Spx500usd, Minute The issue starts from Jan 1st, 2013; and continues until Jun 18th, 2020 by Sandu Ursu

Sandu Ursu INVESTOR

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Corrupted Files Missing Files Listing/Delisting Error Dividend Error

Missing Points Wrong Values Split Error Name Mapping Error

Ticker	spx500usd
From	2013-01-01 00:00:00
To	2020-06-18 00:00:00
Security Type	CFD
Market	OANDA
Resolution	Minute
Status	Resolved

The csv from 2013-01-02 starts with timestamp of 42060000, which I understand are ms since midnight? Where is the data for the rest of the day before that?

Also: many days have varying intervals, i.e. even though the data has been requested at 1 minute interval some intervals are 2 minutes, some larger. I am aware that the market is closed for some time. This explains the 15 mins and the 1 hour gaps in the data, but why are there many 2 min intervals?

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Sandu Ursu

Accepted Answer

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Sandu Ursu

28 ,

Here is my Python code:

import requests

import pandas as pd



from io import BytesIO

from zipfile import ZipFile



url = 'https://www.quantconnect.com/processDataDownload/23099/485568390577bd312720d951fa69553dedfa4f8c19ed10615cab2cf507956b97/20130102'



content = requests.get(url)

zf = ZipFile(BytesIO(content.content))

df = pd.read_csv(zf.open(zf.namelist()[0]), low_memory=False, header=None)

You can vary the date to get the data from other dates.

This will show the intervals and their frequencies:

df[0].diff().value_counts()

You can see that most of the days have 2 min gaps.

JayJayD

This is standard behavior for this security type; it happens when the markets open on Sundays, or in 2013-01-02 after a holiday (Jan 1st).

QuantConnect Robot

567 ,

JayJayD has marked this issue as closed.

Sandu Ursu INVESTOR

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