Data Resampling Creating Entry Delay
I have daily data in a csv file and all is working well.
I used the following code to resample it to weekly data:
data_resampled = cerebro.resampledata( dataname=data, timeframe=bt.TimeFrame.Weeks, compression=1)
But I have noticed that there is now a 1 bar delay between 'Buy Create' and 'Buy Executed'. This was not happening on the daily data prior to adding the resampling.
e.g. Weekly (resampled):
2012-10-19, BUY CREATE, 3.00
2012-11-02, BUY EXECUTED, Size: 10, Price: 2.93, Cost: 29.30, Comm 0.00
So it has skipped the 2012-10-26 bar altogether and entered at the opening price of the next bar.
This is happening on all buy signals.
Why would this be occurring?
Too little information to draw any meaningful conclusion. Some context code and sample data could really be helpful.