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Description

Open interest data are treated as ticks and not as bars, so when consolidating hour and daily data we can keep the original time of day instead of rounding down to the nearest hour or day. This allows to get the correct historical data, including the start time.

For instance, a request for OI daily data starting on 2025/03/24 should include the data point for the 24th and it's currentl being filtered out by the history provider because the data end time is set to that same timestamp, which is the same as the start time. If we keep the actual time of day, the result will include that point as expected.

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Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Unit tests

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@jhonabreul jhonabreul merged commit 73684e8 into QuantConnect:master Mar 31, 2025
12 of 16 checks passed
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2 participants