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Hello,
I compared the data in Quantconnect to the data I see on my Oanda account. I couldn't match them.
eur = qb.AddForex("EURUSD", Resolution.Daily, Market.Oanda)
hist = qb.History(eur.Symbol, 360, Resolution.Daily)
hist.loc[hist.index.get_level_values(1) > pd.to_datetime('2018-09-10')]1) Examples
2018-09-10 | QC Ask.Close = 1.15943 | Oanda Ask.Close = 1.16062
2018-09-18 | QC Ask.Close = 1.16788 | Oanda Ask.Close = 1.16729
2) Why is the daily time stamp is at "20:00:00" ? I thought it should be the NY Close, which is at 17:00 in NY, isn't it? "20:00:00" means GMT-1, right?
Best,
Atacan
Alexandre Catarino
QuantConnect and Oanda aggregate daily data differently.
A daily bar for Oanda starts at 5pm NYT and closes 5pm NYT on the following day.
At QuantConnect, we aggregate daily data from the same day in the data timezone. Since Forex data from Oanda timezone is UTC, a daily bar will start/close at 8 pm NYT (00 am UTC).
Alexandre Catarino hi, How can we consolidate the daily data so that it closes at NY-17:00?
Jack Simonson
Hi Ata,
I've attached a backtest below that demonstrates how you can consolidate daily data from higher-resolution data. The basic idea is to define a function that builds the consolidator and then uses a Scheduled Event to call that function once at 17:00 at the beginning of the algorithm. From then on, it will produce daily bars consolidated at 17:00 NY Time.
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