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ETHUSD, Daily The issue starts from Apr 1st, 2018; and continues until Apr 5th, 2018

Ticker ETHUSD
From 2018-04-01 00:00:00
To 2018-04-05 00:00:00
Security Type Crypto
Market GDAX
Resolution Daily
Status Closed

I'm using the below code to check and compare the prices I get from QC against the ones on GDAX. On daily bars, some close prices don't match up at all between sources.

For example, during these days QC says:

2018-04-01 20:00:00 :379.082018-04-02 20:00:00 :381.52018-04-03 20:00:00 :420.492018-04-04 20:00:00 :380.072018-04-05 20:00:00 :381.55

 

Whereas GDAX says:

2018-04-01 20:00:00: 378.18

2018-04-02 20:00:00: 384

2018-04-03 20:00:00: 416.28

2018-04-04 20:00:00: 378.43

2018-04-05 20:00:00: 381.26

 

Please let me know. These are big differences!

I also wanted to add that when I pull the prices on hourly frequency, the prices from QC seem to be shifted forward one hour. For example, the prices at 23:00 on GDAX are the prices at 00:00 on QC.

Thanks,

Emilio

Update Backtest







Emilio,

Thank you very much for reporting this.

However, is very tricky to make comparisons of aggregated data, there are so many sources of differences. e.g. we don't know how they aggregate e.g. they use the left or the right side to name the aggregated bar? And more important, what they aggregate? Ticks, trades, quotes?

What I can tell you about our data processing is that we receive raw tick data from GDAX and aggregate following a set of rules consistent with all other securities (equities, Fx, CFD, Futures and Option). Every step of our processing steps are being tested periodically and, in addition, it was used by thousands of users along many years. In other words, we are very confident about our processing system.

Respect to the time zone differences, data and exchange has the same time zone (UTC), so in principle, the only source of differences can be the algorithm time zone, have you took into account that?

If you can find some internal inconsistencies, please feel free to report it here.

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Update Backtest





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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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