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I've created a custom data class for Python for Minute Resolution data, which takes in local files saved in the QuantConnect format of YYYYMMDD_tickType.zip/YYYYMMDD_symbol_resolution_tickType.csv.
My problem is that I am missing data for UTC 00:00 of every day. Not adding a timedelta(minutes=1) to the EndTime of the CustomData Class shifts the data by one minute with nothing missing, but when I do add the timedelta, the data is properly aligned except that it is missing the data for 00:00.
Am I missing something in the Reader method? It seems that setting the Time and EndTime to the start time and end time of the bar is not working, so perhaps it is because I can't set the Period in Python. Another possibility is that the data is created for the DATE given to the Reader method, and when the date changes it resets the data for 00:00. However, the data for 00:00 comes from the previous date's 23:59.
Attached is a backtest that replicates my custom data class and uses "local" BTCUSDT data from the cloud. The DataFrame in the log shows the missing data for the custom data class vs. the standard AddCrypto method. Logs in the Reader method for the data class show that the data file is being read:
2022-08-01 23:21:00 : Time of data: 23:59:00
2022-08-01 23:26:00 : Data.Time, Data.EndTime, Close, OHLV: (datetime.datetime(2022, 8, 2, 0, 0), datetime.datetime(2022, 8, 2, 0, 0), 23268.01, 23287.83, 23289.68, 23260.0, 54.61836)
2022-08-02 22:44:00 : Time of data: 23:59:00
2022-08-02 22:44:00 : Data.Time, Data.EndTime, Close, OHLV: (datetime.datetime(2022, 8, 3, 0, 0), datetime.datetime(2022, 8, 3, 0, 0), 22987.79, 22986.03, 22993.03, 22980.0, 70.51278)
2022-08-03 23:11:00 : Time of data: 23:59:00
2022-08-03 23:11:00 : Data.Time, Data.EndTime, Close, OHLV: (datetime.datetime(2022, 8, 4, 0, 0), datetime.datetime(2022, 8, 4, 0, 0), 22818.37, 22846.28, 22848.8, 22816.04, 62.90323)
2022-08-04 23:10:00 : Time of data: 23:59:00
2022-08-04 23:10:00 : Data.Time, Data.EndTime, Close, OHLV: (datetime.datetime(2022, 8, 5, 0, 0), datetime.datetime(2022, 8, 5, 0, 0), 22622.98, 22603.02, 22625.53, 22600.28, 78.06183)
2022-08-06 00:00:00 : Time: Custom Data Close, QC AddCrypto Close
2022-08-06 00:00:00 : 2022-08-01 23:59:00: 23290.56, 23290.56
2022-08-06 00:00:00 : 2022-08-02 00:00:00: nan, 23268.01
2022-08-06 00:00:00 : 2022-08-02 23:59:00: 22987.0, 22987.0
2022-08-06 00:00:00 : 2022-08-03 00:00:00: nan, 22987.79
2022-08-06 00:00:00 : 2022-08-03 23:59:00: 22846.28, 22846.28
2022-08-06 00:00:00 : 2022-08-04 00:00:00: nan, 22818.37
2022-08-06 00:00:00 : 2022-08-04 23:59:00: 22604.02, 22604.02
2022-08-06 00:00:00 : 2022-08-05 00:00:00: nan, 22622.98
2022-08-06 00:00:00 : 2022-08-05 23:59:00: nan, 22622.98
2022-08-06 00:00:00 : 2022-08-06 00:00:00: nan, 22622.98
2022-08-06 00:00:00 : Algorithm Id:(1418982f48e7b82c3b4113db8df1fbc8) completed in 1.20 seconds at 23k data points per second. Processing total of 27,520 data points.
Louis Szeto
Hi Taewoo
You were using minute resolution data. The Close price would refer to the particular minute bar, not daily bar, so the close price will not be aggregated to 00:00 (the next minute).
Best
Louis
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Taewoo Ahn
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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