Minute bar open different to consolidated bar open

Hi

Thought attaching a code example on how to reproduce might be useful:

using QuantConnect.Brokerages;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;

namespace QuantConnect.Algorithm.CSharp
{
    public class CalmSkyBlueCamel : QCAlgorithm
    {
        private const string NATGAS = "natgasusd";

        private QuoteBar _minuteBar2 = null;
        private QuoteBar _minuteBar10 = null;

        public override void Initialize()
        {
            SetStartDate(2021, 5, 1);
            SetEndDate(2021, 5, 2);
            SetBrokerageModel(BrokerageName.OandaBrokerage);
            AddCfd(NATGAS, Resolution.Minute);
            Consolidate(NATGAS, TimeSpan.FromMinutes(2), OnTwoMinBar);
            Consolidate(NATGAS, TimeSpan.FromMinutes(10), OnTenMinBar);
        }

        public void OnTwoMinBar(QuoteBar qb)
        {
            if (this._minuteBar2 != null
                && this._minuteBar2.Time == qb.Time)
            {
                var diff = this._minuteBar2.Open - qb.Open;
                Plot("OpenDiffs", "2m", diff);
                Debug($"[{qb.Time.TimeOfDay}->{qb.EndTime.TimeOfDay}] Diff={diff} - 1mOpen={this._minuteBar2.Open} 2mOpen={qb.Open}");
            }
        }

        public void OnTenMinBar(QuoteBar qb)
        {
            if (this._minuteBar10 != null
                && this._minuteBar10.Time == qb.Time)
            {
                var diff = this._minuteBar10.Open - qb.Open;
                Plot("OpenDiffs", "10m", diff);
                Debug($"[{qb.Time.TimeOfDay}->{qb.EndTime.TimeOfDay}] Diff={diff} - 1mOpen={this._minuteBar10.Open} 10mOpen={qb.Open}");
            }
        }

        public override void OnData(Slice data)
        {
            var bar = data.QuoteBars[NATGAS];
            if (bar.Time.Minute % 2 == 0)
                this._minuteBar2 = bar;

            if (bar.Time.Minute % 10 == 0)
                this._minuteBar10 = bar;
        }

    }
}

Anyone any ideas on this?

Thanks

Hi MattG,

The consolidated bar spanning 18:40 to 18:50 has a different opening price than the 1-minute bar spanning 18:40-18:41 because the 18:40-18:41 bar contains fill-forward data. The first minute-bar between 18:40 and 18:50 that doesn't contain fill-forward data has an open price of $2.8775 (which matches the open price of the consolidated bar).

See the logs of the attached backtest.

Best,
Derek Melchin