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Andrzej Fudala INVESTOR

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Hello,

during live implementation of my algorithm I'm trying to get history of last 300000 SPY trade bars:

self.History(["SPY"], 300000, Resolution.Minute).loc["SPY"]

I've got following error:

The history request took too long to process. History requests have a 20 second timeout.

I've checked it more precisely and 20s time frame is enough only to get 150000 trade bars. I am blocked and I think the best would be to somehow make time limit dependent on the history length request. We're going more and more in the machine learning applications, so we need to access quite big data sets.

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Andrzej Fudala

Accepted Answer

Update Backtest

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Andrzej Fudala

1.1k ,

If somebody is interested - below potential solution for minute resolution which splits the request.

self.splitted_history_request(self.stock, 300000, 100000)



def splitted_history_request(self, stock, periods, single_request_period):

        security = self.Securities[stock]

        dates = []

        dates.append(Time.GetStartTimeForTradeBars(security.Exchange.Hours, self.UtcTime, Time.OneMinute, periods, security.IsExtendedMarketHours))

        for i in reversed(range(periods / single_request_period)):

            splitted_periods = (i + 1) * single_request_period

            if splitted_periods != periods:

                dates.append(Time.GetStartTimeForTradeBars(security.Exchange.Hours, self.UtcTime, Time.OneMinute, splitted_periods, security.IsExtendedMarketHours))

        dates.append(self.UtcTime)

        

        hist = []

        for i in range(len(dates[:-1])):

            hist.append(self.History([stock.Value], dates[i], dates[i+1], Resolution.Minute).loc[stock.Value])

        hist = pd.concat(hist)

        return dates

Dan Whitnable

1.5k ,

Agreed. It would be helpful to have an efficient History method. I'm sure the QC folks are going to mention RollingWindows, however there are two issues with that approach. First, it doesn't work easily with a dynamic universe selection. Second, RollingsWindows are not updated for stock splits in live trading (ie previous entries in the window are not adjusted for a current split). The ability to fetch historical data is a must. I would suggest that a large portion of algorithms don't need 'real time' historicaal data. Fetching data could occur overnight or have a long timeout during trading hours.

Andrzej Fudala INVESTOR

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