QUANTCONNECT COMMUNITY
I did backtesting for a simple buying SPY strategy for various start date on minute resolution and daily resolution respectively. The following chart is the SPY price data and order data. My question is about the orders of SetStartDate(2022,10,2) and SetStartDate(2022,10,3) on Daily Resolution marked red in the chart. Why these orders could not be filled by calendar 2022-10-03 Monday's price? Thanks.
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.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Alexandre Catarino
Hi KevinW ,
QuantConnect/Lean is data-driven, so when we set the start date when the market is closed (Saturday and Sunday for US Equities), the first data point arrives on Monday. Since the algorithm is subscribing to daily data, the first data point (a trade bar in this case) is timestamped with Tuesday at midnight. Please check out Key Concepts > Time Modeling > Periods for details.
Best regards,
Alex
KevinW
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!