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Hi,
I am looking to load custom data from a local sqlite database into the local installation of LEAN open source. I have looked at the custom data documentation which explains how to load OHLCV prices from a url but there's no mention of SQL or sqlite database. Could anyone please indicate how this can be achieved. I have hourly, daily data in Sqlite and would like to feed it in standard format to LEAN engine.
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Hi,
The QuantConnect Engineering Team hasn't tried to implement a SQL data source, since it's not our use case. Consequently, we don't have a tutorial on how to implement a data provider at the moment.
The most common usages of the custom data feature imply transferring files over the internet and reading json from a webpage.
For the SQL Data Provider implementation, you will need to create a class that implements IDataProvider. This was briefly discussed in this GitHub issue.
Good luck,
Alex
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