How can we get both daily and minute resolution for OnData?

Hi TC,

You can subscribe to multiple resolutions with AddEquity(X…Minute), AddEquity(X…Daily), for instance.

If you are using a Universe, then it is also possible to have many Universe Selections at different resolutions for the same assets as Universes are very well encapsulated and generic - but less trivial.

Let me know if you are using Universes.

Fred

Hi Fred,

I am using Universes. I also tried your suggestion of using AddEquity(X…Minute), AddEquity(X…Daily). I am not sure where I did wrong, but it always returned the eod close of March 24. It seems that the Resolution.Daily overwrites Resolution.Minute.

# region imports

from AlgorithmImports import *

# endregion
 

class HipsterOrangeBison(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2022, 3, 25)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        self.AddEquity("AAPL", Resolution.Minute)

        self.AddEquity("AAPL", Resolution.Daily)

    def OnData(self, data: Slice):

        for symbol in data.Keys:

            self.Debug(f"bar close: {data[symbol].Close} at {self.Time.strftime('%Y-%m-%d, %H:%M:%S')}")

Best regard,

TC

Very interesting, for the above code, if you run it under debug mode, it actually outputs different result. 

Ran it directly:

Ran it under debug mode:

Adding “fillDataForward = False” seems working. I haven't figured out how to do this easily for the entire universe. 

The two outputs in debug/no debug is indeed weird. But I dunno if you changed the code but it does output minute bars. You probably removed the Daily one.

Re fillforward, it is also very strange. Since fillforward should only have an impact when there is no data. Not when there is. Since it outputs always the same price when not in debug, it looks like a bug. Is it a bug specific to that run or does it happen all the time, this is something you should test. In other words, do you get the correct prices only when in debug mode? If so, you should report to support@quantconnect.com. It can only be a bug.

For fillforward for entire universes, you can use self.UniverseSettings.FillForward = True, before declaring the Universe.

Fred

Hi Fred,

That output is pretty consistent and you probably can reproduce from your end using the code that I pasted earlier. As for how to apply both daily and minute resolutions to the entire universe, I still don't know how to do that. I have some walkaround solution, but it's not ideal. 

Best regards,

Yuan

Yep, I could reproduce the error but I already trusted you. So IMHO it needs to be reported to support.

Are you on Discord? If so, I could discuss multi-universes with you a bit later there as a chat instead of forum posts would be more appropriate (lengthy back and forth discussion on that topic is anticipated).

Fred

Hi Fred,

I am on Discord. Let me know how I can add you. Thanks!

Best regards,

TC

I am Fred Painchaud there also.

Fred

Hi Fred,

I can't add you. It's asking for four digit tag. Thanks!

Best,

TC

You should see me on the QC Discord server, here's the invite: https://www.quantconnect.com/discord

Fred

Thanks Fred! I sent a friend request there.