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Hello,
I'm my algorithm I mainly look at at series of Daily candles (put in a rolling window). Whenever a set of criteria is met on the daily candles I wish to evaluate my final criterion based on the first fulfilled order (could be first tick or first second bar) the following day. If the final critierion is met I will put in an order.
I could set my resolution to be seconds, and then use a consolidator to obtain my daily bars, but it just seems like a naive approach, given that I will only consume daily bars, and a single second bar.
I thought about scheduling an event at market open, while keeping the "main resolution" to daily, but I'm unsure if the algorithm will even receive the price data on the lower resolution.
My universe of stocks is quite large, 2000+ stocks.
Perhaps I'm overthinking this, and LEAN is built in such a manner that it won't matter in terms of performance to run seconds as resolution vs daily.
(I'm using Python.)
Derek Melchin
Hi Daniel,
We've created a GitHub Issue to allow us to swap the data resolution of security subscriptions during execution. Subscribe to our progress here and see the attached backtest for an example.
Best,
Derek Melchin
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Daniel Andersen
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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