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Oanda forex data

Hi I am fairly new here. I am trying to perform some analysis locally in my computer and I have downloaded forex data (Oanda). The issue I am encountering at the moment is a data mismatch between the data that is loaded in either the 'Research' or 'Algorithm Lab' and the data coming form the csv that I have obtained from 'Data'. I was wondering if any one has encounter similar issues or if I am doing something wrong.

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Can you please be more specific? What mismatch? If possible please use the data issues reporting system. 

https://www.quantconnect.com/data/issues/create
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To be more specific, when loading data of 'GBPUSD' from oanda in the hour resolution in the date of 2014,8,20 the values obtained in the 'Research' or 'Algorithm Lab' don not correspond to the ones shown when loading data in the same data range from the .csv file that I obtained from 'Data'.

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Carlos, have you checked for differences in time zones?

Please note that Oanda FX data has UTC time zone, however, the algorithm is set to EST by default.

If it's not the case, can you please share some details about the comparison you're performing and the results?

Thanks!

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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.


Thanks for your input JayayD,

I double checked the data with the new info provided and still it seems that there is a mismatch. I also noticed that the dataframe in the algorithm contains:

['open', 'high', 'low', 'close', 'askopen', 'askhigh', 'asklow','askclose', 'bidopen', 'bidhigh', 'bidlow', 'bidclose']
which makes 12 columns.

Whereas the csv file contains just 10 columns which names go from 1-10, and
two of the columns(5,10) have all their entries equal to 0.
I was wondering if you know what each columns correponds to in relation to the
ones in the algorithm.
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Carlos,

Form Lean's Data:
LEAN has a few core data types which are represented in all the asset classes we support. Below are links to their implementation in LEAN.
    • TradeBar - TradeBar represents trade ticks of assets consolidated for a period. TradeBar file format is slightly different for high resolution (second, minute) and low resolution (daily, hour).
    • QuoteBar - QuoteBar represents top of book quote data consolidated over a period of time (bid and ask bar).
    • Tick - Tick data represents an individual record of trades ("trade ticks") or quote updates ("quote tick") for an asset. Tick data is instantaneous - it does not have a period.

The DataFrame columns contains the TradeBars OHLC prices 'open', 'high', 'low', 'close',  and the QuoteBars 8 properties  'askopen', 'askhigh', 'asklow','askclose', 'bidopen', 'bidhigh', 'bidlow', 'bidclose' OHLC for bid and ask respectively.

On the other hand the columns in the CSV file correspond to the OHLC + size  properties o both ask and bid bars.
The Forex (and CFD) raw data from ours vendors doesn't contains quote size values, that's why the columns 5 and 10 are zero. Those columns represents the ask and bid size.

Respect to the data mismatch, can you please be more specific? If you find some differences please, detail which pair, when, what kind of mismatch, etc.

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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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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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