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Hi,
I'm trying to consolidate minute data into 4H bars aligned with the regular OANDA exchange hours.
For example, I'd like the 4H bars to consolidate for 17:00, 21:00, 01:00, 05:00, 09:00, 13:00, etc.
I've followed Louis Szeto's example given in the following thread:
You can find my implementation in the attached backtest.
However, the logging of said backtest gives the following:
2024-05-27 00:00:00 : Algorithm starting warm up...
2024-06-02 17:04:00 : 2024-06-01 00:01:00 - EURUSD H4 Consolidated. EndTime: 2024-05-31 20:00:00
2024-06-02 17:05:00 : Algorithm finished warming up.
2024-06-02 21:03:00 : 2024-06-02 21:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-02 21:03:00
2024-06-03 01:03:00 : 2024-06-03 01:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 01:03:00
2024-06-03 05:03:00 : 2024-06-03 05:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 05:03:00
2024-06-03 09:03:00 : 2024-06-03 09:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 09:03:00
2024-06-03 13:03:00 : 2024-06-03 13:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 13:03:00
2024-06-03 17:04:00 : 2024-06-03 17:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 17:03:00
2024-06-03 21:03:00 : 2024-06-03 21:03:00 - EURUSD H4 Consolidated. EndTime: 2024-06-03 21:03:00My question is: Why is the consolidated data coming through at 3 minutes past the desired time, and how can I make it consolidate appropriately, e.g., the EndTime of the consolidated bar is precisely on the 4H increment?
Many thanks in advance.
LE
You may not need to include the two lines “h4_consolidator” in your initial loop (place them before the loop). Just need the subscription manager to subscribe per ticker, not a separate time consolidator for each ticker. Consolidators arrive in order of creation, so maybe if it's creating more than one, that's the reason for the delay (one arrives per your base resolution, which is minute.) Not sure that this is the issue though.
Here is the code I use for for H4 OANDA consolidators dt, which was working last I checked. You could see if incorporating the logic like this helps. I only use a single ticker at a time, but I'm not sure if that changes anything.
Here's the daily version (17:00-17:00), note in both of these I had to add > “=” otherwise it would consolidate late.
Kayne Eccles
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