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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 EUR15BuyFilledThose price seems to be nowhere near the correct value, as DE30EUR seems to be well above 11290 all the time according to the database.
Does anyone know what's the problem here?
Jack Simonson
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.
Olimoe
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.csvÂ
Olimoe
Hello,
is there anything new on this topic?
Your engineers were looking into this, any clue so far?
Â
Jack Simonson
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.
Jack Simonson
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!
Olimoe
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