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I would like the Apha model to emit every 20 seconds but I don't see and example on how this is accomplished...
TIA!
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Derek Melchin
Hi Walt,
The attached backtest demonstrates how we can setup a consolidator inside an alpha model and emit insights every time a new consolidated bar is received. The attached backtest uses minute resolution, but it can be adjusted to use second resolution.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Benjamin Charlton
I'm trying to learn the same thing, Walt. I'm sure that it's something to do with consolidators. There's some documentation about them here:
https://www.quantconnect.com/tutorials/api-tutorials/consolidating-data-to-build-barsThe trouble is, this tutorial only gets you so far as the QCAlgorithm.OnData method. It doesn't explain how to use consolidators inside the classes of the Algorithm Framwork, such as inside your alpha models.
Did you get any further on this since your post?
Walt schwarz
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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