Index Option Downsample

Hi Jay

We recommend using a consolidator to do so. Please read through this doc for its usage. Note that you'll need one for each security, so it would be the best practice to manage it in OnSecuritiesChanged method for a dynamic universe. Also, OnData method would still run once every minute of receiving data, so you'll have to use a consolidation handler for action upon the bar consolidated.

def Initialize(self):
    self.consolidatorDict = {}

def OnSecuritiesChanged(self, changes):
    for security in changes.AddedSecurities:
        if security.Type == SecurityType.IndexOption:
            symbol = security.Symbol
            self.consolidatorDict[symbol] = TradeBarConsolidator(timedelta(days=1))
            self.consolidatorDict[symbol].DataConsolidated += self.ConsolidationHandler
            self.SubscriptionManager.AddConsolidator(symbol, self.consolidatorDict[symbol])

    for security in changes.RemovedSecurities:
        symbol = security.Symbol
        if symbol in self.consolidatorDict:
            consolidator = self.consolidatorDict.pop(symbol)
            self.SubscriptionManager.RemoveConsolidator(symbol, consolidator)

def ConsolidationHandler(self, sender, consolidated):
    # Action upon daily bar finished
    # consolidated will be a TradeBar object
    if consolidated.Close > consolidated.Open:
        self.MarketOrder(consolidated.Symbol, 1)

Best
Louis