Imported Data Not Working in LiveMode by Stephen Hyer

Stephen Hyer INVESTOR

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I followed the API and documentation and during my backtests I'm able to pull the data I desire (VIX historical file found on CBOE). My code functions fine with the imported data during backtests and I verified that using logs and schedule functions.

I'm using .Rest and If IsLiveMode: in my import class.

Day 1 live I tried using .RemoteFile as this worked fine for the backtests. Further drilldown into the documents suggested using .Rest for live projects so I swapped it. Now on the second day the imported data still doesn't seem to be working with my live project. I read that in daily intervals the data will be imported on a 30-min basis. My first schedule order happens within the first 30-min of the trading day, so could this be the potential problem? I just need to wait a little?

Its paramound to controlling and monitoring my assets which are assigned a risk based margin model. Does anyone have any experience with importing data working for backtests but not for live trading? I would appreciate any insight.

Thank you,

Stephen

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Stephen Hyer

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Stephen Hyer

9.9k Pro ,

Ok so, I was able to get my code to work. It turns out (at least in my experimental discovery) that the InLiveMode stuff interferes with IsMakretOpen("SPY") stuff. The attached code helps me pull VIX data in live mode. I would prefer if I didn't ping the server every 10 minutes, but this works on a complex set of scheduled functions. The OnData and AddData code found in the examples works as intended.

class Vix(PythonData):

    '''New VIX Object'''



    def GetSource(self, config, date, isLiveMode):

        #if isLiveMode:

        return SubscriptionDataSource("http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv", SubscriptionTransportMedium.RemoteFile);



    def Reader(self, config, line, date, isLiveMode):

        

        # New VIX object

        index = Vix()

        index.Symbol = config.Symbol   

        

        #if isLiveMode:

        if not (line.strip() and line[0].isdigit()): return None





        try:

            # Example File Format:

            # Date,       Open       High        Low       Close     Volume      Turnover

            # 1/1/2008  7792.9    7799.9     7722.65    7748.7    116534670    6107.78

            data = line.split(',')

            index.Time = datetime.strptime(data[0], "%m/%d/%Y")

            index.Value = data[4]

            index["Open"] = float(data[1])

            index["High"] = float(data[2])

            index["Low"] = float(data[3])

            index["Close"] = float(data[4])





        except ValueError:

                # Do nothing

                return None



        return index

Stephen Hyer INVESTOR

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