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I'm trying to understand the flow when using consolidated data in a framework model.. I'm confused on how to implement a 4hr timeframe since my the algo consist of four different models.
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Louis Szeto
Hi Obimba
You may implement a SymbolData class for every symbol added in OnSecuritiesChanged method of your Alpha Model, using QCAlgorithm instance as an argument. Within the constructor of the SymbolData class, instantiate your consolidator there together with other models. You may also want to include a consolidator handler within that class. Remember to have a dictionary to hold the SymbolData object.
Refer to the attached backtest as an example.
Best
Louis
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