How-to-process-survivorship-bias-in-custom-data-provider

You would need to create a DataSetProvider in Visual Studio or some other .NET dev environment.

https://www.wealth-lab.com/Support/ExtensionApi/DataSetProvider

The key points:

- Create a subclass of DataSet (for example, MySqlDataSet).
- Your DataSetProvider will create instance(s) of MySqlDataSet and use them when returning the DataSets property.
- MySqlDataSet should set its ReadOnlySymbols to true, PreferredDataProviderName to the name of your SQL Historical Provider, and ShouldReturnOwnData to true
- MySqlDataSet needs to override and implement the GetHistory method.
- In GetHistory, you'll need to get an instance of the Historical Data Provider (SQL) using the DataProviderFactory.FindDataProvider, once you have the instance, call its GetHistory to get the BarHistory data for the symbol, date range.
- Now that you have the BarHistory, call its AddExecutableRange method. This defines the range of dates that are valid for when this symbol is in the specific index that your dynamic DataSet is representing.

In the future we'll provide a way to create survivorship bias DataSets directly in WL7 by letting you specify the date ranges for each symbol in a user interface in New DataSet Wizard.