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Wrong prices for DE30EUR

Hey,

I'm new to Quantconnect and started out by building a simple algorithm based on given examples.

For DE30EUR, I buy one minute after the market opens and sell one minute before the market closes.

The fill prices for the trades seem to be wrong however... for example from the backtest:

2019-02-20 02:01:00DE30EURMarket€11,288.60 EUR15BuyFilled

Those price seems to be nowhere near the correct value, as DE30EUR seems to be well above 11290 all the time according to the database.

60908_1551016474.jpg

Does anyone know what's the problem here?

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.


Hi Olimoe,

Can you post a link to where the data in the chart comes from? Our engineers have confirmed that the data in the cloud is consistent with the raw tick data that is provided to us by Oanda, so it might be that the data you're looking at externally is from a different source.

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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.


Thank you for checking this.

I got the data from

www.quantconnect.com/data//file/cfd/oanda/minute/de30eur/20190220_quote.zip/20190220_de30eur_minute_quote.csv

https://www.quantconnect.com/data/file/cfd/oanda/minute/de30eur/20190220_quote.zip/20190220_de30eur_minute_quote.csv

 

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Hello,

is there anything new on this topic?

Your engineers were looking into this, any clue so far?

 

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Hi Olimoe,

Sorry about the delay, we're still working on isolating the problem. I'll be sure to let you know once we have a solution.

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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 Olimoe,

We've pinpointed the issue and we've pushed a solution to master LEAN branch (you can view the PR here) which will be merged soon. Thanks for bringing this to our attention!

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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.


Update Backtest





0

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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