Custom Data Not Delivering

The provided corrected code still contains issues related to undefined modules or classes. To fix these problems, please ensure you import the relevant modules at the top of your script. Specifically, import datetime, xml.etree.ElementTree as ET, and any other necessary modules like json if you're using them in another part of your implementation.

Here's how you can do it:

import datetime
import xml.etree.ElementTree as ET
class FredM2Data(BaseData):
    def __init__(self):
        self.Symbol = None
        self.value = 0.0
        self.Time = None
    def get_source(self, config, date, isLiveMode):
        api_key = "f156cff53e458a5f18a8f421ebb944c1"
        url = f"https://api.stlouisfed.org/fred/series/observations?series_id=M2SL&api_key={api_key}&file_type=xml"
        return SubscriptionDataSource(url, SubscriptionTransportMedium.REMOTE_FILE)
    def reader(self, config, line, date, isLiveMode):
        if line is None or line == "":
            return None
        data = FredM2Data()
        data.Symbol = config.Symbol
        try:
            root = ET.fromstring(line)
            observations = root.findall(".//observation")
            closest_observation = None
            for obs in observations:
                obs_date = datetime.strptime(obs.get('date'), "%Y-%m-%d")
                if obs_date > date:
                    continue
                if closest_observation is None or obs_date > closest_observation[0]:
                    closest_observation = (obs_date, obs)
            if closest_observation:
                value_str = closest_observation[1].get('value')
                if value_str != ".":
                    data.value = float(value_str)
                    data.Time = closest_observation[0]
                    return data
        except ET.parse_error as e:
            print(f"Error parsing FRED M2 data: {e}")
        return None

Ensure to replace datetime.strptime and other uses of datetime appropriately, importing datetime correctly, and handle ParseError from ET.

Sources: US Federal Reserve (FRED) - QuantConnect.com), Defining Data Models - QuantConnect.com, Alternative Data - QuantConnect.com