I'm importing custom data but in QC not matching with the source data, I have set data normalization to Raw still not getting accurate data, am I missing something?
security = AddData<CustomData>(symbol, Resolution.Minute,false);
//I tried both ways
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objSecurity.Subscriptions.SetDataNormalizationMode(DataNormalizationMode.Raw);
Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.Raw); 
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Please attach a demonstration algorithm which repeats the issue
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.
Jared Broad I am just printing Custom data to console
BacktestingData.cs
3
using System;
using QuantConnect.Data;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.CSharp
{
public class BacktestingData : QCAlgorithm
{
string symbol = "HAVELLS";
Security security;
private MovingAverageConvergenceDivergence _macd;
public override void Initialize()
{
SetStartDate(2019, 7, 25);
SetEndDate(2019, 7, 26);
//SetTimeZone("Asia/Kolkata");
security = AddData<CustomData>(symbol, Resolution.Minute,false);
security.Subscriptions.SetDataNormalizationMode(DataNormalizationMode.Raw);
_macd = MACD(security.Symbol, 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute);
}
public override void OnData(Slice slice)
{
if (!_macd.IsReady) { return; }
Debug($"{Time} | {symbol}: O:{Securities[symbol].Open} H:{Securities[symbol].High} L:{Securities[symbol].Low} C: {Securities[symbol].Close}");
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
base.OnOrderEvent(orderEvent);
}
}
}
CustomData.cs
using QuantConnect.Data;
using System;
using System.Globalization;
namespace QuantConnect.Algorithm.CSharp
{
public class CustomData : BaseData
{
/// <summary>
/// Opening Price
/// </summary>
public decimal Open;
/// <summary>
/// High Price
/// </summary>
public decimal High;
/// <summary>
/// Low Price
/// </summary>
public decimal Low;
/// <summary>
/// Closing Price
/// </summary>
public decimal Close;
/// <summary>
/// Volume
/// </summary>
public decimal Volume;
/// <summary>
/// Return the URL string source of the file. This will be converted to a stream
/// </summary>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
return new SubscriptionDataSource($"https://www.dropbox.com/s/j98rg1hp903l3a8/SampleData.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
//New Nifty object
var index = new CustomData();
try
{
//Example File Format:
//Date, Time Open High Low Close Volume Turnover
//19-Jul-2019 09:15:00 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
var data = line.Split(',');
var strDate = data[0] + " " + data[1];
index.Time = DateTime.Parse(strDate, CultureInfo.InvariantCulture);
index.Open = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
index.High = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
index.Low = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
index.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
index.Symbol = config.Symbol.Value;
index.Value = index.Close;
}
catch (Exception e)
{
Console.WriteLine("ERROR: " + e.ToString());
}
return index;
}
}
}
Hi Meghdoot,
Thank you for posting this issue. Actually, the imported Custom Data does match with the source data in your example. The problem lies in the fact that we should use slice[symbol] rather than Securities[symbol], since Securities[symbol] will only keep Close data while slice[symbol] keeps Open, High, Low, and Close. Please see the Log in the adjusted backtest, and you will find the imported data is exactly the same as source data.
Thank you for your example again, since it verifies that the method to import Custom Data in QC is totally correct! We look forward to your reply, thanks!
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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