Calling Future High Low Close at Market Close

Hi Vidal 

The setting of `TradeBarConsolidator(timedelta(1))` will not gaurantee the bar represents data between Day 1 16:01/17:01 till Day 2 16:01/17:01. Instead, we should use a calendar consolidator with custom period to specify the start time and duration of each consolidated bar. For example, the following implementation is what you might seek for:

def Initialize(self):
    self.consolidator = TradeBarConsolidator(self.consolidation_period)
    self.consolidator.DataConsolidated += self.consolidation_handler
    self.SubscriptionManager.AddConsolidator(self.future.Symbol, self.consolidator)

def consolidation_period(self, dt: datetime) -> CalendarInfo:
	# daily bar start time at 17:00
    dt = (dt if dt.hour > 17 else dt - timedelta(1)).date()
    start_dt = datetime(dt.year, dt.month, dt.day, 17, 0, 0)
    return CalendarInfo(start_dt, timedelta(1))

def consolidation_handler(self, sender, bar):
    self.Log("Bar high {} low {}".format(bar.High,bar.Low))

Best
Louis

Hi Louis,

Thank you for your suggestion. I think I got what I need by the below calendar consolidation code. However, the data in 25 Oct 2017 still does not tally with the data in Tradingview while that in other days tally.

2017-10-22 18:01:00 : Bar high 2574.5 low 2559.5
2017-10-23 18:01:00 : Bar high 2577.25 low 2561.5
2017-10-24 18:01:00 : Bar high 2570.25 low 2562.25
2017-10-25 18:01:00 : Bar high 2565.75 low 2562.5
2017-10-26 18:01:00 : Bar high 2565.0 low 2555.5

from AlgorithmImports import *
from System.Drawing import Color

class TestAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2017,10,1)
        self.SetEndDate(2017,10,30)
        self.SetCash(300000)
        self.ceiling, self.floor = 0.8, 0.2

        self.future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True, dataNormalizationMode = DataNormalizationMode.Raw, dataMappingMode = DataMappingMode.OpenInterest, contractDepthOffset = 0)
        self.future.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(90))

        self.consolidator = TradeBarConsolidator(self.consolidation_period)
        self.consolidator.DataConsolidated += self.consolidation_handler
        self.SubscriptionManager.AddConsolidator(self.future.Symbol, self.consolidator)

    def consolidation_period(self, dt: datetime) -> CalendarInfo:
        # daily bar start time at 17:00
        period = timedelta(1)
        open_time = dt.replace(hour=17, minute=0, second=0, microsecond=0)
        start = open_time + ((dt - open_time) / period) * period
        return CalendarInfo(start, period)


    def consolidation_handler(self, sender, bar):
        self.Log("Bar high {} low {}".format(bar.High,bar.Low))

Another example:

2014-12-23 18:01:00 : Bar high 2084.5 low 2071.5
2014-12-26 00:01:00 : Bar high 2083.5 low 2077.5
2014-12-28 18:01:00 : Bar high 2088.75 low 2078.5
2014-12-29 18:01:00 : Bar high 2088.75 low 2076.0
2014-12-30 18:01:00 : Bar high 2088.5 low 2073.0
2014-12-31 18:01:00 : Bar high 2082.75 low 2050.75
2015-01-02 00:01:00 : Bar high 2054.0 low 2054.0
2015-01-04 18:01:00 : Bar high 2067.25 low 2038.75
2015-01-05 18:01:00 : Bar high 2048.25 low 2009.5

Hi Vidal

We believe the 2017-10-25 bar is a data issue. Please refer to this ticket for the fixing progress. As per the below

2015-01-02 00:01:00 : Bar high 2054.0 low 2054.0

We believe it was differed due to the day-counting method. You might need to do some more adjustment in your consolidation to match the TV's data.

Then you can use an if-condition check to accept the bar in your consolidation handler if the end time is at 17:00.

Best
Louis