Manually Warming Up the Forex Session

[DerekMelchin]

Expected Behavior

The following algorithm populates the Forex Session with all of the daily bars in the history request.

class DancingApricotBarracuda(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 9, 25)
        self.set_cash(100_000)
        forex = self.add_forex("EURUSD")
        lookback = 152
        forex.session.size = lookback
        bars = self.history[QuoteBar](forex, lookback, Resolution.DAILY)
        for bar in bars:
            forex.session.update(bar)
        self.quit(f'bars: {len(list(bars))}; session.samples: {forex.session.samples}')

Actual Behavior

Quit(): bars: 152; session.samples: 77

However, if we use set_warm_up instead, it populates correctly.

class DancingApricotBarracuda(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 9, 25)
        self.set_cash(100_000)
        self._forex = self.add_forex("EURUSD")
        lookback = 152
        self._forex.session.size = lookback
        self.set_warm_up(lookback, Resolution.DAILY)
    
    def on_warmup_finished(self):
        self.quit(f'session.samples: {self._forex.session.samples}')

Quit(): session.samples: 154

Potential Solution

N/A

Reproducing the Problem

Run the algorithm above.

System Information

QC Cloud

Checklist

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