Forex Daily Price Delay during Live Trading

Here’s a diagnostic script to help Zoe isolate and understand her live daily forex data timestamp issue in QuantConnect:

from AlgorithmImports import *

class ForexDailyDiagnosticAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Subscribe to EURUSD at daily resolution
        self._forex_symbol = self.add_forex("EURUSD", Resolution.DAILY).symbol

        # Track the last bar's end time to detect duplicates or out-of-order bars
        self._last_bar_end_time_utc = datetime.min

    def on_data(self, slice: Slice) -> None:
        if slice.bars.contains_key(self._forex_symbol):
            bar = slice.bars[self._forex_symbol]
            self._log_bar_info(bar)

    def _log_bar_info(self, bar: TradeBar) -> None:
        # Log the bar data
        self.debug(f"Symbol: {bar.symbol}, Time (UTC): {bar.time} tzinfo: {bar.time.tzinfo}, "
                   f"EndTime (UTC): {bar.end_time} tzinfo: {bar.end_time.tzinfo}, "
                   f"O: {bar.open}, H: {bar.high}, L: {bar.low}, C: {bar.close}")

        # Check for duplicates or out-of-order bars
        if bar.end_time <= self._last_bar_end_time_utc:
            self.debug(f"Warning: Duplicate or out-of-order bar detected.\n"
                       f"Current bar EndTime: {bar.end_time}, Last bar EndTime: {self._last_bar_end_time_utc}")

        # Update last bar end time
        self._last_bar_end_time_utc = bar.end_time

        # Convert EndTime to Eastern Time (ET) for clarity
        et_time = Extensions.convert_to(bar.end_time, TimeZones.UTC, TimeZones.NEW_YORK)
        self.debug(f"Bar EndTime in ET: {et_time}")

        # If running live, optionally log raw data from brokerage
        if self.live_mode:
            # In production, you might get more detailed raw data from the API
            self.debug("LiveMode is active. Raw data from brokerage could be logged here.")

Instructions for Zoe:

• Deploy this script in both backtest and live modes.
• Observe the logs for duplicates or out-of-order bars, and compare UTC vs. ET timestamps.
• If you see duplicated timestamps as described, these logs (with UTC/ET info) will help QuantConnect support or the community diagnose your specific data alignment issue.
• Share any suspicious log output with QuantConnect support if the problem persists.

Likely Cause & Solution Outline:

• This is likely related to how QuantConnect aligns daily forex bars with provider timestamps (e.g., OANDA/FXCM), especially around the daily rollover (normally at 5PM or 8PM ET).
• Duplicate timestamps often mean the previous day’s price was rolled forward rather than correctly assigning the new day’s close.
• Sometimes switching brokerages or clarifying your algorithm’s time zone/bar assignment logic is necessary.
• After logging, if the root cause is found (e.g., UTC vs. ET confusion), adjust your processing or consult QuantConnect support for a deeper fix.

Let me know if you want to debug the log output together or explore further solutions!

Sources: Handling Data - QuantConnect.com, Basic Template Forex Algorithm, Logging - QuantConnect.com, FOREX Data - QuantConnect.com, Micro Study: Yen Carry Trade