Hi everyone, i just stumbled in a trouble that i can't figure out: if i use hourly data for the pair EURUSD (FXMP) all the candles cooresponds to the ones that are showed in the tradingview charts, all the values (Open, High, Low, Close) corresponds in a perfect way; the problem is that when i consolidate the data into daily, there is no more correspondence with the data from the same tradingview chart of before (with daily timeframe).

 

The following is the code that i use to get daily candles from hourly ones, maybe i am missing something

# in Initialize() i build a 10 days rollingwindow consolidating from hourly data self.dailywindow = RollingWindow[QuoteBar](10) self.Consolidate("EURUSD", Resolution.Daily, lambda x: self.dailywindow.Add(x)) # in OnData() i use this code for printing the OHLC values to check them if self.dailywindow.IsReady: self.Debug(" daily OHLC {0},{1},{2},{3}, ".format(self.dailywindow[0].Open,self.dailywindow[0].High,self.dailywindow[0].Low,self.dailywindow[0].Close))

since i am implementing a two-timeframe strategy it is important that the both hourly and daily data are consistent with FXMP official data (that i look at from tradingview)

Any kind of help or feedback would be appreciate ;)

Author

Bronx verzio

July 2020