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

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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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.


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.

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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).

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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.


JayJayD has marked this issue as closed.

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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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