Requesting historical data from Lean in python - Fatal Python error: deallocating None by Dmitry Kovalevskiy

Dmitry Kovalevskiy

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I was trying to understand how BasicTemplateFuturesHistoryAlgorithm.py works - when I use it, it breaks when I try to request more than 12*60 + 30 minutes (it works when I request 12 hours and 30 minutes and breaks when I request 12 hours and 35 minutes). I get the following error Fatal Python error: deallocating None

The only changes I've made was increasing the window size from 10 minutes to 12.5 hours.

Lean comes with a week of data (2013,10,7) - (2013,10,11), so if I request a historical data on October, 10th I should get at least 2-3 days of historical data.

Same BasicTemplateFuturesHistoryAlgorithm.cs works ok in CSharp.

I wonder if I'm using futures history wrongly or there is some problem in QC python implementation.

Help is much appreciated as I'm a little stuck here.

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Dmitry Kovalevskiy

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Jared Broad

Pro ,

Hey Dmitry it sounds like an out of ram error. Deallocation is releasing a variable normally during a garbage collection. If there was an error in GC its likely just a symptom of "out of ram" in general. If you can share an example with support or here we can help further.

Dmitry Kovalevskiy

168 Pro ,

Hey Jared, thank you for the prompt answer.

I've attached the example algorithm - which is the exact copy of BasicTemplateFuturesHistoryAlgorithm.py except that I request 755 bars of minute history, not 10 bars as in the example.

This code works perfectly fine in quantconnect online, but fails when I try to run it locally in Lean. Lean comes with a week of futures minute bars, so it should be able to give me 755 minute bars and more. I'm running Lean on Windows 10 with VS15 and Anaconda Python 3.6.5,

I also tried the same algo in C# and it works OK when I request 755 minute bars or more history.

Dmitry Kovalevskiy

168 Pro ,

the BasicTemplateFuturesHistoryAlgorithm

Jared Broad

Pro ,

If running in LEAN it'll likely be an issue with your local data provider // IB History Provider etc? You'll need to look into the limitations of whatever provider you are using.

Dmitry Kovalevskiy

168 Pro ,

Jared, I've been using the sample data which comes with Lean on Github, so it shouldn't be the issue with my data provider. Lean comes with a week of futures minute bars, so I should be able to request two days of history.

Alexandre Catarino

Pro ,

Hi Dmitry Kovalevskiy, I couldn't reproduce the issue locally with your algorithm locally.
Could you please verify this is still an issue?

Dmitry Kovalevskiy

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