Hello everyone. I'm excited to be part of LEAN. It's definitely a huge and semi-intimidating project to just dive into. Having said that I kind of understand how the data engine works. I am battling getting up and running with Visual Studio as I prefer the real time intellisense and compiletime error reporting. I put together some code to pull GDAX historical data and then output it to the syntactically correct csv format. I'm trying to run a test algo against BTCUSD data for the last year; however, when I run it I get a CMD error per each "....datetime_trade.zip" file that I am reading from.

 

EG I'm reading from ....20180212_trade.zip and as a result I get an error for ....20180212_quote.zip. I've checked some of the sample algos with the provided data and do not see any "_quote" data. I'm assuming my alog implicitly needs it for something. Can someone point me into the right direction in regards to this data, what it is needed for, and how I can go about figuring out how to generate it?

 

 

As a side note: I have also noticed my lean launcher no longer shows a local chart after my algo runs... Not sure what is causing this.

 

 public class TestAlgo : 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(2018, 1, 1);  //Set Start Date
            SetEndDate(2018, 6, 1);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            AddCrypto("BTCUSD", Resolution.Minute, Market.GDAX);
        }

        // Accessing requested data
        public override void OnData(Slice data)
        {
            //via a tradebar dictionary (symbol - bar)
       
        }