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Fix bug when consolidating hourly bars into daily ones #8442

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Marinovsky
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@Marinovsky Marinovsky commented Dec 4, 2024

Description

When hourly bars were consolidated into daily ones, the first hourly bar was skipped as well as the last two. This happened because of the format of the hourly bars in the DB. While according to the exchange hours, US equities open at 09:30 and close at 16, but for every equity, its hour data in the DB starts at 09 and finish at 16:00. Thus, not all the hourly bars were taken into account when consolidating a daily bar. This PR aims to fix that bug by covering this specific case in MarketHourAwareConsolidator.Update() and PeriodCountConsolidatorBase.GetRoundedBarTime().

Related Issue

Closes #8415, #8416

Motivation and Context

With this change, daily consolidated bars from hourly bars will match daily bars from DB

Requires Documentation Change

N/A

How Has This Been Tested?

I created a regression test to assert the bug was solved. In the regression test, I create two RelativeStrengthIndex indicators but register just one, using the symbol in hour resolution but a daily consolidator. After one month, I request data for the symbol in daily resolution and manually update the second indicator, so that I can compare the values of both indicator and assert they are the same. It's worth saying I used a RelativeStrengthIndex indicator since that indicator depends on its previous values, thus if the first value is different, so will the next values

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

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@Martin-Molinero Martin-Molinero left a comment

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Thank you! Not an easy issue 🚀

@Marinovsky Marinovsky merged commit 81d7774 into QuantConnect:master Dec 6, 2024
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History warmup of indicators reports wrong values
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