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NQ19M20, Minute The issue starts from May 19th, 2020 08:05 AM; and continues until now

Ticker NQ19M20
From 2020-05-19 08:05:00
Security Type Future
Market USA
Resolution Minute
Status Waiting Review

Contract is sold for no price, totally destroying the backtest results.

2020-05-19 08:05:00 NQ19M20 - -10 Submitted
2020-05-19 08:05:00 NQ19M20 - -10 Filled Warning: fill at stale price (05/19/2020 00:32:00 America/New_York)

 

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It seems to me that the data is actually present.

05/19/2020 00:32:00 translates to 1920000 milliseconds from 0:00:00 am.

In the file we find:

1920000, 9339.25, 9340.25, 9336.5, 9337.5, 44

Which looks normal and accurate. In fact, most the data in this file seems fine.

However, if we look at this link:

https://www.quantconnect.com/data/file/future/cme/minute/nq/20200519_trade.zip/20200519_nq_minute_trade_202006_20200619.csv#p=2

I think we can see the problem. The data only goes to half way through 1:40 am; I imagine that Lean handles the partial bar strangely and is giving us both the issue Brian mentioned.

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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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