Hello,
I've been playing around with scheduled events and consolidator in my effort to create a strategy that mainly relies on daily indicators, but executes on minute timeframe.
I've noticed that the “open” scheduler (runs daily 1 minute after market open) seems to be 24hours “too late”. I would expect the window to contain daily candles from the past two days. So at market open on 26th may 2021 my window of daily bars would contain dailies from 25th may 2021 00:00 and 26th may 2021 00:00.
I've attached a minimal example, where you'll notice logs like
2021-05-12 09:31:00 : ##### Open 2021-05-12 09:31:00
2021-05-12 15:59:00 : ##### Close 2021-05-12 15:59:00
2021-05-13 09:31:00 : ##### Open 2021-05-13 09:31:00
2021-05-13 09:31:00 : 2021-05-13 09:31:00: Open@407.74
2021-05-13 09:31:00 : D-1 2021-05-11 00:00:00 - 2021-05-12 00:00:00: O: 413.12, H: 415.27, L: 410.06, C: 414.21, V: 107657577.0
2021-05-13 09:31:00 : D-2 2021-05-10 00:00:00 - 2021-05-11 00:00:00: O: 422.55, H: 422.73, L: 417.81, C: 417.94, V: 73591422.0
In this particular example I would expect the log “2021-05-13 09:31:00: Open@407.74” to say “2021-05-12 09:31:00: Open@407.74”
Any help would be greatly appreciated.
Varad Kabade
Hi Daniel Andersen,
Currently, Consolidators/Indicators are not updated before Scheduled Events are triggered. We have raised a GitHub issue; you can see the update here . Till then, we suggest setting the time rules to 2 minutes after the market open(9.32) to resolve the issue. See the attached backtest for reference
Best,
Varad Kabade
Daniel Andersen
Hi Varad
Thank you for clarifying. Will await a fix for the issue.
Daniel Andersen
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