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Is there a way to programmatically catch History requests when the start date is adjusted?
Use case:
Create a Universe using CoarseSelection that returns a set of symbols. This is followed by a History request to support warming up analytic indicators. The CoarseSelection includes symbols that do not have data for the full warmup period. The symbols affected will log the information (e.g. 2021-01-01 00:00:00 [SNOW, 9/15/2020]).
I want to get a programmatic event when the full history period is not available. Is there a way to do that?
A secondary issue, I would like to suppress the logfile symbol warning since it gets quite verbose and makes the meaningful information hard to see.
Varad Kabade
Hi Steve Baunach,
I want to get a programmatic event when the full history period is not available. Is there a way to do that?
To avoid the above issue, we can use the ID.Date property of the Symbol object, for equities this is the first date the security traded. Technically speaking, in LEAN, this is the first date mentioned in the map_files and request Historical data accordingly.
A secondary issue, I would like to suppress the logfile symbol warning since it gets quite verbose and makes the meaningful information hard to see.
We've opened a GitHub Issue to have the problem resolved. Subscribe to our progress here:
NumericalPrecisionLimited Warning Overload
Best,
Varad Kabade
Steve Baunach
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