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Hi,
I'm comparing the data I get directly from the equity and a tradebar with rolling window and from the results I get it seems the tradebar data is one period behind (i.e. the 11am close is equal to the 10am rolling window using hourly data):
2022-01-03 11:00:00 : SPY Security LocalTime: 2022-01-03 11:00:00 Price:466.79 High:467.38 Low:465.41 Close:466.79
2022-01-03 11:00:00 : SPY window: 2022-01-03 09:00:00 -> 465.58 ... 2022-01-03 10:00:00 -> 466.79
Would be most thankful if someone can please explain this behavior and which one is the right timestamp? Attached is the backtest.
Thanks,
Andres
Yuri Lopukhov
Time property is the bar's start time. If you need end time, use EndTime property instead.
Andres Arizpe
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