History warmup of indicators reports wrong values

[alexschwantes]

History warmup of indicators shows incorrect values when compared to the same indicators that have been active for a month already. This happens both when the indicator has a different resolution to the underlying symbol and when it has the same resolution.

Unable to compare this test with the warm_up_indicator() method for Stochastic indicator due to #8405

Expected Behavior

Warming up the indicator produces the correct values from the first day that it is warmed up.

With SPY set to Resolution.Hour and indicators using Daily resolution:
Indicator values for algorithm starting on 3rd June:
RSI: 67.08
STO K: 47.00
STO D: 57.95

Compare the values on the 3rd June for the same algorithm that starts 1 month earlier:
RSI: 56.02
STO K: 51.52
STO D: 62.86

The expectation is that the indicators should represent the same value in both cases, but they do not.

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Additionally, changing symbol resolution to the same as the indicator resolution ie. Resolution.Daily also gives different values:
Indicator values for algorithm starting on 3rd June:
RSI: 67.53
STO K: 49.25
STO D: 50.03

Compare the values on the 3rd June for the same algorithm that starts 1 month earlier:
RSI: 56.52
STO K: 49.25
STO D: 50.03

The expectation is that the indicators should represent the same value in both cases, but they do not.

Actual Behavior

The values are incorrect when compared to the same indicator that is run 1 month earlier

Potential Solution

Reproducing the Problem

SPY: Hour, Indicator: Daily. 3rd June values for algorithm that starts on that date

SPY: Hour, Indicator: Daily. 3rd of June values for algorithm that starts 1 month earlier

SPY: Daily, Indicator: Daily. 3rd June values for algorithm that starts on that date

SPY: Daily, Indicator: Daily. 3rd of June values for algorithm that starts 1 month earlier

class TestWarmUp(QCAlgorithm):
    def initialize(self):
        # change the start date between runs to check that warm up shows the correct value
        self.set_start_date(2024, 5, 1)
        # self.set_start_date(2024, 6, 1)
        self.set_end_date(2024, 7, 1)
        self.set_cash(100000)

        self.spy = self.add_equity("SPY", Resolution.HOUR).symbol

        # Resolution.DAILY indicators
        self._rsi = RelativeStrengthIndex(14, MovingAverageType.WILDERS)
        self._sto = Stochastic(14, 3, 3)
        self.register_indicator(self.spy, self._rsi, Resolution.DAILY)
        self.register_indicator(self.spy, self._sto, Resolution.DAILY)

        # Resolution.DAILY indicators
        self._rsi_timedelta = RelativeStrengthIndex(14, MovingAverageType.WILDERS)
        self._sto_timedelta = Stochastic(14, 3, 3)
        self.register_indicator(self.spy, self._rsi_timedelta, timedelta(days=1))
        self.register_indicator(self.spy, self._sto_timedelta, timedelta(days=1))

        # warm up indicators
        history = self.history[TradeBar](self.spy, 20, Resolution.DAILY)
        for bar in history:
            self._rsi.update(bar.end_time, bar.close)
            self._sto.update(bar)
            self._rsi_timedelta.update(bar.end_time, bar.close)
            self._sto_timedelta.update(bar)

    def on_data(self, data: Slice):
        if self.is_warming_up:
            return

        if data.contains_key(self.spy):
            chart_name = "Resolution.DAILY"
            self.plot(chart_name, "RSI", self._rsi.current.value)
            self.plot(chart_name, "STO K", self._sto.stoch_k.current.value)
            self.plot(chart_name, "STO D", self._sto.stoch_d.current.value)

            chart_name = "timedelta(days=1)"
            self.plot(chart_name, "RSI", self._rsi_timedelta.current.value)
            self.plot(chart_name, "STO K", self._sto_timedelta.stoch_k.current.value)
            self.plot(chart_name, "STO D", self._sto_timedelta.stoch_d.current.value)

System Information

cloud

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