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Rolling windows historical price

Why is there value on 9 March 2019 when I am using rollingwindows to capture the historical price?

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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, anyone can help?

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9 March 2019 is Saturday

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Hi,

Since the Rolling Window and Indicators are being updated each day with new data, then there will be data for each day the market is open. With daily resolution data, the timestamp is at 00:00 UTC the next day, so this is why there is data for March 9, 2018, even though it was a Saturday -- it's just the timestamp for the data slice containing the Close price of the 8th.

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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.


Thanks Jack. However, the Saturday issue is only applicable to the Saturday on March 9, 2018 but not the other Saturday. Why is there such inconsistency? Not sure if I understand your explaination correctly, maybe you can elaborate more. Thanks.

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Hi Zc,

Our timestamp is 00:00 for all daily resolution data. A data entry with timestamp 2019-03-09 00:00:00 in daily resolution indicates that the timeframe for this data entry is from 2019-03-08 00:00:00 to 2019-03-09 00:00:00, which is Friday.

From the log in your backtest, I see there is data on all Saturday Timestamps, for example, at 2019-03-16 00:00:00 and 2019-03-02 00:00:00. Could you please elaborate more on how to reproduce your inconsistency Saturday issue?

You could find more information regarding time here.

Reminder: logging price is against our terms of service. Please avoid that in the future. Thanks for your support!

Hope it helps!

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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.


Thanks Link Liang for your reply. Do you mind to elaborate more about logging price that you mentioned above? Not sure if you are referring to the plotting of the price, sincerely apologise if I have violated any TOS but my main purpose of price plotting is to investigate the data calculation inconsistency against my raw spreadsheet calculation. Will definitely avoid that in the future.

Back to the issue above, I am actually referring to the 'trade plot' graph in the backtesting results as that is the result of the 'rolling windows' calculation from the raw data. There is no value on the graph on other Saturday like 2019-03-30, 2019-03-23, 2019-03-16 but 2019-03-09. Hope that clarifies.

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Hi Zc,

After running a backtest, there should be a message in console “Your log was successfully created and can be retrieved from: {url}“. Click on that url and logs from your algorithm should be there. If the timestamps in the log are consistant, then there is no problem with data.

Hope it helps!

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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.


Noted that I should refer to the logs rather than the chart created. Thanks Link Liang  

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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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