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GC27Z19, Minute The issue starts at the start of the data; and continues until now

Ticker GC27Z19
Security Type Future
Market USA
Resolution Minute
Status Waiting Review

Between 20:00 and 00:00 we receive trade bar data which doesn't fit with original Comex Level I data for futures contracts. Example in attachment shows one example for 2019-10-7 but that occurs more often in gold futures data between 20:00 - 00:00. 

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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.


Also, we receive an empty dataframe in this time range by requesting small amount of bars (1 or 2 for example - line 42, "dataLast" variable). By requesting larger amount of bars ("foo" variable), we can see that the volume of the bars, that we get an empty df, is equal to zero.

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We got this issue also for another contracts, not only GC27Z19.

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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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