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I am trying to write a simple enough backtest do this:
- Run a backtest with minute resolution but consolidate to daily bars.
- Run a scan using a scheduled event to generate limit orders before market open using the consolidated daily bars from the previous day.
(I need minute resolution because I want to get intraday limit order fills)
Unfortunately it seems there is a problem with quantconnect and consolidated daily bar events from the previous day fire after market open on the next day. Is there any workaround for this currently apart from generating the limit orders after market open? (which then renders my backtest inaccurate).
Really surprised I'm having this problem with such a simple scenario :(
Open issue:
Louis Szeto
Hi John
Please refer to this docs (alt) for the event flow. We suggest using the consolidator handler to do the tasks on data consolidation need.
Best
Louis
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John Gillespie
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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