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Are extended market hours ignored with Resolution.Hour?

Do extended market hours support Resolution.Hour? In the following code snippet, I configure the UVXY with Resolution.Hour.

 

self.UVXY = self.AddEquity(
"UVXY",
Resolution.Hour,
Market.USA,
True,
1,
True,
)

 

In the direct logs, the prices during extended market hours seem to be missing.

2018-05-01 15:00:00 UVXY: $14.89
2018-05-01 16:00:00 UVXY: $14.74
# ... missing? ...
2018-05-02 10:00:00 UVXY: $14.56

However, by consolidating 60 minutes with Resolution.Minute, the prices appear during extended market hours.

 

2018-05-01 15:00:00 UVXY: $14.89
2018-05-01 16:00:00 UVXY: $14.74
2018-05-01 17:00:00 UVXY: $14.55
2018-05-01 18:00:00 UVXY: $14.64
2018-05-01 19:00:00 UVXY: $14.60
2018-05-01 20:00:00 UVXY: $14.53
2018-05-02 05:00:00 UVXY: $14.48
2018-05-02 06:00:00 UVXY: $14.40
2018-05-02 07:00:00 UVXY: $14.46
2018-05-02 08:00:00 UVXY: $14.55
2018-05-02 09:00:00 UVXY: $14.63
2018-05-02 10:00:00 UVXY: $14.56

 

Why are the prices during extended market hours missing with Resolution.Hour? Thanks.

Update Backtest







Correct! (and with Daily). The majority of the community work with intraday prices so we needed to make a decision about the equity 0930 bars - we decided that most people would expect the open price for the 0900-1000 bar to be the 930 open price. Daily bars also only include the market hours.

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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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