Creating consolidated bars with historical minute and hour resolution gives different consolidated prices

Sorry I forgot to attach the backtest.

Hi Li,

In a nutshell, you are comparing apples to oranges (hence the name of the backtest below - Ugly Orange Hippopotamus (? 😊)).

The detail:

1- Your usage of TradeBar() was incorrect.

2- Your history call uses data prior to the beginning of your algo because it is in Initialize while your sub uses data in your algo period.

3- You were using the same consolidator to consolidate two sources of data (your sub and your history).

Study the included backtest to understand what I mean above. When the puzzle is in order, consolidation is the same.

Fred

Li Cheng,

Here is my way of proving that both four hour consolidators (from minute bars and from hour bars) are identical.

Hi Fred and Vladimir,

Thank you guys for the replies! I really appreciate it since yesterday was a holiday (Good Friday) and you guys are still active in the community!

From the code that you guys sent, I realized the issue was with the first parameter in the TradeBar() function, this is what I had:

bar = TradeBar(time, self.symbol, row.open, row.high, row.low, row.close, row.volume, datetime.timedelta(hours=1))

What I should've done was the following for hour historical data:

bar = TradeBar(time - datetime.timedelta(hours = 1), self.symbol, row.open, row.high, row.low, row.close, row.volume, datetime.timedelta(hours=1))

And the following for minute historical data:

bar = TradeBar(time - datetime.timedelta(minutes = 1), self.symbol, row.open, row.high, row.low, row.close, row.volume, datetime.timedelta(hours=1))

However, I do have an additional question, do you guys know the purpose or significance of the last parameter of the TradeBar function? I find that the consolidated bars created are the same with or without it like so:

# With last paramter
bar = TradeBar(time - datetime.timedelta(minutes = 1), self.symbol, row.open, row.high, row.low, row.close, row.volume, datetime.timedelta(hours=1))

# Without last parameter
bar = TradeBar(time - datetime.timedelta(minutes = 1), self.symbol, row.open, row.high, row.low, row.close, row.volume)

Hi Li,

Sure. The last param is the period, so the length of the bar in time. It is 1 minute by default.

https://lean-api-docs.netlify.app/classQuantConnect_1_1Data_1_1Market_1_1TradeBar.html#aaa17d59d6bc7360681dc465cf549e823

So when your bars are actually 1-minute bars, the last param is not really needed since it is 1 minute by default.

Fred

Hi Fred, thanks for sharing the link to the TradeBar() function from Lean's api documentation!

This is extremely helpful!