Hi!

 

I'm following this example algo here to import external data : 

 

 

So I've simplified the original algo to just this code here:

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

### <summary>
### Demonstration of using an external custom datasource. LEAN Engine is incredibly flexible and allows you to define your own data source.
### This includes any data source which has a TIME and VALUE. These are the *only* requirements. To demonstrate this we're loading in "Bitcoin" data.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="custom data" />
### <meta name="tag" content="crypto" />
class CustomDataBitcoinAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2011, 9, 13)
        self.SetEndDate(datetime.now().date() - timedelta(1))
        self.SetCash(100000)

        # Define the symbol and "type" of our generic data:
        self.AddData(Bitcoin, "BTC")


    def OnData(self, data):
        if not data.ContainsKey("BTC"): return

        close = data["BTC"].Close

        # If we don't have any weather "SHARES" -- invest"
        if not self.Portfolio.Invested:
            # Weather used as a tradable asset, like stocks, futures etc.
            # It's only OK to use SetHoldings with crypto when using custom data. When trading with built-in crypto data, 
            # use the cashbook. Reference https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateCryptoAlgorithm.py 
            self.SetHoldings("BTC", 1) 
            self.Debug("Buying BTC 'Shares': BTC: {0}".format(close))

        self.Debug("Time: {0} {1}".format(datetime.now(), close))


class Bitcoin(PythonData):
    '''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''

    def GetSource(self, config, date, isLiveMode):
        if isLiveMode:
            return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest)

        #return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip"
        # OR simply return a fixed small data file. Large files will slow down your backtest
        return SubscriptionDataSource("https://www.dropbox.com/s/0m936vz86v9ez8u/forest%20example%20bitcoin%20added%201%20line.csv?dl=1", SubscriptionTransportMedium.RemoteFile)


    def Reader(self, config, line, date, isLiveMode):
        coin = Bitcoin()
        coin.Symbol = config.Symbol

       
        # Example Line Format:
        # Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
        # 2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
        if not (line.strip() and line[0].isdigit()): return None

        try:
            data = line.split(',')

            # If value is zero, return None
            value = data[4]
            if value == 0: return None

            coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
            coin.EndTime = coin.Time + timedelta(days=1)
            #coin.Value = value
            #coin["Open"] = float(data[1])
            #coin["High"] = float(data[2])
            #coin["Low"] = float(data[3])
            coin["Close"] = float(data[4])
            #coin["VolumeBTC"] = float(data[5])
            #coin["VolumeUSD"] = float(data[6])
            #coin["WeightedPrice"] = float(data[7])
            return coin

        except ValueError:
            # Do nothing, possible error in json decoding
            return