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Research Environment Forex Data

Hi

I'm getting unexpected results in the Research environment when I retrieve intra-day Forex data. Am I doing something wrong?

In the attached notebook, the data rows after 2019-08-12 02:00:00 cannot be correct.

Cheers, Tony

Update Backtest







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Hi Tony,

Thanks for sharing your notebook. It looks like data is missing from 8/12 in UTC time so a fill forward was done. This appears to be a FXCM data issue and we are working on patching it in the research environment. If you give the same code a try with Oanda data (Market.Oanda), you should see data for 8/12. Additionally, you should see that backtesting data is not affected by this same issue. 

Thanks for letting us know!

Sherry 

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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 Sherry

Thanks for clarifying that. I had just worked that out myself by comparing it with data in Algo Lab. Some intra-day data is missing from the FXCM data (in the Algo Lab as well). I found another period with the same problem: 2019-06-03 02:00:00 onwards.

You can see in my notebook that I am specifying Oanda data. I tried both Oanda and FXCM, but I get identical data. Perhaps I have something wrong in the qb.AddForex() method call. How can I be sure to retrieve Oanda data. Any suggestions?

Cheers

Tony

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Hi Tony,

Please report this data issue here. Thank you so much!

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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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