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Help with Quandl Futures Data and Indicators

I'm having difficulty using quandl futures data with indicators. I have successfully used Bitcoin quandl data as demonstrated in tutorial (separate bitcoin file).

Do I need a similarly separate file to format the futures data from quandl in a format that can be handled by the indicators? Not sure why the indicators can't work with the quandl data, but the backtest engine can. If someone has some insight conceptually into what is needed, that would be helpful for me
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Hey Reuben -- please see the attached project demonstrating using Quandl data with indicators. Its a little trickier to use Quandl/dynamic data with indicators because we don't know the format of the data. The solution to this is you need to tell us where to get the "value" of the data.

e.g. Imagine trying to create an indicator when we don't know whether its a financial TradeBar with volume, or weather temperatures which don't have volume? How would we make "OBV - On Balance Volume" indicator? ADX indicator requires tradebars - if we only have quandl point values how could we support the ADX? etc..

This is addressed in the "RegisterIndicator" function:var crudeSlowConsolidator = new DynamicDataConsolidator(period: TimeSpan.FromDays(1), isTradeBar: false, hasVolume: false);
RegisterIndicator(_crude, _smaSlow, crudeSlowConsolidator, x => x.Value);


The "x => x.Value" tells us what should be passed into the indicator. For simple indicators (SMA, EMA) this works fine. If an indicator requires tradebars or volume, you'll need to make sure the quandl data appears with headings as "Open, High, Low, Close,Volume"

I'd recommend digging into the indicator system if you plan to do complex things :) Check out our Lean engine tutorial: https://lean.quantconnect.com/docs#topic14.html
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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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