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Hello,
I am trying to consolidate futures minute data to daily bars. Therefore I created a consolidator as follows:
var consolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));Unfortunately, this gives a bar starting from 11pm America/Chicago time --> + 1 day, which is the standard NY day, but which is not the exchange trading time.
How to consolidate according to exchange trading hours?
e.g. pseudo code for Gold Futures "GC" trading from 5pm to 4pm Chicago time.
var consolidator = new TradeBarConsolidator(GC.MarketOpen, GC.MarketClose);
Thx.
Eugene
I made some progress with the help of this post: Link, see Backtest.
The target is to generate daily bars from minute data according to exchange trading hours, not the standard QC NY 0am to 0am time. In my case for gold futures "GC".
Now, it works.... kind of.
There are still issues with the implementation:
Lets focus on the Dezember 2020 contract Symbol=GC29Z20
Is there a fundamental issue of my implementation?
Thx.
Eugene
Eugene
There was a small bug in the implementation.
Furthermore, the volume in the data from algoseek seems to be slightly wrong for "some" minute bars (hundreds per day), which gives a slightly wrong daily volume.
For those who are interessted, see solution attached.
Eugene
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