Including Extended Hours Data in Consolidators by Jonathan Ganucheau

Jonathan Ganucheau INVESTOR

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I'm trying to make decisions using standard deviation during trading days in another algorithm, but I've noticed that when prices and indicators change significantly during extended hours, it mistakenly throws off standard deviation thinking that levels have taken a significant jump from 4pm to what it thinks is the next step 9:30 the next day.

I'd like to be able to feed my consolidator with extended hours data so that things like standard deviation and other indicators like moving average etc can correctly follow the flow of data during extended hours and into the next trading day. I've tried adding the parameters "fillDataForward=True" and "extendedMarketHours=True" but these don't seem to be adding data to my consolidator. I've also tried making Resolution.Second also with no change. Any ideas/suggestions?

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Jonathan Ganucheau

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Jonathan Ganucheau

699 ,

I can see in the source code here that SubscriptionDataConfig accepts parameters for extendedMarketHours and fillDataForward (lines 86 & 87 and 137 & 138), but I'm seeing a way to push those parameters to self.SubscriptionManager or AddConsolidator for consolidators to be including that extended hour data.

Jonathan Ganucheau

699 ,

I meant to say I'm NOT seeing a way to push those parameters. Anyone know of a way to do this in Python?

Rahul Chowdhury

39.9k ,

Hey Jonathan,

Named parameters are currently not supported. To enable extended market hours you need to fill in all the parameters in AddEquity.

self.AddEquity("SPY", Resolution.Hour, Market.USA, true, 0, True)

Jonathan Ganucheau

699 ,

Thank you, Rahul! That did it! I'll have to go through my other algorithms to see if I'm using named parameters anywhere else too. I'm attaching the successful backtest with more consistent std dev and extended hours results. Thanks again!

Jonathan Ganucheau INVESTOR

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