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Since documentation and forum discussion goes back several years and QC has changed a lot in the last year - I wanted to confirm that my plan was still feasible?
I plan on hosting my own local LEAN server and would retrieve market data from a third party REST API via python package requests. Is this still possible? Or would I need to use self.Download instead? Instead of using QC's Universe Selection which only works at midnight each day, I would prefer to screen my own basket of stocks during intraday using several API calls to my data vendor, and this would require API calls and if possible - asynchronous API calls using async and aiohttp libraries for best efficiency and speed.
Derek Melchin
Hi CAPOCAPITAL,
Yes, it's possible to use REST API requests to gather data.
To perform universe selection several times intraday, consider using a Scheduled Universe Selection model. It's possible to perform asynchronous API calls to the data vendor, but we recommend using synchronous calls to ensure the data is in place before the algorithm selects the universe.
Best,
Derek Melchin
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CAPOCAPITAL
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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