Backtest vs live bars "off-by-1" discrepancy?

@Squirrel-Singing as I remember, as soon, as live data comes in, it will not right align, but I am not really sure anymore. I stopped using backtrader for live trading. I just maintain the btoandav20 store since then. This bug was somehow a dealbreaker for me.

@Squirrel-Singing but I remember, there was a release later, which addressed some intraday data alignment issues.

https://community.backtrader.com/topic/1397/resampling-fixes-for-1-9-67-122/2

@Squirrel-Singing but for a possible solution you could create your own data feed, subtract the time difference and set the new time manually when new data gets available (checking if the feed is live).

Squirrel Singing

Thanks Dasch for your comprehensive reply.

The issue that I am seeing is an incorrect final delayed bar, where it is formed before the time period is over.

Using the below screenshot as an example, GBPUSD closing price of 1.28984 at 8:05:00 is incorrect as it shows GBPUSD's closing price at the time of connection instead of at 08:05:00

Is it just me facing this problem or this data point got overlooked by others?

Creating my own data filter/feed could be an option but I just find it incredible how users could live/paper trade with this incorrect data point.

Code is attached below for reference.

import backtrader as bt
import datetime as dt
import pytz as pytz

class Test_Strategy (bt.Strategy):    
    def next (self):
        self.log (self.data.close[0])
    
    def notify_data(self, data, status):
        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status))
    
    def log (self, text):
        print (self.data.datetime.datetime(0),": ", text)

if __name__ == '__main__':
    ibstore = bt.stores.IBStore (host = '127.0.0.1', clientId = 110, port = 7497)
    data = ibstore.getdata (dataname = 'GBP.USD-CASH-IDEALPRO',       #GBP.USD-CASH-IDEALPRO, BARC-STK-LSE-GBP
                            rtbar = False,
                            tz=pytz.timezone('US/Eastern'),
                            )
    cerebro = bt.Cerebro()
    cerebro.broker = ibstore.getbroker()                                                          ###
    cerebro.resampledata (data, timeframe = bt.TimeFrame.Minutes, compression = 5, rightedge = True, boundoff = 0)
    cerebro.addstrategy (Test_Strategy)
    cerebro.run()

@Squirrel-Singing that was the reason why I stopped using it that much. The issue was not acknowledged and I didn't want to write too many workarounds since every time I changed something, new issues occurred.

You could ask @backtrader about this issue.

I don't have a too complicated strategy but I use current time and time periods to do some decisions, so the timestamps were an important part. I now just stream data from oanda, use ta-lib for some indicators, so no need for backtrader in this. For tests and experiments I still use backtrader.

Squirrel Singing

@dasch , thanks for your reply.

@backtrader , can I ask for your thoughts on the issue I mentioned 25 minutes earlier?

Squirrel Singing

Realize that there's no reply, so just want to follow up and ask if anyone has any insights on this query that I raised?

stevetree

@Squirrel-Singing I can confirm that. Unfortunately, I have the same problem.