Insight Expiry Time


Q1) I run the algorithm on daily time frame and put a 16 hours of prediction Interval. The expiry time gets a value of 16:00 tomorrow, although the day ends at 19:00. Why does expiry assume the day ends at 23:59:59? Are the time zone in backtesting increments and the expiry calculation time zone different?

Q2) When the insight is added on Friday, the expiry time gets assigned 14:00 next Monday. I assume 2 hours is subtracted because market opens at GMT 22:00 on Sunday. There is a little, problem here. Although the day is just 2 hours, the portfolio construction model sends the targets to the execution coming from Friday's insights. (I tried to have a model that sends targets of the insights until expiration). Then although my insight expire 16 market-hours later, the behaviour is like that it expires 2 days later. Hence, I have a target on Monday that should have been expired 1-2 days ago at weekend.


Update Backtest

Update Backtest


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.


This discussion is closed