For live trading, how can you check the delay in receiving daily forex data from OANDA?

Here’s an algorithm that will help Zoe check the delay in receiving daily forex data from OANDA, showing the time difference (in minutes) from the target 8:00 PM EST (or EDT during daylight saving):

from AlgorithmImports import *
import pytz
import datetime

class DelayLoggingAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # Algorithm start and end dates
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)

        # Set brokerage model to Oanda with Margin
        self.set_brokerage_model(BrokerageName.OANDA_BROKERAGE, AccountType.MARGIN)

        # Add the OANDA forex pair at Daily resolution
        self._symbol = self.add_forex("EURUSD", Resolution.DAILY, Market.OANDA).symbol

        # Timezone for conversion (US/Eastern)
        self._eastern_tz = pytz.timezone("US/Eastern")

    def on_data(self, data: Slice) -> None:
        # Check if we have our daily bar for the symbol
        if not data.bars.contains_key(self._symbol):
            return

        # self.time is in UTC
        utc_time = self.time

        # Convert UTC time to US/Eastern
        local_time = utc_time.astimezone(self._eastern_tz)

        # Create a datetime for 8:00 PM in US/Eastern for the same date
        eight_pm_same_day = local_time.replace(hour=20, minute=0, second=0, microsecond=0)

        # Calculate difference in minutes: positive if after 8pm, negative if before
        difference_minutes = (local_time - eight_pm_same_day).total_seconds() / 60

        # Log the local bar time and the difference
        self.log(f"BarTime(ET): {local_time}, Delay (minutes vs 8:00PM ET): {difference_minutes:.2f}")

How it works:

• It subscribes to the EURUSD OANDA feed with daily candles.
• When a new daily bar is received (on_data), it gets the timestamp (self.time), converts it to US/Eastern time, and calculates how many minutes early or late the data arrived compared to 8:00 PM that day.
• It logs this delay for your review.

You can adjust the forex symbol or use this code as a template for any daily OANDA feed.

Sources: Handling Data - QuantConnect.com, Calendar Consolidators - QuantConnect.com, Bybit Custom Data Crypto Regression Algorithm, Basic Template Forex Algorithm, Consolidate Hour Bars Into Daily Bars Regression Algorithm