trophy

Long Only, ETF Alpha Streams Competition with $27,500 Prize Pool

Back

Market Hours with Custom Data always set to OpenAllDay, can we change that?

Hi,

I fetch custom data from providers, it works, but right now the custom data subscription is always set to OpenAllDay. I want to set the subscription to lookup data based on market hours database.

I've created a new market and updated market hours database, but Lean is ignoring that. Why would lean ignore that? Is it because the security is of type SecurityType.Base?

My database hours, was enriched  like this:

"Base-volumedata-[*]": {
      "dataTimeZone": "UTC",
      "exchangeTimeZone": "Australia/Sydney",
      "sunday": [
        {
          "start": "17:10:00",
          "end": "1.00:00:00",
          "state": "market"
        }
      ],
      "monday": [
        {
          "start": "00:00:00",
          "end": "08:00:00",
          "state": "market"
        },
        {
          "start": "09:50:00",
          "end": "16:30:00",
          "state": "market"
        },
        {
          "start": "17:10:00",
          "end": "1.00:00:00",
          "state": "market"
        }
      ],
      "tuesday": [
        {
          "start": "00:00:00",
          "end": "08:00:00",
          "state": "market"
        },
        {
          "start": "09:50:00",
          "end": "16:30:00",
          "state": "market"
        },
        {
          "start": "17:10:00",
          "end": "1.00:00:00",
          "state": "market"
        }
      ],
      "wednesday": [
        {
          "start": "00:00:00",
          "end": "08:00:00",
          "state": "market"
        },
        {
          "start": "09:50:00",
          "end": "16:30:00",
          "state": "market"
        },
        {
          "start": "17:10:00",
          "end": "1.00:00:00",
          "state": "market"
        }
      ],
      "thursday": [
        {
          "start": "00:00:00",
          "end": "08:00:00",
          "state": "market"
        },
        {
          "start": "09:50:00",
          "end": "16:30:00",
          "state": "market"
        },
        {
          "start": "17:10:00",
          "end": "1.00:00:00",
          "state": "market"
        }
      ],
      "friday": [
        {
          "start": "00:00:00",
          "end": "08:00:00",
          "state": "market"
        },
        {
          "start": "09:50:00",
          "end": "16:30:00",
          "state": "market"
        }
      ],
      ...

 

Update Backtest







0

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.


never mind, it works. It was a typo in the market name. 

0

Update Backtest





0

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.


Loading...

This discussion is closed