Using DataNormalizationMode.Raw with
History("SPY", 10, Resolution.Daily)
in OnDate for 20170117 returns bar records that are identical, the prices are incorrect. Please fix. Thanks
{
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-07T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": false,
"Time": "2017-01-06T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}, {
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-10T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": true,
"Time": "2017-01-09T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}, {
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-11T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": true,
"Time": "2017-01-10T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}, {
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-12T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": true,
"Time": "2017-01-11T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}, {
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-13T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": true,
"Time": "2017-01-12T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}, {
"Volume": 43890339.0,
"Open": 226.5300,
"High": 227.7500,
"Low": 225.9000,
"Close": 227.2100,
"EndTime": "2017-01-14T00:00:00",
"Period": "1.00:00:00",
"DataType": 1,
"IsFillForward": true,
"Time": "2017-01-13T00:00:00",
"Symbol": {
"$type": "QuantConnect.Symbol, QuantConnect.Common",
"Value": "SPY",
"ID": "SPY R735QTJ8XC9X",
"Permtick": "SPY"
},
"Value": 227.2100,
"Price": 227.2100
}
Kris Ivanov
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