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Question/Suggestion about Warmup process

Hi QC team,

As you know I have been working on a code that goes through a lot of data before (and during) the execution of the algorithm and I have been dealing with the timeout issue which makes it hard to get an accurate result.

Now my question is, is there any method that we can use after Initialize and prior to OnData? I understand Initialize is currently taking care anything that happens before OnData but then there is a 5 minutes time limitation on this method that makes the warmup difficult if you are dealing with highest resolutions (e.g. Second) that pulls a lot of data. It would be nice to have a dedicated method to not only let the developers have more calculations but also to organize the workflow a little better and make it more readable.

 

For instance:

 

Initialize()

  • Add securities
  • Set cash
  • Set up broker configuration (cost, etc.)
  • Set up indicators
  • Set up warmup period

 

Warmup()

  • Similar to OnData but using historical data - gets called on every new bar in the history
  • Feed the indicators with data

 

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Hi, although I also have a habit of posting suggestions here, if you want developers to be more likely to pay attention, post your suggestions here:

https://github.com/QuantConnect/Lean/issues

 

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