Importing Data

To receive your custom data in the OnData method, create a custom type and then create a data subscription. The custom data type tells LEAN where to get your data and how to read it.

All custom data types must extend the BaseDataPythonData class and override the GetSource and Reader methods

public class MyCustomDataType : BaseData
{
    public override DateTime EndTime { get; set; }
    public decimal Property1 { get; set; } = 0;

    public override SubscriptionDataSource GetSource(
        SubscriptionDataConfig config,
        DateTime date,
        bool isLive)
    {
        return new SubscriptionDataSource("<sourceURL>", SubscriptionTransportMedium.RemoteFile);
    }

    public override BaseData Reader(
        SubscriptionDataConfig config,
        string line,
        DateTime date,
        bool isLive)
    {
        if (string.IsNullOrWhiteSpace(line.Trim()) || char.IsDigit(line[0]))
        {
            return null;
        }

        var data = line.Split(',');
        return new MyCustomDataType()
        {
            Time = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture),
            EndTime = Time.AddDays(1),
            Symbol = config.Symbol,
            Value = data[1].IfNotNullOrEmpty(
                s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)),
            Property1 = data[2].IfNotNullOrEmpty(
                s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture))
        };
    }
}

class MyCustomDataType(PythonData):
    def GetSource(self,
         config: SubscriptionDataConfig,
         date: datetime,
         isLive: bool) -> SubscriptionDataSource:
        return SubscriptionDataSource("<sourceURL>", SubscriptionTransportMedium.RemoteFile)

    def Reader(self,
         config: SubscriptionDataConfig,
         line: str,
         date: datetime,
         isLive: bool) -> BaseData:

         if not (line.strip() and line[0].isdigit()):
            return None

         data = line.split(',')

        custom = MyCustomDataType()
        custom.Time = datetime.strptime(data[0], '%Y%m%d')
        custom.EndTime = custom.Time + timedelta(1)
        custom.Value = float(data[1])
        custom["Property1"] = float(data[2])
        return custom

For more information about custom data types, see Streaming Data.

The Download method downloads the content served from a local file or URL and then returns it as a string.

var content = Download("<filePathOrURL>");

content = self.Download("<filePathOrURL>")

For more information about bulk downloads, see Bulk Downloads.

The most common remote file providers to use are Dropbox, GitHub, and Google Sheets.

Dropbox

If you store your custom data in Dropbox, you need to create a link to the file and add ?dl=1 to the end of the file URL. To create file links, see How to share files or folders in the Dropbox documentation. The ?dl=1 parameter lets you download the direct file link, not the HTML page of the file.

GitHub

If you store your custom data in GitHub, you can use public or private repositories. When you download the data, use the raw file (for example, https://raw.githubusercontent.com/<organization>/<repo>/<path>). For instructions on accessing the raw file, see Viewing or copying the raw file content in the GitHub documentation.

Google Sheets

If you store your custom data in Google Sheets, you need to create a link to the file. To create file links, see Make Google Docs, Sheets, Slides & Forms public in the Google Docs documentation. Choose the CSV format to find /pub?gid={SHEET_ID}&single=true&output=csv parameter on the end of the link. Google Sheets don't support exporting data in JSON format.

The following table shows the number of files you can download during a single backtest or Research Environment session in QuantConnect Cloud:

Each file can be up to 200 MB in size and have a file name up to 200 characters long.

If you need to import more files than your quota allows, save your custom data files in the Object Store and load them from there.

We do not impose a rate limit on file downloads but often external providers do. Dropbox caps download speeds to 10 kb/s after 3-4 download requests. To ensure your algorithms run fast, only use a small number of small custom data files.

In cloud algorithms, the download methods have a 10-second timeout period. If the methods don't download the data within 10 seconds, LEAN throws an error.