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

Hi,

For those of you who use Interactive Brokers, are you all seeing the last bar of delayed data being formed even before the time period is over?

I am aware that rightedge = False for Delayed data and rightedge = True for Live Data.

For example, using the below screenshot as an example
At 08:05:00, Closing Price of 1.28926 is the closing price for the period 08:05:00 to 08:10:00
At 08:10:00, Closing Price of 1.28935 is the closing price for the period 08:10:00 to 08:13:33 (the time when connection to IB server was established)
At 08:15:00, Closing Price of 1.2891 is the closing price for the period 08:10:00 to 08:15:00

If the last bar of delayed data is indeed formed before time period is over, aren't indicators, such as 2 periods SMA in the below screenshot being skewed by this "Last Bar of Delayed Data"?

If you want to replicate the results, pls use the below code.

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

class Test_Strategy (bt.Strategy):
    params = (('maperiod',10),
             )
    
    def __init__ (self):
        self.data_live = False
        self.sma = bt.indicators.SimpleMovingAverage (self.data.close, period = self.params.maperiod)
    
    def next (self):
        self.log (str(self.data.close[0]) + '(Closing Price) ' + str(self.sma[0]) + '(2 periods SMA)')
    
    def notify_data(self, data, status):
        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status))
        if status == data.LIVE:
            self.data_live = True
    
    def log (self, text):
        print (self.data.datetime.datetime(0),": ", text)

if __name__ == '__main__':
    ibstore = bt.stores.IBStore (host = '127.0.0.1', clientId = 111, port = 7497)
    data = ibstore.getdata (dataname = 'GBP.USD-CASH-IDEALPRO',       #GBP.USD-CASH-IDEALPRO, BARC-STK-LSE-GBP
                            rtbar = False,
                            timeframe = bt.TimeFrame.Minutes,
                            compression = 1,
                            tz=pytz.timezone('US/Eastern'),
                            )
    cerebro = bt.Cerebro()
    cerebro.broker = ibstore.getbroker()                                                          ###
    cerebro.resampledata (data, timeframe = bt.TimeFrame.Minutes, compression = 5)
    cerebro.addstrategy (Test_Strategy, maperiod = 2)
    cerebro.run()

@backtrader Been using Backtrader to do simulated trading on Interactive Brokers and realize something unique about the last bar of delayed data. The closing price of the last bar of delayed data (the bar just before the first live data) to be made available even before its time period is up? Is that intentional?

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()

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?