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The TradeBarConsolidator does not accept a TradeBar with the same underlying symbol but different contract.
Why does that matter? It is the same underlying symbol ("ES"). I should be able to pump the TradeBarConsolidator with TradeBars from one contract, then pump the TradeBarConsolidator with TradeBars from the next contract. This way, the TradeBarConsolidator is continuous.
If I can't do that, then tell me how to reset the TradeBarConsolidator so that it is empty and can accept the next series of TradeBars from the next contract.
Runtime Error: Consolidators can only be used with a single symbol. The previous consolidated SecurityIdentifier (ES XMXYBDF3IXHD) is not the same as in the current data (ES XPFJZVPGHL35). in PeriodCountConsolidatorBase.cs:line 141
Louis Szeto
Hi Michael
Sorry that automatic rollover/switch in Symbol object for continuous future contracts have not been supported yet since each contract has its own symbol. Please subscribe to this GitHub issue to track our progress on adding automatic rollover.
As per resetting the consolidator, we suggest using a dictionary to hold a new TradeBarConsolidator object for every new contract that is subscribed and remove it after unsubscribed (expired). Please check the attached backtest as an example.
Best
Louis Szeto
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Michael Bloomfield
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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