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CORNUSD, Minute The issue starts from Jul 26th, 2012; and continues until Jul 27th, 2012

Ticker CORNUSD
From 2012-07-26 00:00:00
To 2012-07-27 00:00:00
Security Type CFD
Market OANDA
Resolution Minute
Status Closed

 

Seems to be fine online but is somehow increased by a factor of 1000x when downloaded.

 

https://www.quantconnect.com/data/tree/cfd/oanda/minute/cornusd
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.


I can confirm it looks fine in the data browser but the decimal dot doesn't exist in the file in My Data, hence magnifying the price by 1000x.

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This is the same problem as with the other Oanda CFD data issues I've reported tonight.

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Sorry, that should be "magnifying the price by 10,000x" (i.e. 1e4).

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More dates on which this happens:

  • 20131231
  • 20140331
  • 20140716
  • 20141007
  • 20141209
  • 20150528
  • 20150903
  • 20151113
  • 20160229
  • 20160302
  • ... and potentially more
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Hey ,

Can you repeat the issue you see locally in the cloud? (i.e. running a backtest in the Algorithm Lab)

If it works fine in the cloud but fails locally, maybe is a local installation issue. Please make sure you are working with the latest Lean version and have set up correctly your data-folder in config.json, Recall the data-folder must contain the symbol property and the market hours database folders and files.  

Respect to the data, what do you mean by I can confirm it looks fine in the data browser but the decimal dot doesn't exist in the file in My Data?   Are you saying the data you download from our repo is not exactly the same as the one exposed in the data explorer? If that's the case, can you please give us an explicit example/case (e.g. file, line, expected value, actual value)? 

Best of luck!

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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.


Hi Jay-Jay,

Thanks for looking into this. I'll recap what we discussed on Slack yesterday.

 - I cannot seem to reproduce the issue in the cloud. My guess is that the cloud uses a different repository, but I don't know.

 - I am working with the latest commit of Lean and my installation is completely clean, save for small modifications to config.json (not data-related).

 - Let me give you a reproducible version of the issue:

1. Go to My Data and find cornusd, minute res, Oanda. (

https://www.quantconnect.com/data/repository/cfd/oanda/minute/cornusd

)

2. Download 20120725_quote.zip (https://www.quantconnect.com/processDataDownload/15540/a8d9e070c642c6721a83323261570b7ec2f90e285ae4cb018c080650ac2d932a/20120725) and look at the first line. The prices are in the $8.1 range.

3. Download 20120726_quote.zip (the day after) (https://www.quantconnect.com/processDataDownload/15540/a8d9e070c642c6721a83323261570b7ec2f90e285ae4cb018c080650ac2d932a/20120726) and look at the first line. The prices are now in the $81000 range.

4. Go to Data explorer and find cornusd, minute res, Oanda. (

https://www.quantconnect.com/data/tree/cfd/oanda/minute/cornusd

)

5. Go to 20120726_quote.zip (

https://www.quantconnect.com/data/tree/cfd/oanda/minute/cornusd

) and check the prices. They look fine and are in the $8.1 range.

These steps can be used to reproduce all of the other data issues I opened.

Let me know if you need any more information.

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Great catch Douglas! Thank you very much for reporting this and for the details.

We're working on this.

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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.


JayJayD has marked this issue as in progress.

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Looks like this issue (as well as the issues for SUGARUSD, WHEATUSD, WTICOUSD and NATGASUSD) have been solved, thank you!

Now all that remains is to refresh the holidays for these pairs. E.g. for CORNUSD, there are no holidays listed prior to 2017, which causes the algorithm to try to download files that don't exist.

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thank you very much for your help, we really appreciate it.

Please feel free to make a GitHub issue pointing out the missing holidays and we'll patch it ASAP

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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.


JayJayD has marked this issue as closed.

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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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