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Hello - New to QuantConnect strategy building. I have a question about subscribing for Futures. When I do, say, using SetStartDate(2021, 03, 10) does the algo pump data from 09-Mar-2021 5:00PM CST (Chicago Time) or does it pumps data from 10-Mar-2021 00:00AM CST (Chicago Time)? This is crucial since Globex trading hours needs to be taken care in my algo.
Thanks,
Bala
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Bala Venkataraman
Follow Up question. I implemented a daily consolidator for Futures, the consolidation is done from 12:00AM to 11:59:59PM. It should be from 5:00PM CST to 4:00PM CST. Any ideas how to implement this?
I thought I can achieve this using hourly and 23 count consolidator, but this will pose problems when we have short trading days during long weekends and holidays.
Thanks
Bala
Louis Szeto
Hi Bala
For SetStartDate(2021, 03, 10), the data will start to feed on 2021-03-10 00:00:00 EST or 2021-03-10 05:00:00 UTC. Please check on this doc to understand the time in the algorithm. We can set the algorithm's timezone into Chicago time by:
In order to consolidate at a particular time, we need to implement our own Calendar logic. Please check the attached backtest for your reference. Note that the bar in the backtest is from CST 5 pm to the next day's CST 5 pm. It is because the consolidator only receives data start from that time, and consolidates the following 1-day period.
Best
Louis
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.
Bala Venkataraman
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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