Remove Securities That Don't Have Current Data by John Radosta

John Radosta INVESTOR

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I'm receiving this in my backtest:

Data for symbol IR has been limited due to numerical precision issues in the factor file. The starting date has been set to 3/9/2020.

Then right after, I'm getting this error:

Runtime Error: KeyNotFoundException : 'IR R735QTJ8XC9X' wasn't found in the TradeBars object, likely because there was no-data at this moment in time and it wasn't possible to fillforward historical data. Please check the data exists before accessing it with data.ContainsKey("IR R735QTJ8XC9X")

The backtest is for 2016-2019, how can I just remove all securities from my universe that do not have data relative to the timeframe of the backtest.

My logic in my OnData function is the following:

if self.IsWarmingUp:

            return 

        

        if data.Count < len(self.universe):

            self.Debug("Not Ready. Getting data...")

            return

    

        self.Debug("Initialized! All data is present.")

        

        

        # Add to and update all the moving averages

        for symbol in self.universe:

            

            if symbol not in self.averages:

                # 1. Call history to get an array of day of longest average of history data

                history = self.History(symbol, self.longAvg, Resolution.Daily)

                

                #2. Adjust SelectionData to pass in the history result

                self.averages[symbol] = SelectionData(history, self.longAvg, self.shortAvg) 



            self.averages[symbol].update(self.Time, tradeBars[symbol].Close)

Basically, I'm calculating moving averages for every stock in my universe and adding it to a dictionary later, just like in the tutorials. However, when I hit that security, it bugs out at me.

Is there a HasData property on these security I can check for?

Update Backtest

John Radosta

Accepted Answer

Update Backtest

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Rahul Chowdhury

39.9k ,

Hi John,

The data received in OnData represents all the data available at that time slice. Sometimes data for a symbol may not be available for a specific time slice.Since you are using trade bars data, you just need to check if trade bar data is available for that symbol at that time slice with

data.Bars.ContainKey(symbol)

Best
Rahul

John Radosta

1.2k ,

Is it not available because the data event has not arrived to the OnData event handler or is it because data is missing for that security? If its the former, how do I let make the algorithm wait for the data event to arrive, I already have:

if self.IsWarmingUp:

  return

Rahul Chowdhury

39.9k ,

Hi John,

It is because the data is missing for that time slice. The data may be available in the next time slice. To wait for the data, simply wait for the next iteration of OnData. We can do this by checking if the data is there with

# Returns True if TradeBar data is present else False

if not data.Bars.ContainKey(symbol):

    return

and doing nothing if the data is not present.

Best
Rahul

John Radosta INVESTOR

Update Backtest

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