Hello Everyone,
I've been doing research on getting historical Tiingo data into quantconnect. I understand that quantconnect doesn't have the History() implementation for Tiingo, and it doesn't look like we can directly access the Tiingo websocket API to make the request directly to Tiingo. I've looked at using a rolling window or other methods of storing data in a backtest to create the history, but that doesn't help with warming up custom indicators for live trading. Has anyone worked out a solution to getting this historical data into live trading?
I need historical mutual fund data for this algo. Quandl doesn't seem to have the right tickers, and while Tiingo has the data and the implementation this history problem is giving me trouble. Help is much appreciated.
Link Liang
Hi JD820,
We do support history on custom data. However, Tiingo isn't fully implemented yet. We are in talks and will hopefully integrate their data soon!
JD820
I forgot I put this post up. I ended up using a workaround, which may be partially documented elsewhere.
I used the following to download the data:
source = 'https://api.tiingo.com/tiingo/daily/'+ self.targetSymbol +'/prices?startDate=' + startDate + '&endDate=' + endDate + '1&format=json&token='+self.apiKey+'';
response = self.Download(source)
self.hist = pd.read_json(response)
Then I formatted that data and looped through it manually updating indicators and such. Its pretty simple and gets the job done in some circumstances.
JD820
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