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Hi Team,
I am trying to fetch daily history in a minute resolution algo in the attached backtest.
The starting date is 8th March, 2022 and I fetch daily history at 10 AM on 8th, however, not sure why but I am also getting the daily bar of 8th while algo is only at 10 AM on the day. Is this bar of 8th closing(this would be wrong logic) or getting previous closed bar under date of 8th (this would be wrong classification).
Please refer the attached backtest.
2013-10-08 10:00:00 :Last Bar: close 1.416789e+02 high 1.425505e+02 low 1.415350e+02 open 1.416873e+02 volume 9.629471e+07 Name: (SPY R735QTJ8XC9X, 2013-10-08 00:00:00), dtype: float642013-10-08 15:00:00 :Last Bar: close 1.416789e+02 high 1.425505e+02 low 1.415350e+02 open 1.416873e+02 volume 9.629471e+07 Name: (SPY R735QTJ8XC9X, 2013-10-08 00:00:00), dtype: float64
Louis Szeto
Hi Abhishek
The 8th March daily bar was the consolidated bar of the whole day of 7th March. The previous day was first “detected” to be finished at 8th 00:00, so its EndTime would be 8th 00:00.
Best
Louis
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Abhishek Gupta
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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