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Hello! I was trying to setup a daily consolidator for EUR.USD which consolidates at 5pm NewYork time everyday. I tried the solution provided by Alex in: https://www.quantconnect.com/forum/discussion/4835/standardizing-consolidated-daily-data-to-match-default-daily-data
While in my case, the consolidator got triggered on 5pm NewYork time, but it still consolidate data to 12:00 midnight - which is after the triggered time!
Please refer to my backtest attached.
In “Logs” I captured the open and close time of each bar consolidated:
As you see, on “2022-09-12 17:00”, the bar still opened at 00:00 (not something like 2022-09-11 17:00:00). It also closes at 2022-09-13 00:00, which is to the future of the scheduled time - a look ahead bias.
May I know if I miss out something? Thank you!
Gowestyang
I have identified the issue, which is stated in https://www.quantconnect.com/docs/v2/writing-algorithms/consolidating-data/consolidator-types#02-Time-Period-Consolidators: “If you define the time period with a timedelta object, the time starts from the beginning of the day … relative to the data time zone …”
I have created a working solution with Count Consolidator. Backtest attached.
Gowestyang
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