Back

Eurusd forex minute data

In the research section I have noticed that all the minute data has a period of duplicate entries that lasts about 1300 minutes each week. I could not find an appropriate answer anywhere. Any help would be appreciated. This is a scatter plot, 4.1.2019 - 5.1.2019, but it occurs throughout all time periods.

80720_1564857426.jpg

And after h1 = h1[h1['close'] != h1['close'].shift()] to remove duplicates:80720_1564857571.jpg

 

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.


Can you isolate exactly the dates and times this happens (or at least one example of when it happens) and post it as a Data Issue?

0

Hi D kaalin,

The AddForex() method's default parameter includes fillDataForward = True. Therefore, when there's a gap in the data, it will automatically fill the gap with the last data point available. Check out this documentation page for more information on Forex data. 

Hope this helps!

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.


Thank you for the input, unfortunately setting fillDataForward = false does not fix the problem. To answer the first question it occurs every sunday at 3pm until monday at 5pm as evidenced by the plot below.80720_1565131610.jpg

0

Hi D kaalin,

The flat periods are likely reflecting the weekends. 

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.


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.


Loading...

This discussion is closed