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Hi all!
Consolidators works well for “most” X hours or Y minutes . But when trying weird ones like 9 or 17 (pictured), seems the self.Time of the first consolidator is undetermined. I was expecting a consolidated 17 minutes to be 9:47 if starting from 9:30. Or 9:17, 9:34, or 9:51 if starting from 9:00.
Any ideas? Thanks in advance.
17minute consolidator timedelta
9:40 start does not make sense…
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Derek Melchin
Hi Postbio,
If we use a time period consolidator based on a timedelta, the consolidation periods start from the beginning of the day (midnight). For more information, see Time Period Consolidators.
Best,
Derek Melchin
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.
Postbio
Hi Derek,
Thanks!
In that case, why doesn’t the example above divide by 17?
If starting at midnight, I am then expecting 9*60 + 40 (or 9*60 + 39 if counted to beginning of new bar) to have no remainder when dividing by 17. Neither is true.
Only thing that makes sense is that some minute bars may not exist and thus are not consolidated. In which case, the 15 minute bars or other more standard bars that I verified were working should not work either.
Not a huge deal, just trying to catch edge cases and test my thinking.
Louis Szeto
Hi Postbio
The first bar was very dependent on whether the stock was liquid or not. If the first trade data was received at 09:40 rather than 09:31, it would formed your case. You may consider a similar implementation like “CalendarInfo Periods” section in Time Period Consolidators docs to explicitly set the first bar time.
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.
Postbio
Hi Louis,
OK, understood.
So consolidation is “relative” to the first bar, even though time starts from the beginning of the day (midnight).
My feature request would be to start relative to midnight or market open, by default, wit the ability to specify the exact arbitrary start too. Otherwise consolidators will start relative to the first bar, which is unknown for arbitrary tickers and days looking back historically.
Kevin
Derek Melchin
Hi Postbio,
The time period consolidators should start at midnight, but there seems to be a bug with them. We created GitHub Issue #6624 to address this.
To make the consolidator use custom start and end times, create a consolidator with a custom CalendarInfo period.
Best,
Derek Melchin
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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.
Postbio
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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