Imported CustomData in QuantConnect not matched with source data by Meghdoot dhameliya

Meghdoot dhameliya

| Reward Discussion

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

objSecurity.Subscriptions.SetDataNormalizationMode(DataNormalizationMode.Raw);



Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.Raw);

Update Backtest

Meghdoot dhameliya

Accepted Answer

Update Backtest

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Jared Broad

Please attach a demonstration algorithm which repeats the issue

Meghdoot dhameliya

149 ,

Jared Broad I am just printing Custom data to console
BacktestingData.cs

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;

        }

    }

}

Daniel Chen

STAFF ,

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!

Meghdoot dhameliya

Update Backtest

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