Update FX data one day ahead?

[littlebigfis]

I updated all of the fx spot prices in the repo to 2024-09-24 23:00:00 and then ran update_fx_prices.py. The log indicated a successful update (example below). After inspecting the parquet files i was surprised to see an update through 2024-09-26 23:00:00 when todays date is 2024-09-25 (my configured GMT offset -7). Are the timestamps for IBKR prices based on GMT? Even still, its only 2024-09-26 00:26 GMT currently. Update_historical_prices is not giving me the same day ahead 2024-09-2026 results, so I'm a bit confused by the fx spot rates saved to parquet.

2024-09-25 17:18:13 DEBUG Update-FX-Prices {'currency_code': 'MXPUSD'} Downloaded 259 prices
2024-09-25 17:18:13 DEBUG Update-FX-Prices {'component': 'parquetFxPricesData', 'currency_code': 'MXPUSD'} Wrote 3964 lines of prices for MXPUSD to parquetFxPricesData
2024-09-25 17:18:13 INFO Update-FX-Prices {'component': 'parquetFxPricesData', 'currency_code': 'MXPUSD'} Added fx data for code MXPUSD
2024-09-25 17:18:13 DEBUG Update-FX-Prices {'component': 'parquetFxPricesData', 'currency_code': 'MXPUSD'} Added 2 additional rows for MXPUSD

[tgibson11]

In the ib_price_client, there is a function _adjust_ib_time_to_local.

That function is used when downloading futures price data, but it is not used, nor do I see any similar function used, when downloading FX data.

This looks like a bug, but maybe there is a reason this adjustment is not necessary with FX data? Given the OP's observation, that seems unlikely. More likely is that since Rob conveniently lives in GMT, there is nothing for him to adjust, and he just didn't think about it.

[tgibson11]

BTW, I also see the same thing the OP is describing.

[tgibson11]

A couple additional thoughts:

1. 23:00 has a special meaning in pysystemtrade, to indicate the daily close
2. My understanding is that FX markets don't have a daily close

So...possibly this was a deliberate decision, that if you are updating FX prices at any time during the day, that time & price is used as if it was the daily close. IDK. Would need to know Rob's thinking here.

[tgibson11]

I just came across this comment in the production docs:

Notice...the FX rates with timestamp 23:00 which means they're daily prices (I don't collect intraday FX prices).

https://github.com/robcarver17/pysystemtrade/blob/master/docs/production.md#status-report

It looks like this guess was the correct answer:

So...possibly this was a deliberate decision, that if you are updating FX prices at any time during the day, that time & price is used as if it was the daily close.