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Hi, I've been tinkering with data fillforward and consolidated bars. When I use QuantConnect's consolidator, and I consolidate to 15 minute bars, and there is are no trades between 10.00 am - 10.15 am, if data fill forward is set to true (which I believe is the default setting), will I get a 15 minute bar in the 15 minute bar event handler?
I'm asking this because, if data is filled forward, then in theory the algorithm believes that there's been trades within that 15 minute time frame, hence, there should be a 15 minute bar generated, at least, that's what I'm understanding.
Alexandre Catarino
Hi Li Cheng,
The consolidator event handler will be triggered since it will be consolidating new bars with the fill-forwarded data.
Please check out an example with Westmoreland Resource Partners LP, WMLP.
Best regards,
Alex
Li Cheng
Hi Alexandre,
Really appreciate the quick response! It's awesome how you answered my question in a descriptive way, maybe I'm just burned out or I lack creativity but I never thought to test out by how FillForward worked with Debug statements in OnData and my consolidated bars handler. You just answered my question brilliantly!
Best,
Cheng
Li Cheng
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