Hi,

I'm trying to import custom data from https://api.gdax.com/products/BTC-USD/Ticker and add it as a REST subscription. I located an algorithm on the community that seems to accomplish this and it also deserializes the JSON data. The project won't compile and I get an error "No overload for 'HourBarHandler' matches delegate 'DataConsolidatedHandler'. Just wondering if anybody could help me out.

 

 


using System;
using System.Globalization;
using Newtonsoft.Json;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect {
public class TestingCustomDataAlgo : QCAlgorithm
{

/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{

SetStartDate(new DateTime(2015, 03, 01));
SetEndDate(2015, 04, 01);

AddData<Bitcoin>("BTC");

//wire up an event to handle the bars
//var consolidator = ResolveConsolidator("BTC", Resolution.Hour);
var consolidator = ResolveConsolidator("BTC", Resolution.Daily);
consolidator.DataConsolidated += HourBarHandler;
SubscriptionManager.AddConsolidator("BTC", consolidator);

}

/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(Bitcoin data)
{
if (!Portfolio.Invested)
{
MarketOrder("BTC", 100);
}
}

private void HourBarHandler(object sender, BaseData consolidated)
{
Console.WriteLine("Consolidated Time: " + consolidated.Time);
}

}


/// <summary>
/// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
/// </summary>
public class Bitcoin : BaseData
{
//Set the defaults:
/// <summary>
/// Open Price
/// </summary>
public decimal Open = 0;

/// <summary>
/// High Price
/// </summary>
public decimal High = 0;

/// <summary>
/// Low Price
/// </summary>
public decimal Low = 0;

/// <summary>
/// Closing Price
/// </summary>
public decimal Close = 0;

/// <summary>
/// Volume in BTC
/// </summary>
public decimal VolumeBTC = 0;

/// <summary>
/// Volume in USD:
/// </summary>
public decimal WeightedPrice = 0;

/// <summary>
/// Default Constructor Required.
/// </summary>
public Bitcoin()
{
Symbol = "BTC";
}

/// <summary>
/// Source URL's of Backtesting and Live Streams:
/// </summary>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
var source = "";

switch (datafeed)
{
//Historical backtesting data:
case DataFeedEndpoint.FileSystem:
case DataFeedEndpoint.Backtesting:
source = "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";
break;

//Live socket for bitcoin prices:
case DataFeedEndpoint.LiveTrading:
//Live refreshing endpoint.
source = "https://api.gdax.com/products/BTC-USD/Ticker";
break;
}

return source;
}

/// <summary>
/// Backtesting &amp; Live Bitcoin Decoder:
/// </summary>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
Bitcoin coin = new Bitcoin();
switch (datafeed)
{
//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
case DataFeedEndpoint.FileSystem:
case DataFeedEndpoint.Backtesting:
try
{
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[0]);
coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
break;

//Example Line Format:
//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
case DataFeedEndpoint.LiveTrading:
try
{
var liveBTC = JsonConvert.DeserializeObject<LiveBitcoin>(line);
coin.Time = DateTime.Now;
coin.Open = liveBTC.Last;
coin.High = liveBTC.High;
coin.Low = liveBTC.Low;
coin.Close = liveBTC.Last;
coin.VolumeBTC = liveBTC.Volume;
coin.WeightedPrice = liveBTC.VWAP;
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, possible error in json decoding */ }
break;
}
return coin;
}
}
/// <summary>
/// Live data structure
/// </summary>
public class LiveBitcoin
{
public int Timestamp = 0;
public decimal Last = 0;
public decimal High = 0;
public decimal Low = 0;
public decimal Bid = 0;
public decimal Ask = 0;
public decimal VWAP = 0;
public decimal Volume = 0;
}
}

 

 

Godbless,

Travis

Author