Last minute bars are not avalable in data.history

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Last minute bars are not avalable in data.history

edited May 8, 2016

Using Data Show Q Q Updates

If timestamp of the minute bar is the time of the bar close then we should have 20:00 bars, but they are missing.

2016-04-29 PRINT 2016-04-29 19:57:00+00:00 206.365
2016-04-29 19:58:00+00:00 206.290
2016-04-29 19:59:00+00:00 206.290
Name: Equity(8554 [SPY]), dtype: float64
2016-05-02 PRINT 2016-05-02 19:57:00+00:00 207.945
2016-05-02 19:58:00+00:00 207.970
2016-05-02 19:59:00+00:00 207.980
Name: Equity(8554 [SPY]), dtype: float64
2016-05-03 PRINT 2016-05-03 19:57:00+00:00 206.17
2016-05-03 19:58:00+00:00 206.16
2016-05-03 19:59:00+00:00 206.07
Name: Equity(8554 [SPY]), dtype: float64
2016-05-04 PRINT 2016-05-04 19:57:00+00:00 205.02
2016-05-04 19:58:00+00:00 204.99
2016-05-04 19:59:00+00:00 204.95
Name: Equity(8554 [SPY]), dtype: float64
2016-05-05 PRINT 2016-05-05 19:57:00+00:00 204.760
2016-05-05 19:58:00+00:00 204.835
2016-05-05 19:59:00+00:00 204.830
Name: Equity(8554 [SPY]), dtype: float64
2016-05-06 PRINT 2016-05-06 19:57:00+00:00 205.61
2016-05-06 19:58:00+00:00 205.60
2016-05-06 19:59:00+00:00 205.57
Name: Equity(8554 [SPY]), dtype: float64
End of logs.

1 response

Michael Van Kleeck

According to the Help page, if no offset is specified, time_rules.market_close() runs 1 minute before market close, i.e. at 19:59 UTC or 15:59 ET. And you can't use an offset of 0.

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.