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End of day data usage for backtest and live

Hey all,

I'm building a strategy with daily bars, thus, every bar received is at the end of the trading day, and every decision will be executed in the next trading day.

I would like to use open value for alpha emission and calculation, is there a way to add this extension without scheduling?

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Hi Ofir,

Thank you for your question. You're right on that Daily bar is received at the end of the trading day. It can be done in QC using the technique of consolidating data. We can use data with smaller resolution than daily (e.g. Minute) and get Daily Open Price at Market Open time. Besides, you can consolidate the data into other resolution you want to do intraday trading. Here I attach one backtest for you. Please check the Log and the code snippet.

Thank you for your support!

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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.


Hey Daniel,

Thanks for the sophisticated answer,

Using that technique I  can use the first 1-minute bar to execute and constrain yesterday's EOD emitted insight into a defined formula! 

Excellent

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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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