Hi there, 

I'm following along with your videos on how to use the ApiDataProvider and have hit a snag. I clearly see the data in MyData - 2015/01/01-2016/01/01 for EURUSD and Forex/FXCM minute data. Just like in the video.

public class BasicTemplateAlgorithm : QCAlgorithm
{
private Symbol _eurusd = QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);

/// <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(2015, 1, 7); //Set Start Date
SetEndDate(2016, 1, 1); //Set End Date
SetCash(100000); //Set Strategy Cash

// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
AddEquity("EURUSD", Resolution.Minute);

// There are other assets with similar methods. See "Selecting Options" etc for more details.
// AddFuture, AddForex, AddCfd, AddOption
}

/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
SetHoldings(_eurusd, 1);
Debug("Purchased Stock");
}
}
}

 

My ApiDataProvider is correctly trying to fetch the data, but it keeps coming up with the error - Unable to remotely retrieve data for path ../../../Data/equity\usa\minute\eurusd\20151231_trade.zip. Please make sure you have the necessary data in your online QuantConnect data library.

 

The only thing I can see that looks wrong to me is _trade and not _quote. The MyData library seems to show the zip file named as _quote. I can't find where to edit this in the code. I found one area for fileDestination in the QuantConnect.ToolBox.QuantQuoteConverter, 

var fileDestination = string.Format("{0}/equity/{1}/{2}/{3}_trade.zip", destinationDirectory, resolution, symbol, date.ToString("yyyyMMdd"));

but editing that didn't have the desired effect (so I reverted it). 

Any ideas what I can do?