Optional Downloader Data Provider

[Romazes]

Description

We stumbled upon impossible to subscribe on data provider live and historical in the same time.

The code is subscribed on data-provider-live well.

Result

Nowadays, we can use 2 command in the same time without exception. The fix is downloaded packages and create dependency references. Additionaly we have opportunity to combine our live and historical providers in different way, look at example bellow ⬇ we use live provider iexcloud.io and historical polygon.io

 lean live deploy --brokerage "Paper Trading" --data-provider-live IEX --data-provider-historical Polygon ProjectAlgorithmName

• --data-provider-live IEX - iexcloud.io data provider
• --data-provider-historical Polygon - polygon.io data provider

If --data-provider-live doesn't have historical oportunity

For istance:

 lean live deploy --brokerage Bybit --data-provider-live Bybit ProjectAlgorithmName

The Bybit doesn't have historical option like provider that's mean it will use Local provider by default:

Like this

 lean live deploy --brokerage Bybit --data-provider-live Bybit --data-provider-historical Local ProjectAlgorithmName 

Feature (user friendly)

If user subscribe on --data-provider-live without --data-provider-historical then the code is using the smae data-provider-historical like live if it is exsist.

For instance:

 lean live deploy --brokerage "Paper Trading" --data-provider-live IEX ProjectAlgorithmName

The --data-provider-historical IEX uses this part implicitly for users.

 lean live deploy --brokerage "Paper Trading" --data-provider-live IEX --data-provider-historical IEX ProjectAlgorithmName

Testing

Test Algorithm:

public class IEXAlgo : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 1, 1); // Set Start Date
        SetEndDate(2024, 2, 1); // Set Start Date
        SetCash(100_000);             //Set Strategy Cash
        var plug = AddEquity("AAPL", Resolution.Daily, extendedMarketHours: false);
        Log("---------- BEFORE HISTORY ----------");
        var histories = History(plug.Symbol, 10, Resolution.Daily);
        foreach(var history in histories)
        {
            Log($"Time: {history.Time}, Data History: {history}");
        }
        Log("---------- AFTER HISTORY ----------");
    }
    
     public override void OnData(Slice slice)
    {
        if (slice == null) return;

        Log($"Time: {slice.Time}");
        Log($"data.Bars: {string.Join(",", slice.Bars)}");
        Log($"data.QuoteBars: {string.Join(",", slice.QuoteBars)}");
    }
}

First command:

• lean live deploy --brokerage "Paper Trading" --data-provider-live IEX --data-provider-historical Polygon Project

First Result img:

Second command:

• lean live deploy --brokerage "Paper Trading" --data-provider-live IEX Project

Second Result img:

Third command:

• lean live deploy --brokerage "Paper Trading" --data-provider-live IEX --data-provider-historical Local IEXAlgo

Third Result img:

Fourth command:

• lean live deploy --brokerage "Coinbase Advanced Trade" --data-provider-live "Coinbase Advanced Trade" CoinApiAlgo

Fourth img:

Fifth command:

If don't have key in our config.json

• lean live deploy --brokerage "Paper Trading" --data-provider-live IEX --data-provider-historical Polygon IEXAlgo

Fifth img: