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I'm trying to access the OHLC data from the first one minute bar of the regular trading day i.e. 09:30 - 09:31 ET using a rolling window (currBar1 = self.minute_rw[0]) and the final one minute bar of the prior trading day i.e. 15:59 - 16:00 using pastBar1 = self.minute_rw[1].
I've attached a simply Python script which correctly fires at 9:31 ET. And although I'm waiting for the first 1m bar to finish using the following line (if not (self.minute_rw.IsReady): return), the script appears to be out by two 1 minute bars. For example:
currBar1 = self.minute_rw[0] which should be pulling the first 1 min bar ending 09:31, is pulling the data from the 1 min bar ending 15:59 (of the previous day)
pastBar1 = self.minute_rw[1] which should be pulling the bar ending 16:00 (of the prior day), is pulling the data from the 1 min bar ending 15:58.
Any suggestions on how I can modify the code to pull the data from the first 1 min bar ending 09:31 and the previous 1 min bar (i.e. the final 1 min bar ending 16:00 of the previous day)?
Here is a snipit of the log from the attached script:
2018-05-06 00:00:00 : Launching analysis for eda7ae0a002b87a8fc9ecf9a47a28548 with LEAN Engine v2.4.0.0.3751
2018-05-08 09:31:00 : Script fired at (s/b 09:31) : 2018-05-08 09:31:00
2018-05-08 09:31:00 : Past Bar Time on 1 min s/b FINAL 1 min of prior day
2018-05-08 09:31:00 : Past Bar Price: Time: 2018-05-07 15:58:00 Open: 266.81 High: 266.92 Low: 266.81 Close: 266.90
2018-05-08 09:31:00 : Current Bar Time on 1 min s/b FIRST 1 min of current day
2018-05-08 09:31:00 : Current Bar Price: Time: 2018-05-07 15:59:00 Open: 266.895 High: 266.99 Low: 266.81 Close: 266.91
Michael Manus
check the examples provided by QC using history
Richard Hamilton
Thank you Michael for your reply. Are you suggesting that I look at history examples because RollingWindows should not be used to retrieve OHLC data? I've looked at the history examples and prefer to use RollingWindows, if it's possible.
Richard Hamilton
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