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Does QuantConnect get the latest day's data from Quandl during live trading?

I tweaked the code posted by MichaelH a bit to make a more generic QuandlReader() class.

It works well. But, I ran into an error message today and it got me thinking. Let's say I run the attached algorithm live for several months, starting on Monday, 1/5/2015. On Tuesday, 1/6/2015, will QuantConnect download Tuesday's price data from Quandl into indicator's one and two (lines 34 and 35 in Main.cs)? And if it does get Tuesday's data, how does the algorithm know about that Tuesday's price data is available?

I have my guess, but I don't want to muddy the water with speculation. :-)

The error I ran into which started me thinking follows:
Error downloading custom data source file, skipped: RemoteFile: Csv https://www.quandl.com/api/v1/datasets/YAHOO/VIX.csv?trim_start=2000-01-01&trim_end=2015-11-21&sort_order=asc&exclude_headers=true Error: The remote server returned an error: (429) Too Many Requests. (Open Stacktrace)
We could not fetch the requested data. This may not be valid data, or a failed download of custom data. Skipping source (https://www.quandl.com/api/v1/datasets/YAHOO/VIX.csv?trim_start=2000-01-01&trim_end=2015-11-21&sort_order=asc&exclude_headers=true). (Open Stacktrace)
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The problem here is hard to spot, but the AddData<T> methods default the Resolution to Minute. The Quandl data is daily data and I think their API stopped serving to your algorithm. Try specifying this instead:AddData(indicatorOne, Resolution.Daily);
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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.


And to your question ( got a little excited about figuring out the bug there :) ):

The code classifies the Quandl source as a 'RemoteFile'. RemoteFile source types will be downloaded based on the resolution of the subscription. Technically, for a daily file, we'll poll Quandl ~30 minutes to see if a new file with data is ready, and when it is ready, we'll download it and send that new data into your algorithm right away. It will come through your OnData method.
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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.


@MichaelH, thanks for the info!

Just to confirm I'm understanding it correctly, it sounds like only the new data will be sent to the OnData method. Is that correct?

And I changed the lines in Main.cs to AddData(indicatorOne, Resolution.Daily);, as per your recommendation. I'm trying to run a back test now, but it's been queuing it up for a while. I'm guessing there might be system maintenance. I'll try it again in the morning. But, your explanation makes sense. Seems like it should work.

Thanks again! :-)
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Correct, we'll only send the new data in to your OnData method..
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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.


Seems I have same problem. I'm using Quandl, daily resolution, widnowized, e.g. window[1] and algo doesn't trade. It was running for a week, so probably not related to warming up.
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I've set up a new live regression test for this to see if I can reproduce the bug.
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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.


Thanks Michael, I'm eager to see if your regression test sheds more light on this.
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Thanks. I've been trying to figure out how to most effectively pull VIX and VXV data and calculate the ratio between the two.
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Quandl CBOE VXV has 2 day delay, does not work in real life.
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Is this true that Quandl has a 2 day delay? I haven't checked.
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@Gene, Quandl refreshes its sources daily, but the sources they get it from determine the delay. e.g. Yahoo is ready next day, but maybe CBOE delays things?
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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.


Update Backtest





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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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