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EURUSD, Hour The issue starts from Jun 3rd, 2019 02:00 AM; and continues until Jun 4th, 2019 02:00 AM

Ticker EURUSD
From 2019-06-03 02:00:00
To 2019-06-04 02:00:00
Security Type Forex
Market FXCM
Resolution Hour
Status Waiting Review

1. FXCM data is missing over this period for both the Research Environment and in the Algo Lab. (In the Algo Lab, Oanda is correct, though.)

2. In the research enviroment the missing data is replaced by FillForward. However, the "AddForex()" function won't allow FillForward=False. If this is intended then I request that it be allowed, as I can't think of any cases when fill forward is good idea. If this request should be made somewhere else, please let me know.

3. In the attached notebook using Market.Oanda and Market.FXCM retrieves identical data (actually FXCM data). Please tell me if I'm not using the statement correctly. If I am then I request a fix as soon as possible, as I want to use Oanda data (it has reputation for being more accurate, as this case highlights). If this issue should be raised somewhere else, please let me know.

Cheers

Tony

 

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Further to this, the attached notebook makes a list of times when filled forward starts. There are 32 instances of missing data for EURUSD so far this year. Those I've checked are not weekends or holidays.

Interestingly, when the instrument is changed to GBPUSD, the list is almost, but not quite, the same.

Cheers

Tony

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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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