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IB data close price for different time-frame



  • Hi,
    I'm new to backtrader and been tested the IB sample code. What I did is just to print the OHLC price from IB.
    It looks to me the close prices are not the same for at a specific time, if the price is taken using different time-frame.

    For instance, here's the prices (OHLC) taken using different time frame.

    1 minute time frame:
    2020-09-20 21:16:00, 1.2922, 1.29235, 1.2921, 1.29226
    2020-09-20 21:17:00, 1.29226, 1.2925, 1.29204, 1.2925
    2020-09-20 21:18:00, 1.2925, 1.2927, 1.2925, 1.2925

    15 seconds time-frame
    2020-09-20 21:16:45, 1.2922, 1.29235, 1.2921, 1.29226
    2020-09-20 21:17:00, 1.29226, 1.29229, 1.29204, 1.29229 2020-09-20 21:17:15, 1.29229, 1.29229, 1.29228, 1.29228

    The close prices at exact same time (21:17:00) are not the same for the data taken with 15 seconds and 1 minutes time-frame.
    Is it an expected behavior?

    Thanks.


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