform.

Upvote

Jared Broad INVESTOR

QuantConnect | September 2013

Hey @????????????? - Welcome to QC! - 1) Java - Not yet, but python is coming very soon. Agree there are some good libraries to use in Java. C# is very similar syntax wise and has some good libraries. 2) External project uploading - Yes, this is part of our GIT offering which you can see here: (https://www.quantconnect.com/docs/Tutorials/Backtest-Strategies-Via-GIT) 3) Upload external binaries - Yes, this is in alpha testing now and will be released for public beta testing soon. It will work via the GIT system and you'll commit the binaries and data you want alongside your dll. Only caveat is they it must be less than 2MB total.

Upvote

Jared Broad INVESTOR

QuantConnect | September 2013

Hey @Dennis! Welcome! Thanks for your comments. Glad to see you found your way around the GIT integration. We're happy to help so welcome any questions! I highly recommend the book "Inside the Black Box" -- it shows you how to structure a thoughtful, controlled algorithm which will profit in the long run.

Upvote

SamCollins INVESTOR

September 2013

Hey, Sam from Australia. New to all this, keen as mustard, had some trading experience. Looking to get into the automation side of things now.

Upvote

Y! INVESTOR

September 2013

Hello! I am new here, I find the project really interesting. I hope to be able to translate my ideas using QC. I been trying to run "My First Algorithm" Project with no luck. Is there anything I am missing? At the beginning the project was giving 2 errors on the line: SetEndDate(DateTime.Date.AddDays(-1)); So I decided to change it for: SetStartDate(2013, 01, 01); And I was able to compile it and then I click "Simulate" it looks like something is running in the back but I am not able to see the results. What am I doing wrong? Any tip will be much appreciated! Thanks!

Upvote

Y! INVESTOR

September 2013

Nevermind about my issue, I managed to solve it. Looking forward to start coding!

Upvote

Jared Broad INVESTOR

QuantConnect | September 2013

Awesome! Welcome @Y!, @SamCollins. Thanks for the support, we're sorting out live trading now so keep designing and will be able to trade shortly from dedicated high performance, colocated servers :)

Upvote

Simon Thornington INVESTOR

September 2013

Very cool Jared -- I promise I will look at the platform soon, but these cloud-based backtesting tools are just no good for strategy research, I find myself always falling back to MATLAB with local tick data for that. Once I have something closer to capitalization I'll be nagging you all I am sure! Which brokerages are you planning to colocate with?

Upvote

Jared Broad INVESTOR

QuantConnect | September 2013

@Simon -- I agree I think some are more comfortable programming in R/MatLab as a starting point. If you're using daily or even hourly resolution data its not such a big deal. Our sweet spot is anyone using minute or lower data I think where backtesting at home would take hours. We'll make a few tick/minute samples libraries available for research so you can use MatLab until you're ready for a full test. We're working on something now that will hopefully get us into 500 brokerages - but certainly Interactive Brokers will be a nice start :)

Upvote

KrishnenVytelingum INVESTOR

September 2013

Hey guys, I am a quant in risk management, but have always been very interested in algo trading. Looking forward to trying some strategies and discussing with the community! Krishnen from London

Upvote

Erik Smith INVESTOR

October 2013

Hi everyone, My name is Erik. I am a currently high school student interested in algorithmic trading. I have basic knowledge of C++ and an idea of how currency trading works. I hope to learn a lot!

Upvote

Jared Broad INVESTOR

QuantConnect | October 2013

Welcome @KrishnenVytelingum, @Eric! Thanks for joining up guys. Feel free to post any problems to the forum -- we'd be happy to help. We're launching live trading this month :) It will be an exciting month...

Upvote

Adrien Philippe INVESTOR

October 2013

Hi everybody, I'm Adrien and I'm currently undergraduate student. I join this site because I work currently in quantitative finance. I work particularly on the HFT subject. With hopes to exchange soon with you !!

Upvote

Peter Roomer INVESTOR

October 2013

I found your site by mistake. The funny thing is that I was just thinking a few days ago why nobody has made a cloud based trading app. I was thinking Java, but C# is probably a better choice. However, looking at the pricing and considering you don't offer a broker interface yet and no strategy optimization, it seems a little steep. I would happily pay $99 if multiple brokers, data providers and optimization API was included. I could lend a helping hand coding indicators if you want.

Upvote

Jared Broad INVESTOR

QuantConnect | October 2013

Hey @Adrien! Welcome to QC! We provided minute, second and tick data so you could design over any time range. Let us know how we can make it better -- we've only had a few users designing on the tick time scale.

Upvote

Jared Broad INVESTOR

QuantConnect | October 2013

Hey @Peter - You're absolutely right -- the $99 is pricey for whats up now -- but we're working on the live trading and connecting to multiple brokers. Paper trading will be in beta this month, live trading next month. The main reason we put up pricing plans is because we need your help -- we are bootstrapped, funded by ourselves and our supporters. This keeps our incentives clean and makes sure we build what our community wants. The exchanges want $2,000-6,000 per month for live data streams... that is a lot of $99/mo subscriptions... We just finished compiled algorithm support and will send an email about it on Monday, and we just published the community sharing system -- so please! do create indicators and share with the community group!!

Upvote

Peter Roomer INVESTOR

October 2013

Are you planning to add an optimizer? If yes, what are you planning - just exhaustive or also Stochastic like PSO or GA? Perhaps an API?

Upvote

Jared Broad INVESTOR

QuantConnect | October 2013

Yes, our architecture is awesome for optimization (massively parallel nodes) :) We thought about a few different techniques -- uploading a file in parallel to configure the optimization technique, but would prefer if the users can set the optimization technique via a function somehow - with the last values being passed into the function so it can intelligently iterate. If you build this into the open sourced GIT library I'll merge it and add it to the backend sooner (https://github.com/QuantConnect/QCAlgorithm) The whole backtester is built on an API at the moment, its just a little messy. Once we tidy it up we can let people connect with it directly. At the moment the best way to interface remotely is to submit code via GIT (https://www.quantconnect.com/docs/Tutorials/Backtest-Strategies-Via-GIT)

Upvote

Garette Haire INVESTOR

December 2013

Excited about this site. I know nothing about writing code but I do know what I like when trading stocks over the past 30 years. Desiring to learn more! But I must warn everyone, I am the King of the KISS method. Look forward to working with everyone!

Upvote

2 people upvoted this

Paul Lau INVESTOR

December 2013

Hi everyone, I'm Paul, from Los Angeles. I have some some experience in programming, but I still consider myself as newbie in programming. Hope to learn more here

Upvote

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