I've been using the pandas resampling method to derive daily close data from the minute data in a batch transform and I've found a difference between the close price from the daily data and minute data.
If the strategy is run with daily data using the "Build Algorithm" button, the log gives
2012-01-06print_data:13 INFO 422.45
2012-01-06print_data:15 INFO 2012-01-03 00:00:00+00:00 411.10 2012-01-04 00:00:00+00:00 413.44 2012-01-05 00:00:00+00:00 417.96 2012-01-06 00:00:00+00:00 422.45 Freq: B
The closing price for the 4th day is $422.45. Now, running a full backtest with minute data gives
2012-01-06 print_data:13 INFO 419.541
2012-01-06 print_data:15 INFO 2012-01-03 00:00:00+00:00 411.100 2012-01-04 00:00:00+00:00 413.440 2012-01-05 00:00:00+00:00 417.960 2012-01-06 00:00:00+00:00 419.541 Freq: B
Here the closing price for the 4th day is $419.541. Looking at the second lines of both log outputs, the close price for the daily and minute data is the same for the first 3 days. It's only the close price on the last day in the batch transform that has a discrepancy.
I'm guessing this is likely caused by an incomplete dataset being passed to the batch transform during a full backtest with minute data.