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Johnny Cash INVESTOR

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Hi,

I would like to import some data for ICE futures, which are not supported by QC at the moment. I read how to import data on lean website , but I it is no clear to me how to load the data into a future object, in particular how can the multiplier be set ?

I looked at the future class source code , but I dont see any attribute for the multiplier, so it is not clear how QC is accessing this information, which is required to properly back-test future strategies. According to this link there was no support for custom data import, apparently not just for futures. Is the situation changed? This question is general, not just for futures.

Thanks

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Johnny Cash

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Johnny Cash

1.2k Pro ,

After digging a bit in the class documentation, I found this , so it a property inherited from the security class.

The addfuture constructor is not taking this property object as an argument. I checked some codes importing custom data using future objects, but they did not set the contractmultiplier, so I am quite confused.

In this library strategy code for example, data is imported using adddata, and the contract multiplier is not set anywhere. How can this data be used to backtest a future strategy if the multiplier is unknown to QC? Adddata returns a security object, so it should be possible to set it, but it is not done.

Note that I am not interested in quandl data, I have my own local custum csv data files , I have a general question about how to properly import future data, setting correctly the contractmultipler property inherited from the security class, which I think QC uses to correctly compute P&L.

By the way, the quandl data import implementation is not compatible with SCF data, which is using tables, a data format/call different from the one assumed by the quandldata class, which is using https://www.quandl.com/api/v3/datasets/{config.Symbol.Value}.csv?order=asc&api_key={_authCode}.

I do not really care about this, since I use other local data, but I just mention it here, since SCF is the only updated futures data on quandl, after wiki has been discontinued, and it includes several markets not served by QC, but available with different brokers interfaced with QC.

Varad Kabade

31.1k Pro ,

Hi Johnny,
Please go through the following thread as a starting point for the above implementation. We also recommend going through the following docs on importing custom data.
Best,
Varad Kabade

Johnny Cash INVESTOR

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