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blankly-finance / blankly

🚀 💸 Easily build, backtest and deploy your algo in just a few lines of code. Trade stocks, cryptos, and forex across exchanges w/ one package.
https://package.blankly.finance
GNU Lesser General Public License v3.0
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`state.interface.history` not returning history with correct time intervals #251

Open AlphonsG opened 9 months ago

AlphonsG commented 9 months ago

Description

Example:

The backtest goes from 2020-01-01 to 2020-12-31. When retrieving 4 days of history using the to parameter of state.interface.history I'd expect it to get 2019-12-28 to 2019-12-31.

Instead it gets 3 days of history skipping the previous day, e.g., 2021-10-28 - 2021-10-30.

This workaround produces what I expect:

state.variables.history = state.interface.history(
    symbol,
    4,
    end_date=datetime.utcfromtimestamp(state.time) + timedelta(days=2),
    return_as='deque',
    resolution=state.resolution,
)

settings.json

{
    "settings": {
        "use_sandbox_websockets": false,
        "websocket_buffer_size": 10000,
        "test_connectivity_on_auth": true,
        "auto_truncate": false,
        "global_shorting": false,
        "simulate_margin": true,
        "coinbase_pro": {
            "cash": "USD"
        },
        "binance": {
            "cash": "USDT",
            "binance_tld": "com"
        },
        "binance_futures": {
            "cash": "USDT",
            "margin_type": "USDT-M"
        },
        "alpaca": {
            "websocket_stream": "iex",
            "cash": "USD",
            "enable_shorting": true,
            "use_yfinance": false
        },
        "oanda": {
            "cash": "USD"
        },
        "okx": {
            "cash": "USDT"
        },
        "keyless": {
            "cash": "USD"
        },
        "kucoin": {
            "cash": "USDT"
        },
        "ftx": {
            "cash": "USD",
            "ftx_tld": "com"
        },
        "ftx_futures": {
            "cash": "USD",
            "ftx_tld": "com"
        },
        "paper": {
            "price_source": "api"
        }
    }
}

backtest.json (if applicable)

{
    "price_data": {
        "assets": []
    },
    "settings": {
        "use_price": "close",
        "smooth_prices": false,
        "GUI_output": true,
        "show_tickers_with_zero_delta": false,
        "save_initial_account_value": true,
        "show_progress_during_backtest": true,
        "cache_location": "./price_caches",
        "continuous_caching": true,
        "resample_account_value_for_metrics": "1d",
        "quote_account_value_in": "USDT",
        "ignore_user_exceptions": true,
        "risk_free_return_rate": 0.0,
        "benchmark_symbol": null
    }
}

Platform Info