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I'm new to QuantConnect & trying to understand indicators and rolling windows. I've written this to test my understanding, but I'm confused about the IndicatorDataPoint time values for daily resolution.
I use EURUSD Forex data from Oanda and FXCM. My understanding is...
FXCM is in EST time zone and rolls over at midnight EST. All the time values agree.
Oanda data in in UTC/GMT, rolls over at midnight UTC/GMT, but is timestamped in EST. The slice time each day is 19:00 or 7:00 pm (makes sense), but the IndicatorDataPoint.Time is 12:00:00 am. Is tis UTC/GMT, or is the IndicatorDataPoint.Time using FXC data, or something else? The inidcator values suggest the time is actually 19:00 EST.
Any pointers would be helpful.
Tony
Gurumeher Sawhney
Hi Tony,
There are three times we need to consider. The exchange timezone for Oanda, the exchange timezone for FXCM and the algorithm's timezone. When looking at QuantConnects documentation this is what I found:
"While Oanda data is in UTC Time, the exchange is set to its local time, New York Time. So data accessed from this brokerage is timestamped in New York Time."
The line outputted is therefore timestamped in New York Time, or 7:00pm, but the data itself is in UTC time, or midnight.
Tony Shacklock
Hi Gurumeher,
Thanks for your help.
I had read that documentation, but not understood the effect of algorithm time zone. I can see now that the data.Time is in the algorithm time zone and the IndicatorDataPoint time takes the underlying data time stamp.
Cheers
Tony
Tony Shacklock
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